52週高價策略和一般動能策略探討

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：41

、訪客IP：18.117.91.116

姓名

單家慶(Chia-Ching Shan) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

52週高價策略和一般動能策略探討
(The 52-week High and Momentum investing Revisited)

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)

本研究依據紐約證交所、美國證交所、那斯達克證劵交易所從1965年至2008年的資料做為樣本，探討一般傳統動能策略和52週高價動能策略上的差異，其中Jegadeesh and Titman (1993)的一般動能策略是將股票依據過去的報酬加以區分為贏家、輸家，而George and Hwang (2004)的52週高價動能策略是以股票過去52週的股價高價比代替過去六個月報酬做為分類的準則。本研究將股票採用兩種不同的動能策略進行分類組成贏家、輸家投資組合，再從贏家和輸家的投資組合中以另一種動能策略加以分類贏家、輸家投資組合。結果發現只有在52週高價動能策略中的輸家投資組合裡一般動能策略才會有顯著獲利能力，但52週高價動能策略則是不管屬於一般動能策略中的贏家或輸家投資組合中皆可以獲得顯著的報酬。
首先，探討是否52週股價高價比對報酬有顯著的解釋能力，研究發現52週股價高價比對股票的報酬存在顯著的解釋能力，並且此顯著的解釋能力無法經由風險調整來說明。接著更進一步的探討過去報酬對未來報酬的解釋能力是否會受到52週股價高價比的影響。實證結果指出，一般動能策略的效果僅存在於短期，並且可以經由風險調整而解釋掉，但中期的動能現象則是由52週股價高價比的效果所產生的。研究最後加入投資人情緒指標，探討52週高價動能策略和投資人情緒的關聯性，發現52週高價動能策略的獲利性是由於投資人短期低估的影響造成。

摘要(英)

We use common stocks listed on the NYSE, AMEX, and NASDAQ exchanges from January 1965 to December 2008 to compare the differences between two momentum strategies which are 52-week high strategy and JT’s momentum strategy. The JT’s momentum strategy is ranked by returns from the past 6 months, where George and Hwang (2004) use the 52-week high ratio to measure the stock performance. For each of two strategies, we classify stocks into winner, loser, and middle groups based on past returns (52-week high ratio), and then subdivide each group by using the 52-week high ratio (past returns). We find the return on JT strategy is positive only into the 52-week high loser group, but the returns on 52-week high strategy are always significantly positive no matter how past returns are classified. Moreover, we explore whether the 52-week high ratio shows significant explanatory power for stock returns. This paper indicates that the 52-week high ratio can explain the variation of stock returns, and this explanatory power cannot be eliminated by risk-adjustment. This research further explores whether the explanatory power of lagged returns are affected by 52-week high ratio. The empirical results also show that the momentum effect exists in the short-term, which can be eliminated by risk adjustment. While the momentum effect from medium-term is attributed to 52-week high ratio. Finally, we also consider the relationship between the returns on 52-week high strategy and investor sentiment. The results support that returns on 52-week high strategy are caused by short-term underreaction but not long-term overreaction.

關鍵字(中)

★ 投資人情緒
★ BCS模型
★ 52週股價高價比
★ 動能策略

關鍵字(英)

★ Investor sentiment
★ BCS model
★ 52-week high ratio
★ Momentum Strategy

論文目次

Abstract i
摘要 ii
致謝詞 iii
Table of Contents iv
List of Tables v
1. Introduction 1
2. Data and Methodology 6
2-1. Data 6
2-2. Methodology 8
3. Result 11
3-1. Compare two momentum strategies 11
3-2. Pair-wise comparison of 52-week high and JT momentum strategies 12
3-3. BCS model 14
3-4. Robustness checks 16
3-5. Sentiment 18
4. Conclusion 20
References 23

參考文獻

Basu, S., 1977, “The Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: Test of the Efficient Markets Hypothesis,” Journal of Finance, 32, 663-682.
Banz, Rolf W., 1981, “The Relationship between Return and Market Value of Common Stocks,” Journal of Financial Economics, 9, 3-18.
Brennan, Michael J., Tarun Chordia, and Avanidhar Subrahmanyam, 1998, “Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns,” Journal of Financial Economics, 49, 345-373.
Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, “A Model of Investor Sentiment,” Journal of Financial Economics, 49, 307–343.
Baker, Malcolm, and Jeffrey Wurgler, 2000, “The Equity Share in New Issues and Aggregate Stock Returns,” Journal of Finance, 55, 2219–2257.
Baker, Malcolm, and Jeffrey Wurgler, 2004, “A Catering Theory of Dividends,” Journal of Finance, 59, 1125–1165.
Baker, Malcolm, and Jeffrey Wurgler, 2006, “Investor Sentiment and the Cross-Section of Stock Returns,” Journal of Finance, 61, 1645–80.
Baker, Malcolm, and Jeremy C. Stein, 2004, “Market Liquidity as a Sentiment Indicator,” Journal of Financial Markets, 7, 271–299.
Chou, Pin-Huang, Kuan-Cheng Ko, and Shinn-Juh Lin, 2009, “Do Relative Leverage and Relative Distress Really Explain Size and Book-to-Market Anomalies,” Journal of Financial Markets, 13, 77-100.
Daniel, Kent, and Sheridan Titman, 1997, “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,” Journal of Finance, 52, 1–33.
Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, “Investors, Psychology and Security Market Under- and Overreactions,” Journal of Finance, 53, 1839–1885.
Fama, Eugene F., and James D. MacBeth, 1973, “Risk, Return and Equilibrium: Empirical Tests,” Journal of Political Economy, 81, 607–636.
Fama, Eugene F., and Kenneth R. French, 1992, “The Cross Section of Expected Stock Returns,” Journal of Finance, 47, 427-466.
Fama, Eugene F., and Kenneth R. French, 1993, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33, 3-56.
Fama, Eugene F., and Kenneth R. French, 1996,“Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance, 51, 55-84.
Fama, Eugene F., and Kenneth R. French, 1998, “Value versus Growth: The International evidence,” Journal of Finance, 53, 1975-2000.
Gibbons, Michael R., 1982, “Multivariate tests of Financial models: a new approach,” Journal of Financial Economics, 10, 3-27.
George, Thomas J., and Chuan-Yang Hwang, 2004,“ The 52-Week High and Momentum Investing,” Journal of Finance, 5, 2145-2176.
Hong, Harrison, and Jeremy C. Stein, 1999, “A Unifies Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,” Journal of Finance, 54, 2143-2185.
Huddart, Steven, Mark Lang, and Michelle H. Yetman, 2009, “Volume and Price Patterns around a Stock’s 52-Week Highs and Lows: Theory and Evidence,” Management Science, 55, 16-31.
Ibbotson, Roger, Jody Sindelar, and Jay Ritter, 1994,“The Market’s Problems with the Pricing of Initial Public Offerings,” Journal of Applied Corporate Finance, 7, 66–74.
Jegadeesh, Narasimhan, 1990, “Evidence of Predictable Behavior of Security Returns,” Journal of Finance, 45, 881-898.
Jegadeesh, Narasimhan, and Sheridan Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 43, 65-91.
Jacobs, Bruce I., and Kenneth N. Levy, 1989, “Forecasting the Size Effect,” Financial Analysts Journal, 45, 38-54.
Jones, Charles M., 2002, “A Century of Stock Market Liquidity and Trading Costs,” Working paper, Columbia University.
Knez, Peter J., Mark J. Ready, 1997, “On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions,” Journal of Finance, 52, 1355-1382.
Lintner, John, 1965, “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Assets,” Review of Economics and Statistics, 47, 13-37.
Litzenberger, Robert H., and Krishna Ramaswamy, 1979, “Dividends, Short-Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium,” Journal of Financial Economics, 7, 163-196.
Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance, 49, 1541–1578.
Lehavy, Reuven, and Richard G. Sloan, 2007, “Investor Recognition and Stock Returns,” Review of Accounting Studies.
Lee, Charles M. C., Andrei Shleifer, and Richard H. Thaler, 1991, “Investor Sentiment and the Closed-End Fund Puzzle,” Journal of Finance, 46, 75–109.
Neal, Robert, and Simon M. Wheatley, 1998, “Do measures of investor sentiment predict stock returns,” Journal of Financial and Quantitative Analysis 34, 523–547.
Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, “Persuasive Evidence of Market Inefficiency,” Journal of Portfolio Management, 11, 9-17.
Ritter, Jay R., 1991, “The Long-Run Performance of Initial Public Offerings,” Journal of Finance, 46, 3–27.
Sharpe, William F., 1964, “Capital Asset Prices: a Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, 19, 425-442.
Stambaugh, Robert F., 1982, “On the Exclusion of Assets from Tests of the Two-Parameter Model: a Sensitivity Analysis,” Journal of Financial Economics, 10, 237-268.
Stigler, George J., 1964, “Public Regulation of the Securities Markets,” Journal of Business, 37, 117–142.
Moskowitz, Tobias J., and Mark Grinblatt, 1999,“ Do Industries Explain Momentum?” Journal of Finance, 54, 1249–1290.
Zweig, Martin E., 1973,“An Investor Expectations Stock Price Predictive Model Using Closed-End Fund Premiums,” Journal of Finance, 28, 67–87.

指導教授

周賓凰(Pin-Huang Chou)

審核日期

2010-7-16

推文