從訊息面看台灣股市週報酬的動量現象

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蔡知倫(Chih-Lun Tsai) 查詢紙本館藏

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企業管理學系

論文名稱

從訊息面看台灣股市週報酬的動量現象
(Momentum in weekly return from information diffusion in the Taiwan stock market)

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摘要(中)

本研究以週報酬形成的動量策略檢視台灣股票市場在持有期一年內是否存在動量現象，實證結果發現：在持有期一年內有持續向上的動量現象，且極短期並未出現反轉現象。這樣的結果在加入訊息發佈這個因子後，持續的動量現象仍然存在，即無論有無明確公開訊息發佈或是從訊息本身的不確定性程度高低來觀察，動量投資策略仍然奏效，因此推論投資人在一年內對於訊息存在反應不足的現象，所以利用週報酬形成的動量策略可以獲利。

摘要(英)

This paper focuses on the existence of price momentum in weekly return over 52 weeks in the Taiwan stock market. The finding reveals price momentum in returns is up to one year and initial reversal never happens. The result is the same that momentum continuation following information diffusion over one year holding period. No matter how explicit the news release and uncertain the information itself is, the momentum strategies are effective. It is concluded that momentum profits in weekly return are attributed to investors’ under-reaction to information.

關鍵字(中)

★ 投資策略
★ 訊息
★ 反應不足
★ 動量

關鍵字(英)

★ investment strategies
★ momentum
★ under-reactions
★ information

論文目次

摘要 ............................I
Abstract ............................II
目錄 ............................III
圖目錄 ............................IV
表目錄 ............................V
第一章緒論 ...................1
第二章文獻探討與假說形成 ..........3
第三章研究設計 ...................7
第四章實證結果與分析..............15
第五章結論..........................23
參考文獻 ............................25

參考文獻

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指導教授

羅庚辛(Keng-Hsin Lo)

審核日期

2008-6-25

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