動能策略中贏家與輸家投組之存續期間分析

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姓名

游莉芳(Li-Fang Yu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

動能策略中贏家與輸家投組之存續期間分析
(A Duration Based Analysis on Winner and Loser Portfolios of Momentum Strategy)

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摘要(中)

本研究主要探討公司股價報酬之存續期間與公司特性的關係。從實務的投資角度來看，分析動能策略的獲利時，需將交易成本予以考慮。當贏家(輸家)待在同一投組的時間越久，換股比率越低，因此可以降低交易成本的發生。本研究首先證實動能策略可以獲得超額報酬，進而分析不同形成期的換股比率和報酬存續期間。實證結果顯示投資人可透過買入小型或價值型的贏家並賣出大型或成長型的輸家，來降低換股時所產生的交易成本，以極大化動能獲利。此外，本研究發現存續期間較長的贏(輸)家並非完全取決於過去特定一個時點好的表現，而是因為自身未來持續地擁有好(差)的表現所致。

摘要(英)

Frequent trading may result in high trading costs and prevent the execution of profitable momentum strategy. This thesis tries to examine the turnover frequency of stocks in long-short portfolio of momentum strategy. Empirical results first provide the evidence that momentum strategy is profitable. Second, there are 39.21% (40.21%) winner (loser) stocks retaining their rankings in the next month based on six-month price return performances and the average turnover rate is 86.41% (87.73%) for winner (loser) portfolios in six-month/six-month momentum strategy. Third, the duration of winner (loser) stocks is related to firm size and book-to-market ratio, indicating that investors can buy smaller value stocks and sell larger growth loser to minimize trading cost and maximize the momentum profits. We also find that a winner (loser) with longer duration has consistently better price returns in the future rather than a very high price return in the past.

關鍵字(中)

★ 動能策略
★ 交易成本
★ 存續期間
★ 換股比率

關鍵字(英)

★ momentum strategy
★ trading cost
★ duration
★ turnover

論文目次

Contents
List of Tables V
List of Figures VI
1 Introduction 1
2 Literature Reviews 5
2.1 The phenomenon of momentum . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 The explanations of momentum . . . . . . . . . . . . . . . . . . . . . . . 6
2.3 Transaction cost . . . . . . . . . . . . . . . . . . . . . . . . . 8
3 Data and Methodology 11
3.1 Momentum strategies . . . . . . . . . . . . . . . . . . . . . . 11
3.2 Turnover rate . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.3 Duration . . . . . . . . . . . . . . . . . . . . .12
3.4 Sample . . . . . . . . . . . . . . . . . . . . . . . ..13
4 Empirical Results 16
4.1 Momentum profits . . . . . . . . . . . . . . . . . . . . . . . 16
4.2 Duration equal zero or one . . . . . . . . . . . . . . . . . . . . . . . . .. 19
4.3 Turnover . . . . . . . . . . . . . . . . . . . . 23
4.4 The relationship of duration, size, b/m, and prior return . . . . . 24
5 Conclusion 28
References 30
Appendix A 56

List of Tables
1 Summary Statistics . . . . . . . . . . . . . . . . . . . . . .32
2 Portfolio Characteristics . . . . . . . . . . . . . . . . . . . 33
3 Momentum Portfolio Returns . . . . . . . . . . . . . . . . . . . . . . . .35
4 Momentum Portfolio Risk-Adjusted Returns . . . . . . . . . . . . . . 36
5 Momentum Portfolio Returns in Event Time . . . . . . . . . . . . . . 38
6 Returns of Winner and Loser Portfolios in Event Time . . . . . . . . 40
7 Distribution of Incumbent Portfolios . . . . . . . . . . . . . . . . . . . . . 42
8 The Characteristics of Incumbent Portfolios- Univariate Analysis . . . . . 43
9 The Characteristics of Incumbent Portfolios- Probit Analysis . . . . . 46
10 Turnover Rates of Momentum Strategies . . . . . . . . . . . . . 47
11 Summary Statistics of Duration . . . . . . . . . . . . . . . . . . . . . 48
12 The Relationship of Duration and Firm Characteristics- Univariate Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
13 The Relationship of Duration and Firm Characteristics- Multivariate Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54

List of Figures
1 Cumulative Return in Event Time . . . . . . . . . . . . . . . . . . . . . . 61
2 The Relationship of Duration and Firm Characteristics- Univariate Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63

參考文獻

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指導教授

陳鴻毅

審核日期

2013-7-17

推文