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| 研究生： |
楊承諺 Yang, Chen Yen |
|---|---|
| 論文名稱： |
市場情勢與投資人情緒對動能策略之影響 Market States, Investor Sentiment and Momentum Strategies |
| 指導教授： |
陳鴻毅
Chen, Hong Yi |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 財務管理學系 Department of Finance |
| 論文出版年： | 2016 |
| 畢業學年度： | 104 |
| 語文別： | 英文 |
| 論文頁數： | 52 |
| 中文關鍵詞： | 市場情勢 、投資人情緒 、動能策略 、行為財務學 |
| 外文關鍵詞： | Market States, Investor Sentiment, Momentum Strategies, Behavioral Finance |
| 相關次數： | 點閱：67 下載：18 |
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本研究主要探討投資人的積極程度以及市場的樂觀程度是否會影響動能策略之獲利能力。本研究利用1973至2013年間美國個股進行實證研究，結果驗證了動能策略於樣本期間能有顯著的獲利。進一步的實證結果顯示，規模較小且交易量成長率較低的公司存在極短期(一個月內)反轉的現象。此外，在市場樂觀期間(較多的首次公開發行的公司家數、較高的消費者信心指數或較低的恐慌指數)動能策略之獲利能力較佳且顯著。因此，我們建議投資人能在市場樂觀期間對規模較小的公司進行動能策略，將可得到較高的預期超額報酬。
The main purpose of this study is to investigate whether the activism of investors and the sentiment of the market can affect the profitability of the momentum strategy. Using individual firms during 1973 to 2013 as the sample, this study reexamines and confirms the profitability of the momentum strategy. The further empirical result shows that firms with smaller size and lower growth rate of trading volume exhibit a very short-term (within one month) reversal effect. In addition, during the optimistic period (years which have more firms conducting initial public offerings, higher consumer confidence index, or lower VIX), the profitability of the momentum strategy is significantly higher than that during the passive period. Therefore, a suggested trading strategy applying momentum strategy to small firms during the high sentiment period may yield a superior performance.
中文摘要 I
Abstract II
List of Tables and Figures IV
Chapter 1. Introduction 1
Chapter 2. Literature Review 3
2.1 Time-Series Return Predictability 3
2.2 Proxy Variables of Sentiment 4
2.3 Market State, Investor Sentiment and Momentum Strategy 6
Chapter 3. Research Methodology and Data Description 8
3.1 Research Methodology 8
3.2 Momentum Strategy 8
3.3 Active or Passive - Trading Volume 10
3.4 Optimistic or Pessimistic - IPOs, VIX and CCI 10
Chapter 4. Empirical Results 12
4.1 Summary Statistics 12
4.2 December Data of Monthly Return Rate of All Stocks 12
4.3 Momentum Returns 12
4.4 Momentum Returns with Risk Adjustment 13
4.5 Momentum Profits on Active or Passive - Trading Volume 14
4.6 Momentum Profits on Optimistic or Pessimistic - IPOs, VIX and CCI 16
Chapter 5. Conclusion and Future Research Suggestion 20
5.1 Conclusion 20
5.2 Future Research Suggestion 21
References 23
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