臺灣博碩士論文加值系統

動能投資策略 (Momentum Investing Strategy) 是個學術術語，意味著投資者在股票投資時，採用追高殺低的方法，投資人常被警告勿採取追高殺低的投資策略，然而擁有資訊優勢的投資者，卻經常採用追高殺低的投資策略並獲取豐富的報酬，因股價會出現漲會一直漲、跌會一直跌的現象，也就是所謂的價格動能 (Momentum) 。本研究是以2018年9月到2019年3月的台灣上市上櫃股票為樣本，從樣本篩選出股價從2018年9月到2019年3月低點往上漲12%的股票執行買入策略，有66%的股票 (187檔) 有正報酬，有34%的股票 (95檔) 有負報酬，可以提供投資人獲得超額報酬的方法！

Momentum Investing Strategy is an academic term, which represent a strategy of pursuing price-increasing stocks and selling price-decreasing stocks. Investors are often warned not to adopt such strategies, theoretically. However, investors taking advantage with information often contribute to continued pattern of price increase or decrease, which is the so-called price momentum. In this study, we adopt a sample of listed Taiwanese companies from September 2018 to March 2019 and conduct buy-and-hold strategy for stocks with 12% price increase. Results indicate that 66% of the sample stocks (187 companies) yield positive return and 34% of sample stocks (95 companies) yield negative return. Our findings in this study imply a method of excess returns for investors.

中文摘要 --------------------------------------------------------------------------------------i
Abstract --------------------------------------------------------------------------------------ii
誌謝 -----------------------------------------------------------------------------------iii
目錄 ----------------------------------------------------------------------------------iv
表目錄 ------------------------------------------------------------------------------------vi
圖目錄 -----------------------------------------------------------------------------------vii
第一章 緒論 -----------------------------------------------------------------------------1
第一節 研究背景 -----------------------------------------------------------------1
第二節 研究動機與目的 ----------------------------------------------------2
第三節 研究架構 -----------------------------------------------------------------3
第二章 文獻探討 ----------------------------------------------------------------------5
第三章 資料與研究方法 ----------------------------------------------------------------7
第一節 資料來源與樣本期間 ---------------------------------------------------7
第二節 研究方法 ---------------------------------------------------------------7
第四章 實證結果與分析 -------------------------------------------------------------------10
第一節 累積異常報酬分析 -------------------------------------------------------10
第二節 各組分析 ----------------------------------------------------------------12
第三節 超額報酬個股 ----------------------------------------------------------------19
第四節 負報酬個股 -------------------------------------------------------------------25
第五章 結論與建議 --------------------------------------------------------------------31
第一節 研究結論 ------------------------------------------------------------31
第二節 日後研究與建議 -------------------------------------------------------------31
參考文獻 ----------------------------------------------------------------------------------------33

中文文獻
林昭賢，2002年諾貝爾經濟學獎，展望理論與股票分析，自編教材。
謝嘉琪，2013年結合營收之價格動能策略：以台灣股票市場為例，碩士論文。
藍建榮，2012年價格動能與股票報酬同步性，碩士論文。
黃依林，2017年過度交易個股放空策略績效分析，碩士論文。
黎邕墉，2018年混合動能效應：盈餘動能與價格動能，碩士論文。

英文文獻
Arena, M. P., Haggard, K. S., & Yan, X. S. (2008). Price momentum and idiosyncratic Volatility. Financial Review, 43 (2), 59-190.
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Chan, K., A. Hameed, & W. Tong, 2000, “Profitablity of Momentum Strategies in the international Equity Market,” Journal of Financial and Quantitative Analysis 35, 153-172.
Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under-and overreactions. Journal of Finance, 53 (6), 1839-1885.
De Bondt, W. F., & Thaler, R. (1985) Does the stock market overreact? Journal of Finance, 40(3),793-805.
De Bondt, W. F., & Thaler, R. (1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42(3),557-581.
Fama, E.F.,1970, Efficient capital market: a review of theory and empirical work. Journal of Finance, 25, 383-417.
Fama, E. F., & French, K. R. (1992). The cross section of expected stock returns. The Journal of Finance, 47(2),427-465. Multifactor explanations of asset pricing anomalies. Journal of Political Economy, 81(3), 607-636.
Fama, E. F., & French, K. R. (1996). Multifactor explanations of pricing anomalies. Journal of Finance, 51(1), 55-84.
Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45(3),881-898.
Jegadeesh, N. & Timan, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1),65-91.
Jiang, G., Lee, C. M. C., & Zhang, Y. (2005). Information uncertainty and expected returns. Review of Accounting Studies, 10(2), 185-221.
McLean, R. D. (2010). Idiosyncratic risk, long-term reversal, and momentum. Jouranl of Financianieal and Quantitative Analysis, 45 (04) , 883-906.
Rouwenhorst, K. G., 1998, “International Momentum Strategies,” Journal of Finance, 53, 267-284.
Zhang, X. (2006). Information uncertainty and stock returns. Journal of Finance, 61(1), 105-137.


網路參考資料
Hou, K., Peng, L., & Xiong, W. (2013). Is R2 a measure of price inefficiency. May 20, 2013. Retrieved form http://www.princeton.edu/~wxiong/papers/R2.pdf