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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/95128
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95128


    Title: 以動能指標提升價值效應的探討:台灣股市的實證
    Authors: 李秉真
    Contributors: 杜化宇
    李秉真
    Keywords: 動能效應
    價值效應
    動能指標
    Date: 2009
    Issue Date: 2016-05-09 15:15:40 (UTC+8)
    Abstract: 本文獻探討價值及動能效應在台灣股市的實證,並且研究結合動能指標是否能夠讓投資人掌握價值型個股的投資時機,進一步提升投資報酬,最後則從市場風險以及前期股市牛熊市的角度檢驗策略的績效。研究結論如下:
    一、以淨值/市價比與益本比所建立的價值型投資組合績效優於成長型投資組合及以所有個股建立之等比重投資組合績效,但其報酬隨差異持有期間愈長而下降。其中以淨值/市價比建立之價值型投資組合表現較佳。
    二、細究價值指標所篩選之個股與等比重投資組合相比之額外報酬的分配,可以發現價值投資主要的績效來自少部分個股。
    三、以六個月價格動能為指標時,台灣股市存在中短期的反向動能效應,此結果與部分國內文獻不同,較接近Jeegadeesh(1990)的結果,顯示台灣股市動能效應值得進一步探討。
    四、結合動能及價值指標進行選股,可以提高價值型投資組合報酬及組成表現較差的成長型投資組合,達到提升價值效應的目的。績效提升主要來自篩選成長股的能力,且此報酬無法以單純的市場風險解釋,但主要在前期市場極端牛市或熊市的狀況下有高額的正報酬。
    五、分別以周轉率及價格成長速度作為動能生命週期假說指標無法再次提升投資策略的報酬,但以前者為指標時可以在價值股及成長股中發現支持動能生命周期的實證。
    Reference: 一、國內文獻
    1.王智玲(2004),“台灣股市規模效應之再驗證",逢甲大學會計與財稅研究所未出版之碩士論文,民國93年
    2.朱富春,“股票本益比理論及其應用",台灣經濟金融月刊,民國64年第十一卷第十一期,40-45頁
    3.胡玉雪,“本益比、淨值市價比及公司規模對股票報酬之影響-相異無關法之應用",台灣大學商學研究所未出版之碩士論文,民國83年
    4.陳志和,“價值導向投資策略在台灣股市之實證研究",政治大學財務管理研究所未出版之碩士論文,民國83年
    5.陳巧玲,“價值型投資風格於台灣股票市場之研究",政治大學財務管理研究所未出版之碩士論文,民國93年
    6.黃淑娟,“傳統的與強化的價值導向投資策略在台灣股票市場之實證研究",政治大學財務管理研究所未出版之碩士論文,民國87年
    7.趙志遠,“台灣股市之效率檢定及多因素模型之探討-長期追蹤資料之計量分析",中央大學產業經濟研究所未出版之碩士論文,民國92年
    8.廖淑惠,“本益比與成長機會策略組合之投資報酬報告",國防管理學院國防財務資源研究所未出版之碩士論文,民國91年
    9.鄭育杰,“台灣股市規模效應實證研究",台北大學企業管理管理研究所未出版之碩士論文,民國89年
    10.賴佩君,“價值效應提升及相關投資啟示於台灣整體股市與個別產業之探討",政治大學財務管理研究所未出版之碩士論文,民國95年
    11.劉秉龍,“成長型與價值型投資策略之實證分析",靜宜大學企業管理研究所未出版之碩士論文,民國91年
    12.劉維琪與李佳玲,“運用隨機優勢模式再探討台灣股市本益比效應",會計評論第27期1-24頁,民國82年
    13.藍淑臻,“動能投資策略績效與其報酬來源之探討",政治大學財務管理研究所未出版之碩士論文,民國91年

    二、國外文獻
    1.Asness, Clifford S.(1997)“The Interaction of Value and Momentum Strategies. ” Financial Analysts Journal, Vol. 53, No. 2, P29-36
    2.Barberis, Nicholas, Andrei Shleifer, and Robert Vishny(1998)“A Model of Investor Sentiment”, Journal of Financial Economics, Vol.49, P.307-343
    3.Basu, S.(1977)“Investment Performance of Common Stock in Relation to Their Price-Earning Ratios: a Test of the Efficient Market Hypothesis”, Journal of Finance, Vol. XXXII, NO.3, P.663-682
    4.Bird, Ron and Lorenzo Casavecchia(2006)“Insights into the Momentum Life Cycle for European Stocks”, Journal of Investing, Vol. 15, No. 3, P.105-118
    5.Bird, Ron and Lorenzo Casavecchia(2007)“Value Enhancement Using Momentum Indicators: the European Experience”, International Journal of Managerial Finance, Vol.3, No.3, P.229-262
    6.Chan, Louis K. C., Yasushi Hamao, and Josef Lakonishok(1991)“Fundamentals and Stock Returns in Japan”, Journal of Finance, Vol. XLVI, No. 5, P.1739-1764
    7.Chan, Louis K. C., Narasimhan Jegadeesh, and Josef Lakonishok(1996)“Momentum Strategy”, Journal of Finance, Vol. LI, No. 5, P.1681-1713
    8.Chordia, Tarun, and Lakshmanan Shivakumar(2002)“Momentum, Business Cycle and Time-varying Expected Returns”, Journal of Finance, Vol. LVII, No. 2, P. 985-1019
    9.Cooper, Michael J., Roberto C. Gutirrez, and Allaudeen Hameed(2004)“Market States and Momentum”, Journal of Finance, Vol.LIX, No.3, P.1345-1365
    10.Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam(1998)“Investor Psychology and Security Market Under- and Overreactions”, Journal of Finance, Vol.LIII, No. 6, P.1839-1885
    11.De Bondt, Werner F. M., and Richard Thaler(1985)“Does Stock Market Overreact?”, Journal of Finance, Vol.XL, No. 3, P.793-805
    12.Fama, Eugene F.(1970)“Efficient Capital Markets: a Review of Theory and Empirical Work”, Journal of Finance, Vol.25, No. 2, P.383-417
    13.Fama, Eugene F., and Kenneth R. French(1992)“The Cross-Section of Expected Stock Returns.”, Journal of Finance, Vol. XLVI, No.2, P.427-465
    14.Fama, Eugene F., and Kenneth R. French(1995)“Size and Book-to-Market Factors in Earning and Returns”, Journal of Finance, Vol.1, No.1, P.131-155
    15.Griffin, John M., Xiu Qing Ji and J. Spencer Martin(2003)“Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole”, Journal of Finance, Vol. LVIII, No.6, P.2515-2547
    16.Hong, Harrison, and Jeremy C. Stein(1999)“A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets”, Journal of Finance, Vol. LIV, No.6, P.2143-2184
    17.Hong, Harrison, Terence Lim, and Jeremy C. Stein(2000)“Bad News Travel Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategy”, Journal of Finance, Vol. LV, No.1, P.265-295
    18.Jegadeesh, Narasimhan(1990)“Evidence of Predictable Behavior of Security Returns”, Journal of Finance, Vol.45, No.3, P.881-898
    19.Jegadeesh, Narasimhan, and Sheridan Titman(1993)“Returns to Buying Winners and Selling Losers: Implication for Stock Market Efficiency”, Journal of Finance, Vol. XLVIII, No.1, P.65-91
    Jegadeesh, Narasimhan, and Sheridan Titman(2001)“Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”, Journal of Finance, Vol. LVI, No.2, P.699-720
    20.Jensen, Gerald R., Rober R. Johnson, and Jeffery M. Mercer(1997)“New Evidence on Size and Price-to-Book Effects in Stock Returns”, Financial Analysts Journal, Vol. 53, No. 6, P.34-42
    21.Lee, Charles M. C., and Bhaskaran Swaminathan(2000)“Price Momentum and Trading Volume”, Journal of Finance, Vol. LV, No.5, P.2017-2069
    22.Liew, Jimmy, and Maria Vassalou(2000)“Can Book-to-Market, size and Momentum be Risk Factors that Predict Economic Growth?”, Journal of Financial Economics, Vol. 57, P.221-245
    23.Lokonishok, Josef, Andrei Shleifer and Robert W. Vishny(1994)“Contrarian Investment, Extrapolation, and Risk”, Journal of Finance, Vol. XLIX, No.5, P.1541-1578
    24.Moskowitz, Tobias J., and Mark GrinBlatt(1999)“Do Industries Explain Momentum?”, Journal of Finance, Vol. LIV, No.4, P.1249-1290
    25.Rousseau, Ronald, and Paul van Rensburg(2004)“Time and Payoff to Value Investing”, Journal of Asset Management, Vol. 4, P.318-325
    26.Rouwenhorst, K. Geert(1998)“International Momentum Strategies”, Journal of Finance, Vol. LIII, No.1, P.267-284
    27.Siganos, Antonios, and Patricia Chelly-Steeley(2006)“Momentum Profits Following Bull and Bear Markets”, Journal of Asset Management, Vol. 6, No. 5, P.381 -388
    28.Van der Hart, Jaap, Gerben Zwart, Dick van Dijk(2005)“The Success of Stock Selection Strategies in Emergin Markets: Is It Risk or Behavioral Bias?”, Emerging Market Review, Vol. 6, P.238-262
    Description: 碩士
    國立政治大學
    財務管理研究所
    95357013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095357013
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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