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姓名 謝嘉宇(Chia-Yu Hsieh)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 短期動能與長期反轉: 全球性的視野
(Short-Term Momentum and Long-Term Reversal: A Global Perspective)
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摘要(中) 雖然George and Hwang(2007)設計的52週高點和五年低點度量來解釋動能策略以及報酬反轉是分開的現象,之前對於用此兩種度量來解釋現象的實證是相對缺乏的。本文研究George and Hwang(2007)的結果是否一致存在於全球市場,進而文化可以解釋投資者的行為與否。這項研究延伸他們的研究模型至全球市場,我們根據 Stulz and Williamson (2003) 的觀點,研究文化指標,包含個人主義,宗教和語言,以及證券交易所成熟度和資本利得稅,是否可以解釋短期動能與長期反轉的現象。研究結果發現,全球市場與George and Hwang(2003, 2007)的觀點並不一致。進一步分析顯示,個人主義指數對短期動能與長期報酬似乎比較有解釋能力。
摘要(英) While George and Hwang (2007) showed that the short-term momentum and long-term reversals are separate phenomena, it is not clear if their theories hold for markets outside the US. This paper investigates whether the results of George and Hwang (2007) hold around the world, and examines whether culture difference can explain investor’s behavioral. Motivated by Stulz and Williamson (2003), I examine whether several culture proxies, i.e., individualism, religion and language, and other alternative measures such as the history of stock exchange and capital-gain lock-in effect, could explain the performance on various trading strategies. The findings suggest that the results of George and Hwang (2007) are not significant around the world and that individualism had higher explanatory power on investor behavior. Moreover, other culture proxies had insignificant effect. When we tested all proxies in the regression, the result was insignificant. These findings implied that individualism index could explain investor’s decisions around the world.
關鍵字(中) ★ 個人主義
★ 資本利得鎖定
★ 動量策略
★ 52週高點
關鍵字(英) ★ Individualism
★ Momentum strategy
★ 52-week high
★ Capital gains lock-in
論文目次 中文摘要 .................................................................................................................................... i
Abstract ...................................................................................................................................... ii
Contents .................................................................................................................................... iii
List of Tables ............................................................................................................................. iv
1. Introduction ............................................................................................................................ 1
2. Data and Methodology ........................................................................................................... 5
A. Data ................................................................................................................................... 5
B. Methodology ...................................................................................................................... 6
3. Result ................................................................................................................................... 11
4. Conclusion ............................................................................................................................ 19
References ............................................................................................................................... 20
Appendix ................................................................................................................................. 22
參考文獻 [1] Chui, Chun-Wai, Sheridan Titman, and K.C. John Wei, 2004, “Individualism and Momentum around the World,” Working paper, 1-46.
[2] Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998, “A Model of Investor Sentiment,” Journal of Financial Economics, 49, 307–343.
[3] Daniel, Kent, and Sheridan Titman, 1997, “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns,” Journal of Finance, 52, 1–33.
[4] Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998, “Investors,
Psychology and Security Market Under-reactions and Overreactions,” Journal of
Finance, 53,1839–1885.
[5] Du, D., 2008, “The 52-Week High and Momentum Investing in International Stock Indexes,” The Quarterly Review of Economics and Finance ,48, 61-77.
[6] Fama, Eugene F., and James D. MacBeth, 1973, “Risk, Return and Equilibrium: Empirical Tests,” Journal of Political Economy, 81, 607–636.
[7] Fama, Eugene, 1976, Foundations of Finance: Portfolio Decisions and Securities
Prices (Basic BooksInc., New York).
[8] George, Thomas J., and Chuan-Yang Hwang, 2004,“ The 52-Week High and Momentum Investing,” Journal of Finance, 5, 2145-2176.
[9] George, Thomas J., and Chuan-Yang Hwang, 2007,“Long-term return reversals: Overreaction or Taxes?,” Journal of Finance ,62, 2865-2896.
[10] Heine, Steven J., Darrin R. Lehman, Hazel Rose Markus, and Shinobu Kitayama, 1999, ” Is There a Universal Need for Position Self-Regard?” Psychological Review ,106, 766-794
[11] Hong, Dong, Charles Lee, and Bhaskaran Swaminathan, 2003, ”Earning Momentum in International Markets,” Working paper, Cornell University.
[12] Jegadeesh, Narasimhan, and Sheridan Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 43, 65-91.
[13] Klein, Peter, 2001, “The Capital Gains Lock-in Effect and Long-Horizon Return
Reversals, ” Journal of Financial Economics ,59, 33-62.
[14] K. Geert R., 1998, “ International Momentum Strategies,” Journal of Finance, 54, 267-284.
[15] Markus, Hazel Rose and Shinobu Kitayama, 1991, “Culture and the Self: Implications for Cognition, Emotion, and Motivation,” Psychological Review ,98, 224-253.
[16] Mark G., and Matti Keloharju, 2004, “Tax-Loss Trading and Wash Sales,” Journal of Financial Economics ,71, 51-76 .
[17] Ranjan D., Stephen P. Ferris, Chuan Yang Hwang, 2003, “The Tax-Loss Selling Hypothesis, Market Liquidity, and Price Pressure around the Turn-of-the-Year,” Journal of Financial Markets ,6, 73-98 .
[18] Stulz, Rene’ M., and Rohan Williamson, 2003, “Culture, Openness, and Finance, ” Journal of Financial Economics ,70, 313-349.
[19] Zhonglan D., Edward Maydew, Douglas A. Shackelford, and Harold H. Zhang, 2008, “Capital Gains Taxes and Asset Prices: Capitalization or Lock-in, ” The Journal of Finance ,63, 61-77 .
指導教授 周賓凰(Pin-Huang Chou) 審核日期 2011-7-10
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