盈餘動量與價格動量策略於不同市場狀態之績效分析

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吳銘霖(Ming-Lin Wu) 查詢紙本館藏

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企業管理學系

論文名稱

盈餘動量與價格動量策略於不同市場狀態之績效分析
(The performance of Earnings Momentum and Price Momentum Strategies in the Different Market State)

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摘要(中)

動量策略自Jegadeesh and Tittman(1993)提出後已受眾多國內外學者爭相研究的焦點，更有許多學者想進一步對動量策略取得合理的解釋因素，本研究則主要以台灣股市為例，並參考Chan, Jegadeesh and Lakonishok (1996)之動量指標針對價格(R6)與盈餘動量策略(SUE、ABR)透過市場與景氣狀態探討其對於績效之影響性。
實證結果顯示價格動量策略在全期間未出現動量持續現象，指出價格動量策略持有1年(中期)以上，必須要在市場與景氣狀態向上時才具有顯著動量持續效果。而當市場與景氣狀態向下時，則可進行反向策略(Contrarian Strategy)並持有6個月以上則可獲得顯著利潤。
相對於盈餘動量策略績效較不受市場狀態之影響，全期間與市場狀態區分後依然具有動量持續效果且呈現「強者恆強、弱者恆弱」之現象，故持有期3年(長期)左右之投資可透過SUE進行投資組合之選取，若要行使僅持有3個月(短期)以內之投資，則可透過ABR動量策略並搭配KD技術指標更可獲得短期顯著利潤。
此外，就行為學派之過度反應反轉部份，則參考Cooper, Gutierrez and Hameed (2004)加入市場報酬平方值以檢驗結果顯示，價格動量策略與ABR盈餘動量策略呈現曲線關係，意即當過去股市報酬越高，股市過度反應會出現高點，之後則開始反轉賣壓出籠修正現象，此結果符合行為學派過度反應解釋現象，也與參考學者之實證研究相似。但SUE盈餘動量策略則依然為線性關係，未隨著市場報酬之過度反應而反轉之現象。

摘要(英)

It’s been a focus of research for many foreign and domestic scholars after Jegadeesh and Tittman(1993) develop the “momentum strategy” theory. Moreover there are many researchers desire to obtain more reasonable explanation for this strategy. Therefore, the main purpose of this research, take the stock market of Taiwan for example, is in order to find out the effect between the market state and the performance of price (earnings) momentum strategy.
The finding that the continuous effect of price momentum strategy (R6) is not exists when we consider all the period. Only as market state “UP”, the price momentum strategy can gain the statistically significant profit over one-year period. Conversely, as market state “Down”, we have better use contrarian strategy over six-month period.
In other hand, the market state is difficult to affect the performance of earnings momentum strategy. It still exist the continuous effect during in the complete period. Especially, SUE earnings momentum strategy is a better choice when we hold the portfolio for long time period (over 3 years). If deciding to do short-term investment (below 3 months), we can use ABR earnings momentum strategy and reference KD pattern to get the statistically significant profit.
Besides, according to Cooper, Gutierrez and Hameed’s (2004) method, we find that there is the overreacting phenomenon in the price momentum (R6) and ABR earnings momentum. It means profits continue to increase as market state improves until the peak is reached. In the end, it will diminish and course reversion because the overreacting phenomenon exists.

關鍵字(中)

★ 盈餘動量
★ 市場狀態
★ 投資策略
★ 價格動量
★ 過度反應
★ 反向策略

關鍵字(英)

★ Overreaction
★ Price Momentum
★ Market State
★ Earnings Momentum

論文目次

目錄.........................................................................................................................................IV
表目錄......................................................................................................................................V
圖目錄.....................................................................................................................................VI
第一章緒論........................................................................................................................1
第二章文獻探討................................................................................................................3
第三章研究設計................................................................................................................7
第四章實證分析..............................................................................................................13
第五章結論......................................................................................................................43
參考文獻.................................................................................................................................46

參考文獻

國內文獻
[1] 絲文銘，「股票市場過度反應與風險變化關係之探討」，證券市場發展季刊，24，1-37頁，1994
[2] 詹家昌、賴弘程，「結合技術指標與市場狀態對同期基金操作策略之研究」，證券市場發展季刊，15(1)，41-76頁，2003
[3] 曾家齊、丁碧惠，「市場狀態與動能投資策略績效關聯性之研究」，台灣金融財務季刊， 6(4)，1-19頁，2005
國外文獻
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指導教授

羅庚辛(Keng-Hsin Lo)

審核日期

2008-6-19

推文