盈餘動量與景氣循環之研究

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姓名

鍾毓芬(Yu-fen Chung) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

盈餘動量與景氣循環之研究
(The Research of Earnings Momentum and Business Cycle)

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摘要(中)

許多文獻相繼探討由Jegadeesh and Titman(1993)所提出的動量策略報酬異常現象，最近的相關文獻認為總體經濟因素可以用來解釋動量策略報酬，本研究則參考由Chan,Jegadeesh and Lakonshok(1996)等學者所提出的盈餘動量，探討景氣循環對盈餘動量策略報酬的影響。實證結果發現台灣股票市場存在盈餘動量現象，且以持有期間為三個月的效果最好。盈餘動量策略適用於景氣擴張期，衰退期採取放空輸家投資組合可以獲得較好的報酬。總體經濟變數中的景氣對策訊號、貨幣供給額與股價指數變動率與盈餘動量策略報酬呈負向關係，而失業率則呈正向關係。

摘要(英)

Many documents have discussed the anomalies of momentum strategy documented by Jegadeesh and Titman (1993), the most recent literature argued that macroeconomic variables can explain momentum profits. This paper refers to earnings momentum proposed by Chan, Jegadeesh and Lakonishok (1996) and investigates the relation of earnings momentum and business cycle. The empirical results show that it has earnings momentum in Taiwan’’s stock market, and the three-month period as a holding period is the best. Earnings momentum strategy is applicable in the expansion period, and taking a short losers portfolio would be better in the recession period. Macroeconomic variables in the monitoring indicators total score (MIS), money supply (M1B) and stock price index (SPI) of earnings momentum strategies with a negative return to the relationship, and the unemployment rate (UR) shows a positive relationship.

關鍵字(中)

★ 盈餘動量
★ 投資策略
★ 景氣循環

關鍵字(英)

★ Business Cycle
★ Earnings Momentum
★ Investment Strategy

論文目次

目錄
中文摘要 …………………………………………… I
英文摘要 …………………………………………… II
誌謝 ………………………………………………… III
目錄 ………………………………………………… IV
表目錄 ……………………………………………… V
第壹章緒論 ……………………………………… 1
第貳章文獻探討與假說形成 …………………… 3
第參章研究設計 ………………………………… 6
第肆章實證結果與分析 ………………………… 9
第伍章結論 ……………………………………… 25
參考文獻 …………………………………………… 27

參考文獻

參考文獻
中文參考文獻
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指導教授

羅庚辛(Keng-hsin Lo)

審核日期

2008-6-19

推文