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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/95515


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95515


    Title: 動能投資策略績效與其報酬來源之探討
    Authors: 藍淑臻
    Contributors: 劉玉珍
    藍淑臻
    Keywords: 動能投資
    週轉率
    動能生命週期
    行為理論
    Date: 2002
    Issue Date: 2016-05-09 16:25:36 (UTC+8)
    Abstract: 　　本文主要是探討動能投資策略在台灣股市長、短期的獲利情況，及動能投資策略之適用時機，最後再從行為理論面來探討前述動能投資策略正向報酬之來源為何。首先，本文探討買進前期贏家投資組合且同時賣出前期輸家投資組合的動能投資策略在長、短期之獲利性，發現在台灣股市中，動能投資策略確實可以產生獲利。然而在考慮交易成本之後，動能投資策略的持有期間應不宜太短，以避免因過於頻繁的買賣，使得交易成本過高，而抵銷了原動能效果所產生的微薄獲利。
    　　接著，本文使用週轉率來判別動能投資策略之適用時機，發現台灣股市亦適用Lee and Swaminathan（2000）所提出的動能生命週期假說，低週轉率贏家投資組合將會延續前期的強勢走勢，而高週轉率輸家投資組合則將延續前期的弱勢走勢。因此買進低週轉率贏家投資組合並同時賣出高週轉率輸家投資組合的早期動能投資策略，會產生較佳的投資報酬。最後，本文利用調整後投資組合相對買賣壓值，進一步地從行為理論面來探討造成上述動能投資策略產生獲利的原因，結果發現動能投資組合在持有期初期的正報酬率是來自於投資人的初始反應不足。
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    Description: 碩士
    國立政治大學
    財務管理研究所
    89357017
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000387
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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