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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


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/95515


    题名: 動能投資策略績效與其報酬來源之探討
    作者: 藍淑臻
    贡献者: 劉玉珍
    藍淑臻
    关键词: 動能投資
    週轉率
    動能生命週期
    行為理論
    日期: 2002
    上传时间: 2016-05-09 16:25:36 (UTC+8)
    摘要: 　　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。
    參考文獻: 1.Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, A model of investor sentiment, Journal of Financial Economics 49, 307—343
    2.Chan, Kalok, Allaudeen Hameed, and Wilson Tong, 2000, Profitability of momentum strategies in the international equity markets, Journal of Financial and Quantitative Analysis, 153-172.
    3.Chan, Louis K.C., Narasimhan Jegadeesh, and Josef Lakonishok, 1996, Momentum strategies, Journal of Finance 51, 1681—1713.
    4.Chan, Louis K.C., Narasimhan Jegadeesh, and Josef Lakonishok, 1999, The profitability of momentum strategies, Financial Analysts Journal, 80-90.
    5.Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, Investor psychology and security market under- and overreactions, Journal of Finance 53, 1839—1886.
    6.Datar , Vinay, Narayan Naik, and Robert Radcliffe, 1998, Liquidity and asset returns: An alternative test, Journal of Financial Markets 1, 203-220.
    7.DeBondt, Werner F. M., and Richard Thaler, 1985, Does the stock market overreact?, Journal of Finance 40, 793—805.
    8.DeBondt, Werner F. M., and Richard Thaler, 1987, Further evidence of investor overreaction and stock market seasonality, Journal of Finance 42, 557-581.
    9.Fama, Eugene F., 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, 383-417.
    10.Hong, Harrison, and Jeremy C. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143—2184.
    11.Hvidkjaer, Soeren, 2000, A trade-based analysis of momentum, working paper, 1-46.
    12.Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65—91.
    13.Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance, 699-720.
    14.Lakonishok, Josef, and Seymour Smidt, 1986, Volume for winners and losers: Taxation and other motives for stock trading, Journal of Finance 41, 951-974.
    15.Lee, Charles M.C., and Bhaskaran Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017-2069.
    16.Moskowitz, T. J., and M. Grinblatt, 1999, Do industries explain momentum, Journal of Finance, 54, 1249—1290.
    17.Rouwenhorst, Geert K., 1998, International momentum strategies, Journal of Finance 53, 267—284.
    描述: 碩士
    國立政治大學
    財務管理研究所
    89357017
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2010000387
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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