全球反向與動能策略

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姓名

黃婉淩(Wan-Ling Huang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

全球反向與動能策略
(International Contrarian and Momentum Strategies:A Stochastic Dominance Perspective)

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摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 隨機優勢
★ 反向策略
★ 動能策略

關鍵字(英)

★ Stochastic Dominance
★ Contrarian Strategy
★ Momen

論文目次

Contents
1. Introduction…………………………………………1
2. Review Past Research………………………………3
2.1.Review Past Research on Contrarian
Strategies…………………………………………3
2.2.Review Past Research on Momentum
Strategies……………………………… ………4
3.Data and Strategy……………………………………6
3.1. Data………………………………………………6
3.2. Contrarian Strategy…………… ……………6
3.3. Momentum Strategy…………………… ………8
4. Methodology……………………………… …………9
5. Empirical Results…………………………………13
5.1.Results for the Global,US and Non-Us
Samples on Contrarian Strategies…… ……13
5.1.1. Equal-Weighted Results…… ……………13
5.1.2. Value-Weighted Results………… ………15
5.2. Results for the Global,US and Non-US
Samples on Momentum Strategies……… ……17
5.2.1. Equal-Weighted Results……… …………17
5.2.2. Value-Weighted Results…………… ……19
6. Conclusion…………………………………… ……21
References………………………………………………23
Appendix A: Data Formation…………………………26
Appendix B: Methodology Details………… ………28
Appendix C: Descriptive Statistics with Value- Weighted Calculation…32

參考文獻

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指導教授

何耕宇(Keng-Yu Ho)

審核日期

2006-6-20

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