動能投資策略分析

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：35

、訪客IP：18.219.18.238

姓名

吳建臺(Chien-Tai Wu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

動能投資策略分析
(Analysis of Momentum Investment Strategies)

相關論文

★ 避險基金之績效評估	★ 展望理論與共同基金績效
★ 生命週期基金 :行為財務學觀點	★ 行為特性與投資績效相關性之研究
★ 專業投資人行為特性探討	★ 中小型企業融資缺口與資訊不對稱之探討
★ 九型人格特質與理財偏誤行為之相關性研究	★ 銀行通路轉型策略個案研究
★ 銀行財富管理行銷策略分析-以兩家在台外商銀行為例	★ 羅盤玫瑰可預測型態之探討
★ 巢式與非巢式資產定價理論之比較與檢定	★ 投資者情緒與市場報酬
★ 資產定價模型樣本外績效之檢定	★ 規模效果和元月效應之微觀
★ 因子或特徵:全球觀點	★ 特徵與因子：日本證據

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本論文主要研究動能投資策略，第一個部分探討以個股為操作對象之動能策略，及以投組為操作對象之動能策略，兩者報酬結構之差異，並解釋造成個股動能與投組動能在長短期報酬表現不同之原因。更明確地說，藉由將投組動能報酬拆解為個股報酬的時間可預測性(而非投組報酬的時間可預測性)以及期望報酬的橫斷面變異，本文得以清楚比較造成投組動能與個股動能策略報酬差異的原因。利用CRSP資料實證的結果顯示，個股橫斷面相關對投組動能報酬的影響，區分為兩個部分，不管個股橫斷面相關的符號為何，此兩部分都將彼此相互抵銷部份效果，此外，投組動能會大幅稀釋個股自我相關對動能報酬之影響，同時降低期望報酬橫斷面變異的效果。投組動能的上述特性加上個股時間數列可預測性的型態，是造成個股動能與投組動能策略報酬差異之原因。本論文的第二個部分是探討跨國動能投資策略，隨著全球化的持續進行，各國資本市場的日益開放與整合，跨國投資成為常態，因此跨國投資策略的研究益形重要。利用Datastream資料庫全球股價資料進行的實證結果顯示，動能報酬存在於視全世界為一整體的股票市場內，且在此單一的整體市場中，不管是個股動能或投組動能皆能獲利。在動能報酬來源方面，個股動能的報酬主要來自期望報酬的橫斷面變異，國家投組與產業投組的報酬來源有相當大的比例來自投組時間數列的可預測性，但兩者又有所區別，時間數列可預測性對國家投組動能的貢獻主要來自國家投組自我相關的部分，而產業投組動能則主要來自產業投組橫斷面相關部分。

摘要(英)

This thesis is consisted of two essays that investigate various aspects of the momentum investment strategies. The first essay investigates the sources of individual stock-based and portfolio-based momentum profits by decomposing the portfolio-based momentum profits into time-series predictability of individual stock returns, and brings out the explanations of different performances of the two different kinds of momentum strategies in different investment horizons. Empirical findings reveal that the effects of cross-autocorrelation on portfolio-based momentum are divided into two parts; regardless signs of the cross-autocorrelations, this two parts will cancel out each other partly. Besides, the formation of portfolio will dilute the effects of autocorrelation on portfolio momentums and reduce the cross-sectional variation in expected returns. The characteristics of portfolio-based momentum mentioned above, and the time-series characteristics of individual returns, are the main reasons that cause different performance. The second essay analyzes global momentum strategies. Using Datastream database, we found that momentum profits exist in global stock markets as a whole, no matter individual stock-based or portfolio-based momentum. The profits of individual stock-based momentum mostly come from cross-sectional variation in expected returns, but a large part of portfolio-based momentum returns comes from time-series predictability. For country momentum, it is autocorrelation that contributes momentum profits, and for industry momentum, it is cross-autocorrelation that contributes momentum profits.

關鍵字(中)

★ 橫斷面共變異
★ 自我共變異
★ 動能投資策略

關鍵字(英)

★ cross-autocorrelation
★ autocorrelation
★ momentum strategy

論文目次

第一章介紹..............................................1
第二章個股與投組動能投資策略之差異......................5
第一節本章摘要........................................5
第二節前言............................................5
第三節理論模型.......................................10
一、個股與投組序列共變異矩陣..........................10
二、個股與投組動能策略報酬之拆解與比較................12
三、個股與投組動能策略報酬之期限結構..................17
第四節實證資料與方法.................................18
第五節實證結果分析...................................21
一、個股與投組動能策略報酬............................21
二、個股與投組動能策略報酬之差異來源..................23
(一)個股動能報酬來源拆解............................23
(二)投組動能報酬來源拆解............................24
(三)分析與比較......................................29
第六節本章結論.......................................32
第三章跨國動能投資策略分析.............................35
第一節本章摘要.......................................35
第二節前言...........................................35
第三節資料來源與處理.................................38
第四節研究方法.......................................41
一、動能投資策略......................................41
二、動能投資策略獲利性之拆解..........................42
第五節實證結果分析...................................44
一、跨國動能策略報酬..................................44
(一)個股動能報酬....................................44
(二)國家投組動能策略報酬............................46
(三)產業投組動能報酬................................49
(四)分析與比較......................................51
二、動能策略報酬來源..................................52
(一)個股動能策略報酬來源拆解........................52
(二)國家投組動能策略報酬來源拆解....................54
(三)產業投組動能報酬來源拆解........................56
(四)分析與比較......................................56
第六節本章結論.......................................58
第四章結論.............................................60
參考文獻.................................................62
附錄.....................................................66

參考文獻

1.Ang, A., J. Chen, and Y. Xing, 2001, “Downside Risk and the Momentum Effect,” NBER Working Paper 8643.
2.Asness, C. S., R. B. Porter, and R. L. Steven, 2000, “Predicting Stock Returns Using Industry-Relative Firm Characteristics,” Working Paper, University of Florida.
3.Barberis, N., A. Shleifer, and R. L. Vishny, 1998, “A Model of Investor Sentiment,” Journal of Financial Economics 49, 307-343.
4.Blume, M. E., and I. Friend, 1978, “The Changing Role of the Individual Investor,” Wiley, New York, NY.
5.Chan, K., A. Hameed, and W. Tong, 2000, “Profitability of Momentum Strategies in the international Equity Market,” Journal of Financial and Quantitative Analysis 35, 153-172.
6.Chordia, T., and L. Shivakumar, 2002, “Momentum, Business Cycle, and Time-Varying Expected Returns,” Journal of Finance 57, 565-574.
7.Chou, P.-H., K. C. Wei, and Huimin Chung, 2001, “Sources of Contrarian Profits in the Japanese Stock Market,” Working Paper, National Central University, Taiwan.
8.Chui, Andy C. W., S. Titman, and K. C. John Wei, 2000, “Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets,” Working Paper, University of Texas at Austin.
9.Conrad, J., and G. Kaul, 1998, “An Anatomy of Trading Strategies,”Review of Financial Studies 11, 489-519.
10.Daniel, K. D., D. Hirshleifer, and A. Subrahmanyam, 1998, “Investro Psychology and Security Market Under- and Over-Reactions,” Journal of Finance 53, 1839-1886.
11.DeBondt, W. F. M. and R. H. Thaler, 1985, “Does the Market Overreact?” Journal of Finance 40, 793-805.
12.DeBondt, W. F. M. and R. H. Thaler, 1987, “Further Evidence on Investor Overreaction and Stock Market Seasonality,” Journal of Finance 42, 557-581.
13.Fama, E.F., 1965, “The Behavior of Stock Market Prices,” Journal of Business 38, 34-105.
14.Fama, E. F., and K. R. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance 51, 55-84.
15.French, K., and R. Roll, 1986, “Stock Return Variance: the Arrival of Information and the Reaction of Traders,” Journal of Financial Economics 8, 55-69.
16.Fisher, L., 1966,“Some New Stock-Market Indexes,” Journal of Business 39, 191-225.
17.Griffin, J. M., X. Ji, and J.R. Martin, 2005 “Global Momentum Strategies,” The Journal of Portfolio Management 31, 23-39.
18.Grundy, B. F., and S. R. Martin, 2001, “Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing,” Review of Financial Studies 14, 29-79.
19.Hawawini, G. A., 1978, “A Mean-Standard Deviation Exposition of the Theory of the Firm under Uncertainty: A Pedagogical Note,” The American Economic Review 68, 194-202.
20.Hawawini, G. A., 1980, “Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk,” The Journal of Financial and Quantitative Analysis 15, 139-149.
21.Hong, D., C. M. C. Lee, and B. Swaminathan, 2003, “Earnings Momentum in International Markets,” Working Paper, Cornell University.
22.Hong, H., and J. C. Stein, 1999, “A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets,” Journal of Finance 48, 65-91.
23.Jegadeesh, N., 1990, “Evidence of Predictable Behavior of Security Returns,” Journal of Finance 45, 881-898.
24.Jegadeesh, N. and S. Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance 43, 65-91.
25.Jegadeesh, N. and S. Titman, 1993, “Overreaction, Delayed Reaction and Contrarian Profits,” Review of Financial Studies 8, 973-993.
26.Jegadeesh, N. and S. Titman, 2002, “Cross-Sectional and Time-series Determinants of Momentum Returns,” The Review of Financial Studies 15, 143-157.
27.Keim, D. B., 1983, “Size-Related Anomalies and Stock return Seasonality: Further Empirical Evidence,” Journal of Financial Economics 12, 13-32.
28.Lee, C., and B. Swaminathan, 2000, “Price Momentum and Trading Volume,” Journal of Finance 55, 2017-2069.
29.Lehmann, B., 1990, “Fads, Martingales and Market Efficiency,” Quarterly Journal of Economics 105, 1-28.
30.Lewellen, J., 2002, “Momentum and Autocorrelation in Stock Return,” Review of Financial Studies 15, 533-563.
31.Lo, A. W. and A. C. MacKinlay, 1988, “Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,” Review of Financial Studies 1, 41-66.
32.Lo, A. W. and A. C. MacKinlay, 1990, “When Are Contrarian Profits Due to Overreaction?” Review of Financial Studies 2, 175-205.
33.Moskowitz, T. J. and M. Grinblatt, 1999, “Do Industries Explain Momentum?” Journal of Finance 54, 1249-1290.
34.Pan, M. S., 2003, “Sources of Winner-Loser Effects in National Stock Markets,” Working Paper, Shippensburg University.
35.Reinganum, M. R., 1981, “Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Values,” Journal of Financial Economics 9, 19-46.
36.Richards, A. J., 1995, “Comovements in National Stock Market Returns: Evidence of Predictability, but not Cointegration, Journal of Monetary Economics 36, 631-654.
37.Richards, A. J., 1995, “Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?” Journal of Finance 52, 2129-2144.
38.Roll, R., 1981, “A Possible Explanation of the Small Firm Effect,” Journal of Finance 36, 879-888.
39.Rouwenhorst, K. G., 1998, “International Momentum Strategies,” Journal of Finance 53, 267-284.
40.Scowcroft, A. and J. Sefton, 2005, “Understanding Momentum,” Financial Analysts Journal 61, 64-82.
41.Scott, J., M. Stumpp, and P. Xu, 2003, “Overconfidence Bias in the International Stock Price,” The Journal of Portfolio Management 29, 80-89.
42.Swinkels, L., 2002, “International Industry Momentum,” Journal of Asset Management 3, 124-141.
43.Wu, X., 2002, “A Conditional Multifactor Analysis of Return Momentum,” Journal of Banking and Finance 26, 1675-1696.

指導教授

周賓凰(Pin-Huang Chou)

審核日期

2006-5-23

推文