政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/95060

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/95060

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/95060

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95060

Title:	台灣股市動能效果與處分效果關聯性之探討 A study of the relationship between disposition effect and momentum in Taiwan
Authors:	邵偉倫 Shaw, Wei Lun
Contributors:	胡聯國邵偉倫 Shaw, Wei Lun
Keywords:	動能效果處分效果效率市場假說反應不足 Momentum effect Disposition effect Efficient Market Hypothesis Underreaction
Date:	2009
Issue Date:	2016-05-09 14:53:11 (UTC+8)
Abstract:	動能效果是各國股票市場中最常見的異常現象，Sharpe (1964)提出資本資產定價模型(CAPM)，認為股票報酬與系統風險之間呈現正相關，而和其他非系統性風險無關，因此投資人透過投資所能獲得的超額報酬皆因承擔系統風險而得到的補償。然而近來許多實證研究的結果皆發現了一些非系統性風險能夠解釋股票報酬的異常現象，例如規模效應、本益比效應等等。若股票市場是具有效率的，那麼市場上所有已公開資訊皆應已充分反應在股價上，因此透過各種投資策略皆應無法獲得超額報酬，然而Jegadeesh and Titman (1993)卻發現利用買進過去報酬相對較佳之股票和賣出過去報酬表現相對較差之股票可獲得顯著的超額報酬，即所謂的動能投資策略，這種策略的獲利性很顯然的違背了效率市場假說，因此許多學者相繼提出理論來解釋造成此種現象之原因，其中有某些行為財務理論將此現象歸因於投資人對市場上之新訊息反應不足所致。本文研究係以Grinblatt and Han (2005)的實證方法，透過建立資本利得與損失的代理變數來衡量由於處分效果造成股價反應不足之程度，並利用Fama-Macbeth橫斷面分析法來探討台灣股市的動能效果是否是因市場上存在處分效果，導致股價反應不足所引起。實證結果發現台灣股市在中長期(過去27到52週)存在顯著的動能效果，然而利用資本利得與損失的代理變數並無法成功的將該動能效果消除，顯示處分效果無法有效的解釋台灣股市中動能效果的來源。
Reference:	【英文部分】 Banz, R., 1981, “The Relationship Between Return and Market Value of Common Stocks,” Journal of Financial Economics 9, 3-18. Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, “A Model of Investor Sentiment,” Journal of Financial Economics 49, 307-343. Chan, Louis K.C., N. Jegadeesh, and J. Lakonishok, 1996, “Momentum Strategies,” Journal of Finance 51, 1681-1713. Conrad, Jennifer & Kaul, Gautam, 1998,“An Anatomy of Trading Strategies,” Review of Financial Studies 11, 489-519. Fama, Eugene F., and James D. MacBeth, 1973, “Risk, Return, and Equilibrium: Empirical Tests,” Journal of Political Economy 81, 607-636. Ferris, S. P., R. A. Haugen, and A. K. Makhija, 1988, “Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect,＂ Journal of Finance 43, 677-697. Frazzini, A., 2006, "The Disposition Effect and Underreaction to News," Journal of Finance 61, 2017-46. George, T., Hwang, C.Y., 2004, “The 52-week High and Momentum Investing,” Journal of Finance 59, 2145-2176. Grinblatt, Mark, and Bing Han, 2003, “The Disposition Effect and Momentum,” Yale ICF Working Paper No. 00-71. Grinblatt, Mark, and Bing Han, 2005, “Prospect Theory, Mental Accounting, and Momentum,” Journal of Financial Economics 78, 311-339. Hong, H. and J.C. Stein, 1999, “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets,” Journal of Finance 54, 2143-2184. Jegadeesh, Narasimhan and Sheridan Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance 43, 65-91. Kahneman, Daniel, and Amos Tversky, 1979, “Prospect Theory: An Analysis of Decision under Risk,＂ Econometrica 47, 263-291. Lee, Charles M.C. and Bhaskaran Swaminathan, 2000, “Price Momentum and Trading volume,” Journal of Finance 55, 2017-2069. Moskowitz, T.J. and M. Grinblatt, 1999, “Do Industries Explain Momentum?” Journal of Finance 54, 1249-1290. Odean, T, 1998, “Are Investors Reluctant to Realize Their Losses?” Journal of Finance 53, 1775-1798. Robert A. Levy, 1967, “Relative Strength as a Criterion for Investment Selection,” Journal of Finance 22, 595-610. Shefrin, Hersh, and Meir Statman, 1985, “The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence,＂ Journal of Finance 40, 777-790. Shumway, Tyler, and Guojun Wu, 2005, "Does Disposition Drive Momentum?" Working paper, University of Michigan Business School. Strobl, G., 2006, “Time-Varying Information Asymmetry and the Disposition Effect,” Working paper, University of North Carolina at Chapel Hill. 【中文部分】林美珍 (1992)，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碩士論文許勝吉 (1999)，台灣股市追漲殺跌策略與反向策略之實證分析比較，輔仁大學管理學研究所未出版碩士論文龔怡霖 (2001)，行為財務學—文獻回顧與未來發展，國立中央大學財務管理研究所碩士論文蔡德淵 (2002)，台灣股市「漲時重勢、跌時重質」之實證研究，國立成功大學企業管理研究所碩士論文沙勝毅 (1999)，台灣股票市場散戶與外資投資心理比較研究，銘傳大學國際企業管理研究所碩士論文林秉瑋 (2003)，台灣股市散戶投資人處分效果之實證研究，朝陽科技大學財務金融系碩士論文黃劍鈺 (2006)，台灣股市投資人處分效果之探討—考量資訊揭露、股票風險與投資人情緒之實證研究，國立台灣科技大學財務金融研究所未出版碩士論文蕭慧玲 (2008)，基金經理人交易動機與交易股票未來報酬關係之研究，東海大學財務金融研究所碩士論文
Description:	碩士國立政治大學國際經營與貿易學系 96351026
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0096351026
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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