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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34058


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34058


    Title: 中長期動能策略之研究：以台灣股市為例
    Authors: 邱俞華
    Chiu ,Yu Hua
    Contributors: 林基煌
    邱俞華
    Chiu ,Yu Hua
    Keywords: 動能策略
    反應不足
    行為財務學
    影響報酬因子
    前期表現
    momentum
    under-reaction
    behavioral finance
    prior return
    Date: 2006
    Issue Date: 2009-09-17 19:17:48 (UTC+8)
    Abstract: 本研究根據行為財務學中反應不足的理論針對台灣上市股票進行動能策略的研究。首先根據台股1992到2005年之上市股票為樣本進行單純動能策略研究，發現台股具有中期及長期動能現象(長期在此定義為持有期三年)，接著以Fama and French 三因子模型進行風險調整，結果發現動能策略具有顯著的可行性，其報酬不受三因子調整而損失。並再加入公司特徵變數，發現大規模公司具有較大之動能效果，且低帳面市值比公司也具較大之動能效果，而大型股具有較大的動能效果與一般認知的反應不足理論不符，而由後續之研究針對規模及帳面市值比做相關分析發現兩者間具有高度的負相關，因此大型股子樣本與低帳面市值比子樣本可能具高度的雷同，因此大型股的動能策略報酬較高，其實可能反應的是成長股所具有的反應不足現象。
    接著根據單純動能表現結果，結合前期兩期表現為條件，組合成中長期動能策略之構想。結果發現，中長期動能策略在大型股與成長股此兩個子樣本集中有較高的可行性。由於中長期動能策略的基礎是建立在運用兩股單純動能策略的力量，因此單純動能策略的顯著性是中長期動能策略能否成功的重要關鍵，也因此由實證結果發現，在不同的子樣本集中，受到其單純動能策略顯著性強弱的影響，使得中長期動能策略的報酬顯著性受到影響，其中尤以低帳面市值比（成長股）之中長期動能策略動能效果最為顯著。
    Reference: 一、中文部分
    1. 呂嘉倩，台灣動能策略之剖析，國立東華大學國際經濟研究所未出版碩士論文，民國93年。
    2. 林美珍，股票價格過度反應的方向、幅度與密度，國立台灣大學財務金融研究所未出版碩士論文，民國81年。
    3. 林銘燦，股票市場價格動能與週轉率之研究，銘傳大學金融管理研究所未出版碩士論文，民國90年。
    4. 洪胤傑，台灣股票市場個股與產業動能投資策略之實證研究，國立政治大學企業管理研究所未出版碩士論文，民89年。
    5. 黃偉信，橫斷面預期報酬、公司特徵變數與動能效果之研究，東海大學企業管理研究所未出版碩士論文，民國91年。
    6. 絲文銘，股票市場過度反應與風險變化關係之探討，國立台灣大學財務金融研究所未出版碩士論文，民國83年。
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    8. 劉盈攸，產業對股市投資策略之影響（漲買跌賣及反向操作投資策略），國立中央大學財務管理研究所未出版碩士論文，民國89年。
    9. 游奕琪，台灣股市產業與價格動能策略關連性之實證研究，國立政治大學財務管理研究所未出版碩士論文，民國89年。
    10. 詹家昌，臺灣股市過度反應之實證研究，東海大學企業管理研究所未出版碩士論文，民國80年。
    11. 謝政能，台灣股票市場過度反應之研究，國立中山大學企業管理研究所未出版碩士論文，民國80年。
    12. 謝朝顯，追漲殺跌投資策略之實證研究－台灣股市效率性之再檢定，國立台灣大學財務金融研究所未出版碩士論文，民國83年。
    二、英文部分
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    3. Basu, Sanjoy, 1983, “The relationship between earnings yield, market value，and return for NYSE common stocks: Further evidence,” Journal of Financial Economics, 12, 129-156.
    4. Barberis, N., Andrei Shleifer, and Robert Vishny, 1998, “A model of investor sentiment”, Journal of Financial Economics, 49, 307–343.
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    6. Capaul, Rowley and Sharpe （1993）, “Internal Value and Growth Stock Returns,” Financial Analysts Journal, v. 49, no. 1, pp.27-36.
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    9. Chorpa, Navin, Josef Lakonishok, and Jay Ritter, 1992, “Measuring abnormal returns：Do stocks overreact？,” Journal of Finanical Economic, 31, 235-268.
    10. Chordia, T., and L. Shivakumar, 2002, “Momentum, business cycle, and timevarying expected returns,” Journal of Finance 57: 985-1020.
    11. Chou, P. H., H. Chung and K. C. J. Wei, 1999, “Identifying the sources of Contrarian profits for varying horizons: evidence from the Tokyo Stock Exchange,” working paper.
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    15. Daniel, Kent, and Sheridan Titman, 1999, “Market efficiency in an irrational world,” Financial Analysts Journal, November/December, 28-40.
    16. Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, “Investor psychology and security market under- and over-reactions,” Journal of Finance, 53, 1839-1886.
    17. De Bondt, Werner F. M, and Richard H. Thaler, 1985, “Does the stock market overreact？,” Journal of Finance, 40, 793-808.
    18. De Bondt, Werner F. M, and Richard H. Thaler, 1987, “Further evidence on investor over-reaction and stock market seasonality,” Journal of Finance, 42, 557-581.
    19. Deaves, R. and Miu, P., 2005, “Refineing momentum strategies by conditioning on prior long-term returns: Canadian evidence,” Working Paper, McMaster University.
    20. Fama, E. F. and J. D. MacBeth, 1973, “Risk, return, and equilibrium：Empirical tests,” Journal of Political Economy, 71, 607-636.
    21. Fama, E. F. and K. R. French, 1988, “Permanent and temporary components of stock price,” Journal of Political Economy, 9, 6246-6279.
    22. Fama, E. F. and K. R. French, 1993, “Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    93357023
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093357023
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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