營收與價格動能：隨機優勢風險指標之應用

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：28

、訪客IP：18.225.72.181

姓名

楊青倫(CHING-LUN YANG) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

營收與價格動能：隨機優勢風險指標之應用
(Sales and price momentum)

相關論文

★ 避險基金之績效評估	★ 展望理論與共同基金績效
★ 生命週期基金 :行為財務學觀點	★ 行為特性與投資績效相關性之研究
★ 專業投資人行為特性探討	★ 中小型企業融資缺口與資訊不對稱之探討
★ 九型人格特質與理財偏誤行為之相關性研究	★ 銀行通路轉型策略個案研究
★ 銀行財富管理行銷策略分析-以兩家在台外商銀行為例	★ 羅盤玫瑰可預測型態之探討
★ 巢式與非巢式資產定價理論之比較與檢定	★ 投資者情緒與市場報酬
★ 資產定價模型樣本外績效之檢定	★ 規模效果和元月效應之微觀
★ 因子或特徵:全球觀點	★ 特徵與因子：日本證據

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

在台灣市場營業收入的資訊為每月公告，較財務報表的公告有更高的頻率。因此，關注營收的資訊有其必要性。本文運用 Schnytzer and Westreich (2013) 修正Aumann and Serrano (2008) 的風險指標公式分別計算價格風險與營收風險。由於每家公司都有不同的產業循環，因此本文考慮注意更長的時間範圍信息。本文在兩個時間視野中進行了研究，分別為 12 個月(短期)和 60 個月(長期)。研究結果發現，個別股票的價格風險和營收風險對其預期回報均存在效果。進一步，研究分別從是短期價格風險，長期價格風險，短期銷售風險和長期銷售風險建立四個動能投資組合。四個動能組合沒有明顯的反轉。短期和長期價格風險的平均每月回報隨著時間的推移而下降，這意味著在較短的時間內有較高的效果。短期營收風險的月平均報酬率在較短時間內較高。而長期營收風險的效果是穩定的，持續超過 50 個月。

摘要(英)

The sales announcement published per month by the firm listed on Taiwan Securities Market is more frequently than the financial report. Hence, investors should pay attention to sales announcement. This paper calculates price risk and sales risk based on Aumann and Serrano (2008) measure of riskiness adjusted by Schnytzer and Westreich (2013). Because each firm has different industrial cycles, this paper considers pays attention to a longer time horizon information. This paper studied in two horizons, 12 months(short-term) and 60 months(long-term). The results of the study found that price risk and sales risk of individual stocks both exist effect on its expected return. Further, study separately constructs four self-financing portfolios from short-term price risk, long-term price risk, short-term sales risk and long-term sales risk. There is no clear reversal on four self-financing portfolios. The average monthly return of short-term and long-term price risk drops over time that means the effect is more effective in a shorter period. The average monthly return on short-term sales risk is higher in a shorter period. And the effect of long-term sales risk is stable, it continued for more than 50 months.

關鍵字(中)

★ 營業收入
★ 動能
★ 隨機優勢
★ 風險指標

關鍵字(英)

★ sales
★ revenue
★ momentum
★ stochastic dominance
★ risk index
★ riskiness

論文目次

摘要 i
ABSTRACT ii
誌謝 iii
表目錄 v
一、緒論 1
二、文獻回顧 3
2-1　　營收動能策略 3
2-2　　隨機優勢(Stochastic Dominance) 4
2-3　　風險指標 5
2-4　　風險指標在金融領域的文獻 8
三、實驗架構 9
四、資料來源與實證結果 12
4-1　　資料來源 12
4-2　　營收風險與價格風險的解釋能力 12
4-3　　營收風險、價格風險與預期股價報酬 13
4-4　　投資組合的預期報酬 15
4-5　　Fama-MacBeth 16
五、結論 18
Reference 31
中文文獻 32

參考文獻

Aumann, R., R. Serrano, 2008. An Economic Index of Riskiness. Journal of Political Economy, 116, 810-836.
Bali, T., N. Cakici, F. Chabi-Yo, 2011a. Riskiness Measure and Expected Returns. Available at SSRN: http://ssrn.com/abstract=1806349
Bali, T., N. Cakici, F. Chabi-Yo, 2011b. A generalized measure of riskiness. Management Science, 57, 1406-1423.
Barbee Jr., W. C., S. Mukherji, G. A. Raines, 1996. Do sales–price and debt-equity explain stock returns better than book–market and firm size? Financial Analysts Journal, 52, 56-60.
Clark, E., K. Kassimatis, 2014. Exploiting stochastic dominance to generate abnormal stock returns. Journal of Financial Markets, 20, 20-38.
Dorfleitner, G., 2003. Why the return notion matters. International Journal of Theoretical and Applied Finance, 6, 73-86.
Ebert, U., 2005. Measures of downside risk. Economics Bulletin, 4, 1-9.
Fama. E. F., J. MacBeth, 1973. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 81, 607-636.
Fama, E. F., K. R. French, 1992. The Cross-Section of Expected Stock Returns. Journal of Finance, 47, 427-465.
Foster, D., S. Hart, 2009. An operational measure of riskiness. Journal of Political Economy, 117, 785-814.
Homm, U., C. Pigorsch, 2012. Beyond the Sharpe ratio: An application of the Aumann-Serrano index to performance measurement. Journal of Banking & Finance, 36, 2274-2284.
Hong, J., J. Zhai, 2010. An Objective Measure of Risk. Industrial Engineering and Engineering Management(IEEM), 2010 IEEE International Conference, 1836-1839.
Huang, W., Q. Liu, G. Rhee, F. Wu, 2012. Extreme Downside Risk and Expected Stock Returns. Journal of Banking & Finance, 36, 1492-1502.
Jegadeesh, N., J. Livnat, 2006. Revenue surprises and stock returns. Journal of Accounting and Economics, 41(1-2), 147-171.
Markowitz, H. M., 1952. Portfolio selection. Journal of Finance, 7, 77-91.
Moskowitz, T. J., M. Grinblatt, 1999. Do industries explain momentum? Journal of Finance, 54, 1249-1290.
Schnytzer, A., S. Westreich, 2013. A global index of riskiness. Economics Letters, 3, 493-496.
Unser, M., 2000. Lower Partial Moments as Measures of Perceived Risk: An Experimental Study. Journal of Economic Psychology, 21, 253–280.

顧廣平，2010。「營收動能策略」，管理學報，27(3)，267-289。
顧廣平，2011。「盈餘與營收動能」，管理學報，28(6)，521-544。
顧廣平，2016。「營收動能生命週期」，商管科技季刊，17(2)，207-239。

指導教授

周賓凰(Pin-Huang Chou)

審核日期

2018-6-22

推文