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    題名: 文化差異與動能投資報酬：由中國文化談起
    其他題名: Cultural Differences and Momentum Trading：Learning from Chinese Principle
    作者: 李怡宗
    貢獻者: 政治大學會計系
    行政院國家科學委員會
    關鍵詞: 動能交易;心理因素;文化差異
    momentum effects;cultural differences;Taiwan
    日期: 2006
    上傳時間: 2012-06-26 14:56:07 (UTC+8)
    摘要: 根據FamaandFrench(1996)，為何有過去數十年來動能報酬的持續現象是資產定價文獻最重要的挑戰。最近的研究發現動能策略所產生的報酬在歐洲與美國都十分普遍。然而，為何動能策略會持續獲利，可能的解釋因子為何？仍然受到相當大的爭議，也吸引了許多學者從事尋找可能的原因。許多學者嘗試從心理學，例如，代表性偏誤，保守主義，過度自信與自我歸因謬誤來解釋動能策略所產生的報酬，然而如果這些因素是有效的，為何我們還是發現亞洲部分股市沒有動能策略報酬的現象呢？因此，我們懷疑是否能單純透過心理因素去解釋動能交易報酬。本計畫擬藉由國際文化研究的相關結果，尤其是針對中國文化的因素來解釋東西文化差異與動能交易報酬的關係。
    Recent research documents the existence of momentum effects in stock returns in most of the Western countries. Recently, Hvidkjaer（2006）provides the first/only evidence that momentum effects are partly from the slowly underreaction of small traders to past returns, using transaction data. In contrast, there is no evidence that large traders react to past returns. A unique dataset from the Taiwan stock exchange allows us to address the momentum behaviors, by examining the order flow data for types of investors directly. Contrary to Hvidkjaer (2006), our paper document momentum behaviors for both institutional and individual orders from foreign investors. Domestic investors (including institutions and individuals, big and small traders) do not tend to sluggish reaction to past returns, and they do have significant impact on moving prices in the same direction. Interestingly, foreign investors tend to react to past returns significantly, while domestic investors only show slightly reaction on past return. Besides, small domestic individuals tend to be more contrarian than big domestic individuals. Therefore, it is still a puzzle about the rationales that may explain momentums.
    關聯: 應用研究
    學術補助
    研究期間:9508 ~ 9607
    研究經費:1027仟元
    資料類型: report
    顯示於類別:[會計學系] 國科會研究計畫

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