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

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题名:	盈餘動量與景氣循環之研究;The Research of Earnings Momentum and Business Cycle
作者:	鍾毓芬;Yu-fen Chung
贡献者:	企業管理研究所
关键词:	盈餘動量;投資策略;景氣循環;Business Cycle;Earnings Momentum;Investment Strategy
日期:	2008-06-06
上传时间:	2009-09-22 14:37:29 (UTC+8)
出版者:	國立中央大學圖書館
摘要:	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。 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.
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