姓名 單家慶(Chia-Ching Shan) 查詢紙本館藏 畢業系所 財務金融學系 論文名稱 52週高價策略和一般動能策略探討
(The 52-week High and Momentum investing Revisited)
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摘要(中) 本研究依據紐約證交所、美國證交所、那斯達克證劵交易所從1965年至2008年的資料做為樣本，探討一般傳統動能策略和52週高價動能策略上的差異，其中Jegadeesh and Titman (1993)的一般動能策略是將股票依據過去的報酬加以區分為贏家、輸家，而George and Hwang (2004)的52週高價動能策略是以股票過去52週的股價高價比代替過去六個月報酬做為分類的準則。本研究將股票採用兩種不同的動能策略進行分類組成贏家、輸家投資組合，再從贏家和輸家的投資組合中以另一種動能策略加以分類贏家、輸家投資組合。結果發現只有在52週高價動能策略中的輸家投資組合裡一般動能策略才會有顯著獲利能力，但52週高價動能策略則是不管屬於一般動能策略中的贏家或輸家投資組合中皆可以獲得顯著的報酬。
摘要(英) We use common stocks listed on the NYSE, AMEX, and NASDAQ exchanges from January 1965 to December 2008 to compare the differences between two momentum strategies which are 52-week high strategy and JT’s momentum strategy. The JT’s momentum strategy is ranked by returns from the past 6 months, where George and Hwang (2004) use the 52-week high ratio to measure the stock performance. For each of two strategies, we classify stocks into winner, loser, and middle groups based on past returns (52-week high ratio), and then subdivide each group by using the 52-week high ratio (past returns). We find the return on JT strategy is positive only into the 52-week high loser group, but the returns on 52-week high strategy are always significantly positive no matter how past returns are classified. Moreover, we explore whether the 52-week high ratio shows significant explanatory power for stock returns. This paper indicates that the 52-week high ratio can explain the variation of stock returns, and this explanatory power cannot be eliminated by risk-adjustment. This research further explores whether the explanatory power of lagged returns are affected by 52-week high ratio. The empirical results also show that the momentum effect exists in the short-term, which can be eliminated by risk adjustment. While the momentum effect from medium-term is attributed to 52-week high ratio. Finally, we also consider the relationship between the returns on 52-week high strategy and investor sentiment. The results support that returns on 52-week high strategy are caused by short-term underreaction but not long-term overreaction.
關鍵字(中) ★ 投資人情緒
關鍵字(英) ★ Investor sentiment
★ BCS model
★ 52-week high ratio
★ Momentum Strategy
論文目次 Abstract i
Table of Contents iv
List of Tables v
1. Introduction 1
2. Data and Methodology 6
2-1. Data 6
2-2. Methodology 8
3. Result 11
3-1. Compare two momentum strategies 11
3-2. Pair-wise comparison of 52-week high and JT momentum strategies 12
3-3. BCS model 14
3-4. Robustness checks 16
3-5. Sentiment 18
4. Conclusion 20
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指導教授 周賓凰(Pin-Huang Chou) 審核日期 2010-7-16 推文 facebook plurk twitter funp google live udn HD myshare reddit netvibes friend youpush delicious baidu