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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/69567
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| Title: | 國際股市之殘差動能 |
| Other Titles: | Residual Momentum in International Stock Markets |
| Authors: | 林信助 |
| Contributors: | 國際經營與貿易學系 |
| Keywords: | 報酬動能;殘差動能;動態因子曝險
Retun Momentum;Residual Momentum;Dynamic Factor Exposures |
| Date: | 2012 |
| Issue Date: | 2014-09-02 09:07:32 (UTC+8) |
| Abstract: | 在這個兩年期的研究案中, 我計畫在國際股市的架構下來研究Blitz et al. (2011) 所提出的殘差動能策略。在第一年, 我將利用MSCI 國家的股票資料, 來評估 與比較殘差動能策略的表現是否與Jegadeesh and Titman (1993) 所提出傳 統的報酬率動能策略有顯著的不同。除了針對整個國際股市之外, 我也將依據 每個國家, 以及其所屬的區域來探討並檢驗這種差異; 同時也檢視這種差異是 否會因為不同的市場狀況而有不同。在第二年, 我將進一步研究產業動能是否 會影響到殘差動能策略在國際股市上的表現; 並檢驗究竟是殘差動能, 或者是 過去一年的報酬動能, 比較能夠解釋股票在國際股市上的報酬率。整體而言, 本 研究計畫案將有助於學界與投資者釐清殘差動能策略與傳統的報酬動能策略在 國際股市上的相對重要性。
In this two-year research proposal, I plan to study the residual momentum strategies proposed by Blitz et al. (2011) in an international context. For the first year, with stock data collected from ther MSCI countries, relative importance of residual momentum strategies will be evaluated and compared to those of the conventional return momentum strategies proposed by Jegadeesh and Titman (1993) in a global context, as well as in groups sorted according to their countries of origin, and the regions they belong to. A robustness check will also be conducted to see whether momentum profits are sensitive to different market states. For the second year, I will study how the industrial momentum affect performance of residual momentum strategies, and examine whether it is the the residual momentum, or the past-year return momentum that contributes most to the source of asset returns in the interntaional context. Overall, the proposed two-year project will help shed light on the relative importance of the residual momentum strategies to that of the conventional return momentum strategies, which are important to academic scholars and investors. |
| Relation: | 行政院國家科學委員會
計畫編號NSC101-2410-H004-057 |
| Data Type: | report |
| Appears in Collections: | [國際經營與貿易學系 ] 國科會研究計畫
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Files in This Item:
| File |
Description |
Size | Format | |
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| 101-2410-H004-057.pdf | | 941Kb | Adobe PDF2 | 643 | View/Open |
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