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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/99327
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/99327


    Title: 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
    Authors: 楊承諺
    Yang, Chen Yen
    Contributors: 陳鴻毅
    Chen, Hong Yi
    楊承諺
    Yang, Chen Yen
    Keywords: 市場情勢
    投資人情緒
    動能策略
    行為財務學
    Market States
    Investor Sentiment
    Momentum Strategies
    Behavioral Finance
    Date: 2016
    Issue Date: 2016-07-20 17:12:25 (UTC+8)
    Abstract: 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.
    Reference: Antoniou, C., Doukas, J. A. and Subrahmanyam, A. (2013), “Cognitive Dissonance, Sentiment, and Momentum”, Journal of Financial and Quantitative Analysis, Vol.48, 245-275.
    Baker, M. and Stein, J. C. (2004), “Market Liquidity as a Sentiment Indicator”, Journal of Financial Markets, Vol.7, 271-299.
    Baker, M. and Wurgler, J. (2006), “Investor Sentiment and the Cross-Section of Stock Returns”, Journal of Finance, Vol.61, 1645-1678.
    Bondt, W. F. and Thaler, R. (1985), “Does the Stock Market Overreact?” Journal of Finance, Vol.40, 793-805.
    Conrad, J. and Kaul, G. (1998), “An Anatomy of Trading Strategies”, Review of Financial Studies, Vol.11, 489-519.
    Cooper, M. J., Gutierrez, R. C., and Hameed, A. (2004), “Market States and Momentum”, The Journal of Finance, Vol.59, 1345-1365.
    FRED, CBOE Volatility Index: VIX© [VIXCLS], (Accessed on 8 May 2016), https://research.stlouisfed.org/fred2/series/VIXCLS
    Hong, H. and Stein, J. C. (1999), “A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets”, Journal of Finance, Vol.54, 2143-2184.
    Jegadeesh, N. and Titman, S. (1993), “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”, Journal of Finance, Vol.48, 65-91.
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    Lee, C. and Swaminathan B. (2000), “Price Momentum and Trading Volume”, Journal of Finance, Vol.55, 2017-2069.
    OECD, Consumer confidence index (CCI) (indicator), (Accessed on 5 May 2016), https://data.oecd.org/leadind/consumer-confidence-index-cci.htm
    RITTER, Historical US IPO Statistics, (Accessed on 5 May 2016), https://www.quandl.com/data/RITTER/US_IPO_STATS-Historical-US-IPO-Statistics
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    Description: 碩士
    國立政治大學
    財務管理研究所
    103357022
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103357022
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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