博碩士論文 93428007 完整後設資料紀錄

DC 欄位	值	語言
DC.contributor	財務金融學系	zh_TW
DC.creator	黃婉淩	zh_TW
DC.creator	Wan-Ling Huang	en_US
dc.date.accessioned	2006-6-20T07:39:07Z
dc.date.available	2006-6-20T07:39:07Z
dc.date.issued	2006
dc.identifier.uri	http://ir.lib.ncu.edu.tw:88/thesis/view_etd.asp?URN=93428007
dc.contributor.department	財務金融學系	zh_TW
DC.description	國立中央大學	zh_TW
DC.description	National Central University	en_US
dc.description.abstract	我們運用隨機優勢法檢測反向與動能策略的績效，資料是從Datastream International擷取而來的，而樣本期間從1980年至2004年。在測試反向策略時，不論用等值加權法或價值加權法，在全球，美國或非美國市場，我們都發現有強大證據支持輸家投資組合隨機的優於贏家投資組合。然而，當我們研究動能策略時，利用等值加權法得到的結果都發現反而是輸家投資組合隨機的優於贏家投資組合，這一點與過去的文獻有很大的不同。此外，在我們運用價值加權法時之後，會發現在全球市場中，贏家與輸家投資組合並沒有隨機優勢的關係;而在非美國市場中，輸家投資組合有隨機優於贏家投資組合的關係。	zh_TW
dc.description.abstract	We apply the stochastic dominance approach to examine momentum and contrarian strategies. The data is from the Datastream International, and the sample period is from 1980 to 2004. We find strong evidence that loser portfolios stochastically dominate winner portfolios on contrarian strategies in global, US, and Non-US market based on equal-weighted and value-weighted calculation. As for momentum strategies, We find the loser portfolios stochastically dominate winner portfolios when we use equal-weighted evaluation. This is in sharp contrast to past literatures. In addition, there is no stochastic dominance relation between winner and loser portfolios in global market and the winner portfolios stochastic dominance loser portfolios in Non-US market under value- weighted scheme.	en_US
DC.subject	隨機優勢	zh_TW
DC.subject	反向策略	zh_TW
DC.subject	動能策略	zh_TW
DC.subject	Stochastic Dominance	en_US
DC.subject	Contrarian Strategy	en_US
DC.subject	Momen	en_US
DC.title	全球反向與動能策略	zh_TW
dc.language.iso	zh-TW	zh-TW
DC.title	International Contrarian and Momentum Strategies:A Stochastic Dominance Perspective	en_US
DC.type	博碩士論文	zh_TW
DC.type	thesis	en_US
DC.publisher	National Central University	en_US