請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/23054
標題: 動能策略與反向策略-實證研究於巴西、中國及印度
Momentum and Contrarian-Empirical Studies in Brazil, China and India
作者: Kao, Tseng-Peng
高贈朋
關鍵字: Momentum
動能策略
Contrarian
Size Effect
Book-to-Market Ratio
反向策略
規模效果
股價淨值比
出版社: 財務金融系所
引用: 1. Bruce D. G., and Martin J. S., 2001, Understanding the nature of the risks and the source of the rewards to momentum investing, Review of financial study 14, 29-78. 2. Edward S O., 2000. Industry Momentum and Sector Mutual Funds. Financial Analysts Journal. 37-49. 3. Fama E. F., and French K. R., 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3-56. 4. Fama E. F., and French K. R., 1996, Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51, Issue 1, 55-84. 5. Harrison H., and Jeremy C. S., 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143-2184. 6. Howe J., 1986, Evidence on Stock Market Overreaction, Financial Analyst Journal, 74-77. 7. Hyuk C., Bong-Chan K., and Rene M. S., 1999, Do foreign investors destabilize stock markets? the Korean experience in 1997. Journal of Financial Economics, 54(1), 227-264. 8. Jegadeesh N., and Titman S., 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48, No. 1(March):65-91. 9. Jegadeesh N., and Titman S., 1995, Overreaction ,delayed reaction and contrarian profits, Review of Financial Studies, 8, 973-993. 10. Jegadeesh N., and Titman S., 2001, Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 56(2):699-720. 11. John M. G., Xiuqing J., and Martin J. S., 2005, Global Momentum Strategies. The Journal of Portfolio Management. 23-39. 12. Kalok C., Allaudeen H., and Wilson T., 2000, Profitability of momentum strategies in the international equity markets, Journal of Finance , 153-172. 13. Lakonishok J., Shleifer A., and Vishny R. W., 1994, Contrarian investment, extrapolation, and risk. Journal of Finance 49(5):1541-1578. 14. Levy R., 1967, Relative strength as a criterion for investment selection, Journal of Finance, 22, 595-640. 15. Lo A. W., and MacKinlay A. C., 1990a, When are contrarian profits due to overreation?. Review of Financial Studies, 3(1), 175-205. 16. Louis K. C. Chan, Jegadeesh N., and Josef L., 1996, Momentum strategies, Journal of Finance 51, 1681-1713. 17. Michael J. C., Roberto C. G. JR., and Allaudeen H., 2004, Market States and Momentum, Journal of Finance 59, 1345-1365. 18. Moskowitz T. J., and Mark G., 1999, Do industries explain momentum? Journal of Finance 54, 1249-1290. 19. Nicholas B., Andrei S., and Robert V., 1998, A model of investor sentiment, Journal of Financial Economics 49, 307-343. 20. Rouwenhorst G. K., 1998, International momentum strategies, Journal of Finance 53, 267-284. 21. Schiereck, D., DeBondt W., and Weber M., 1999, Contrarian and momentum strategies in Germany. Financial Analysts Journal Nov/Dec:104-116. 22. Werner F. M., DeBondt, and Richard T., 1985, Does the stock market overreact? Journal of Finance 40, 793-805. 23. Werner F. M., DeBondt, and Richard T., 1987, Further evidence of investor overreaction and stock market seasonality, Journal of Finance 42, 557-581. 24. Zarowin P., 1990, Size, seasonality and stock market overreaction. Journal of Financial and Quantitative Analysis 25(1)113-125.
摘要: 自從Fama(1970)提出效率市場假說之後,資本市場是否具有效率性引起廣大的討論,若資本市場是效率的,則市場上所有的資訊皆會充分反應在股價上。所以如果資本市場具有效率,股票走勢便無法被預測、各種投資策略都無法讓投資人賺取超額報酬。有關動能策略及反向策略的研究對象以美國證券市場為主,目前為止研究文獻發現,就短期(1個月以內)及長期(3至5年)而言,反向策略會獲得顯著之利潤,就中期而言(3至12個月)而言,動能策略會獲得顯著之利潤,本研究以新興國家巴西、中國和印度為實證研究對象,探討動能策略與反向策略對以上這些國家的獲利性,並在控制風險、公司規模以及淨值市價比之下探討投資策略的報酬。 實證結果發現巴西為一個適合使用反向策略的國家,反向策略使用在各種投資方案,皆可獲得顯著的報酬,在控制公司規模下,巴西的小規模公司反向策略投資績效明顯優於大規模公司,在控制淨值市價比方面,呈現極端的例子,最高與最低的淨值市價比之反向策略績效相對較好。中國在未調整風險及風險調整後的動能策略有部分投資方案具有顯著的報酬,在控制淨值市價比方面,動能策略績效與公司規模大小明顯呈現正向關係。印度為一個適合動能策略的國家,大部分的投資方案皆具有顯著的報酬,而在控制公司規模下,規模越大的公司,動能策略報酬越顯著,而在控制淨值市價比之下,報酬最好的組別落在淨值市價比最小的組別,但是其餘投資組合報酬有隨著淨值市價比遞增的現象。並針對以上的實證研究結果,給予投資人投資建議。
The efficiency of capital market has been broadly discussed after Fama (1970) brought out the efficient market hypothesis. Therefore, if captical market has efficiency, the trend of stock cannot be predicted and no investment strategy can let investors to earn abnormal return. Regarding to the research finding of momentum and contrarian in US stock market, contrarian can receive distinct return within short term (within one month) or long term (3 to 5 years), but momentum does within mid term (3 to 12 months). The prospects of this research are developing countries such as Brazil, China, and India. The research treats the profitability of momentum and contrarian in these countries, and the return depends on the control of risk, size and book-to-market ratio. The empirical studies finds Brazil for a country that is suitable for using contrarian, contrarian is used in various kinds of capital projects , can all obtain apparent remuneration , the small size company contrarian investment performance of Brazil is obviously superior to the extensive company. China has some capital projects and has apparent remuneration in momentum not changing the risk and risk after changing , in controlling book-to-market ratio, momentum performance and size are obviously appearing to the relation India, for a country suitable for momentum, most capital projects all have apparent remuneration , under controlling size , the company the bigger in size , the more apparent momentum remuneration is, under controlling book-to-market ratio, the best group of the remuneration leaves book-to-market ratio minimum group, but there is phenomenon increased progressively with book-to-market ratio in other investment combination remuneration.
URI: http://hdl.handle.net/11455/23054
其他識別: U0005-1208200620145600
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-1208200620145600
顯示於類別:財務金融學系所

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