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| 研究生： |
林韋民 |
|---|---|
| 論文名稱： |
反向操作之最適策略-以台灣股票市場為例 The optimal contrarian strategy in Taiwan stock market |
| 指導教授： | 郭維裕 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2009 |
| 畢業學年度： | 97 |
| 語文別： | 英文 |
| 論文頁數： | 56 |
| 中文關鍵詞： | 反向操作 、個股 、價格 |
| 相關次數： | 點閱：71 下載：0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本文研究台股之最適反向操作策略，與過去研究不同的，在於使用個股觀點，且使用價格水準決定輸家及贏家。實證結果顯示，當個股價格低於52週高點的一半，且本益比低於10時買入，並在上漲5~10%左右或下跌75%以上或持有2或3年時賣出，可創造最高報酬。研究結果並顯示，在台股採用此策略，以電子股和傳產股最適合。
This paper tries to construct the best contrarian strategy which means that past losers will outperform past winners for Taiwan stock market. Instead of following previous papers to use past returns and be portfolio-oriented, “price” and “individual stock” are the main factors in the strategy. Initially, the most adequate timing for buying stocks was determined. Then the feasible selling policy was formed. After the optimal contrarian strategy was constructed, industrial factors were investigated. The results suggest buying stocks with P/E ratio under 10 when their prices are lower than their half of the previous 52-week high, and selling them when prices drop about 75% or rise about 5% or 2 or 3 years later since buying them, depending on which one appears earlier. Finally, the findings also show that electronic stocks are most applicable to the contrarian strategy.
Contents
1. Introduction 1
2. Literature review 4
2.1 Momentum strategy 5
2.2 Contrarian strategy 6
2.3 Connections between momentum and contrarian strategies 7
3. Methodology 10
3.1 Data and sample 10
3.2 Contrarian strategy construction 11
4. Empirical results 15
4.1 Buying point selection 15
4.2 Selling point selection 20
4.3 Optimal Contrarian Strategies construction 28
4.4 Contrarian Strategies in diverse industries 30
5. Conclusion 32
References 35
Tables and Figures 38
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