結合營收之價格動能策略:以台灣股票市場為例

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謝嘉琪(Chia-chi Hsieh) 查詢紙本館藏

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財務金融學系在職專班

論文名稱

結合營收之價格動能策略:以台灣股票市場為例
(A Study in the combination of Revenue and Price Momentum Strategy: Evidence from Taiwan)

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摘要(中)

本研究以台灣證券交易所的上市公司為研究對象，分別透過不同頻率、樣本週期、營收成長率和多空市場等條件，檢視價格動能策略的獲利情況。當以月資料進行價格動能策略時，本研究無論在整體樣本期間或多空頭市場下，其實證結果均與過去文獻結果相符，為無顯著報酬現象。若改以週資料進行價格動能策略，其實證結果發現價格動能策略具顯著獲利能力。實證結果亦發現，當以週資料分別結合不同樣本週期、多空市場或結合營收成長率進行實證研究，在結合營收成長率時，能有較高獲利能力。此外，本研究更進一步分析價格動能策略的換股比例時，發現價格動能策略的形成期越短，其換股比例越高。代表若考量交易成本，較高的換股比例，可能影響價格動能策略的獲利能力。整體而言，本研究發現在台灣股票市場，仍可利用價格動能策略賺取超額報酬，該發現與效率市場假說相悖。

摘要(英)

This study uses companies listed in Taiwan Stock Exchange to investigate the profitability of various momentum strategies using different frequencies, sample periods, performance measures, and market states. Empirical results show that, consistent to previous studies, monthly momentum strategies cannot generate significant profits, except when the strategy is executed over the period not belong to bull or bear market. In contrast, weekly momentum strategies is profitable in Taiwanese stock market. Such findings are robust in different sample periods and market states. A combined weekly momentum strategy using prior price return and revenue growth can offer higher return. In addition, a higher turnover rate of momentum strategy is observed when the formation period is shorter and may deteriorate the momentum profits. Finally, empirical findings of profitable weekly momentum strategies may add to the large literature on challenging efficient market hypothesis.

關鍵字(中)

★ 動能策略
★ 價格動能策略

關鍵字(英)

★ Momentum

論文目次

一、緒論 ... 1
1-1研究背景與動機 ... 1
1-2研究目的... 4
1-3研究流程與架構... 5
二、文獻探討... 7
2-1價格動能策略相關文獻... 7
2-2反向策略相關文獻... 9
2-3元月效應相關文獻 ... 11
2-4區分多空頭市場之相關文獻 ... 13
三、研究方法與設計 .... 14
3-1資料來源與處理... 14
3-2研究方法 ... 20
3-3研究步驟 ... 23
四、實證結果與分析 ... 28
4-1基本統計量 ... 28
4-2月報酬價格動能策略... 29
4-3週報酬價格動能策略... 33
4-4換股比例分析 ... 39
五、結論與建議 ... 41
5-1研究結論 ... 41
5-2研究建議 ... 43
參考文獻 ... 44

參考文獻

一、英文參考文獻
[1] Bhardwaj, R. K., & Brooks, L. D., 1993, “Dual Betas from Bull and Bear Markets: Reversal of the Size Effects,” Journal of Financial Research, 16, 269-283.
[2] Bonin, J. M. & Moses, E. A., 1974, “Seasonal Variations in Prices of Individual Dow-Jones Industrial Stocks,” Journal of Financial and Quantitative Analysis, 9, 963–991
[3] Chan, K., A. Hameed, & W. Tong, 2000, “Profitablity of Momentum Strategies in the international Equity Market,” Journal of Financial and Quantitative Analysis 35, 153-172.
[4] Chou, P. H., Wei, K.C.J., & Chung, H., 2007, “Sources of Contrarian Profits in the Japanese Stock Market,” Journal of Empirical Finance, 14, 261-286.
[5] Conrad, J., & G. Kaul, 1998, “An Anatomy of Trading Strategies,” Review of Financial Studes 11, 489-519.
[6] De Bondt, W.F.M. and Richard H. Thaler, 1985, “Does the Stock Market Overreact?” Journal of Finance, 40, 793-808.
[7] De Bondt, W.F.M. and Richard H. Thaler, 1987, “Further Evidence on Investor Overreaction and Stock Market Seasonality,” Journal of Finance, 42, 557-581.
[8] Davison, Wallance N, III, 1989, ”A Note on The Behavior of Security return: A Test of Stock Market overreaction and efficiency,“ Journal of Finance Research, 4, 245-252.
[9] Fabozzi, F. J. and Francis, J.C., 1977, “Stability Tests for Alpha and Betas Over Bull and Bear Market Conditions,” Journal of Finance, 32, 1093-1099.
[10] Gultekin, M. N. and Gultekin, N. B., 1983, “Stock Market Seasonality: International Evidence,” Journal of Financial Economics, 12, 4, 469-481.
45
[11] Hong, Harrison, and Jeremy C. Stein, 1999, “A Unifed Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets,” Journal of Finance, 54, 2143-2184.
[12] Jegadeesh, Narasimhan, and Sheridan Titman, 1993, “Return to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 48, 65-91.
[13] Jegadeesh, Narasimhan, and Sheridan Titman, 2001, “Profitability of Momentum Strategies: An Ealuation of Alternative Explanations,” Journal of Finance, 56, 699-720.
[14] Keim, D. B., 1983, “Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence,” Journal of Financial Economics, 12, 1, 13-32.
[15] Kato, K and Schallheim, J. S., 1985, “The Week-End Effect in Common Stock Returns: The International Evidence,” Journal of Finance, 40, 2, 433-454.
[16] Lee, I., 1992, “Stock Market Seasonality: Some Evidence from the Pacific-Basin Countries,” Journal of Business Finance & Accounting, 19, 2, 199-210.
[17] Lehmann, B., 1990, “Fads, Martingales and Market Efficiency,“ Quarterly Journal of Economics, 105, 1-28.
[18] Lakonishok, J., A. Shleifer, and R.W. Vishny, 1994, “Contrarian Investment, Extrapolation, and Risk,“ Journal of Finance, 49, 1541-1578.
[19] Moon K. Kim and Badr E. Ismail, 1998, “An accounting Analysis of the Risk-Return Relationship in Bull and Bear Market, “Review of Financial Economics, 7, 173-182.
[20] Officer, R. R., 1975,”Seasonalities in Australian Capital Markets: Market Efficiency and Empirical Issues,” Journal of Financial Economics, 2, 29-51.
46
[21] Richards, A. J., 1995, “Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?” Journal of Finance, 52, 2129-2144.
[22] Rouwenhorst, K. G., 1998, “International Momentum Strategies,” Journal of Finance, 53, 267-284.
[23] Rozeff, M. S. and Kinney, W. R., 1976, “Capital Market Seasonality: The Case of Stock Returns,” Journal of Financial Economics, 3, 379-402
[24] Tong, W. H. S., 1992, “An Analysis of the January Effect of United States, Taiwan and South Korean Stock Returns,” Asia Pacific Journal of Management, 9, 2, 189-207.
[25] Zarowin, P., 1990, “Size, Seasonality and Stock Market Overreaction,” Journal of Financial and Quantitative Analysis, 25, 113-1125.
47
二、中文參考文獻
[1] 彭建偉，「各種動能策略在台灣股市的獲利性分析」，國立暨南國際大學財務金融學系研究所，碩士論文，民國100年
[2] 楊子德，「52週高價動能策略、價格動能策略、產業動能策略於台灣股票市場的獲利性比較與分析」，國立政治大學財務管理研究所，碩士論文，民國96年
[3] 張定喬，「動能策略與反向策略在台灣指數期貨市場之獲利能力」，國立交通大學財務金融研究所，碩士論文，民國100年
[4] 黃志弘，「台灣各類股股價變動之型態及結合動能策略與反向策略之交易測試」，國立臺北大學經濟學系研究所，碩士論文，民國99年
[5] 邱文志，「臺灣股票市場動能策略剖析-以次貸風暴期間為例」，國立中正大學財務金融研究所，碩士論文，民國99年
[6] 陳誌原，「動能策略與景氣循環」，國立中正大學財務金融研究所，碩士論文，民國97年
[7] 邱俞華，「中長期動能策略之研究：以台灣股市為例」，國立政治大學財務管理研究所，碩士論文，民國95年

指導教授

陳鴻毅

審核日期

2013-7-30

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