淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


  查詢圖書館館藏目錄
系統識別號 U0002-0806201017381700
中文論文名稱 從投資者注意力看價格動能與盈餘動能
英文論文名稱 Price Momentum and Earnings Momentum:Investor Attention
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 98
學期 2
出版年 99
研究生中文姓名 陳韋廷
研究生英文姓名 Wei-Ting Chen
學號 697530615
學位類別 碩士
語文別 中文
口試日期 2010-05-21
論文頁數 60頁
口試委員 指導教授-顧廣平
委員-李沃牆
委員-王麗惠
委員-楊馥如
中文關鍵字 成交量週轉率  投資者注意力  價格動能  盈餘動能  市場狀態 
英文關鍵字 trading volume turnover  investor attention  price momentum  earnings momentum  market state 
學科別分類 學科別社會科學商學
中文摘要 本研究參考Jegadeesh and Titman(1993)的動能策略模式,使用台灣證券交易所上市及中華民國證券櫃檯買賣中心上櫃之普通股為研究樣本,研究期間為1989年7月至2009年6月,總計240個月,用來檢定兩個與投資人注意力(investor attention)有關之假說,假說一為成交量週轉率越高(即愈受投資人注意)的股票,其應該存在愈強之價格動能與較弱之盈餘動能;反之,成交量週轉率越低(即愈不受投資人注意)的股票,其應該存在愈強之盈餘動能與較弱之價格動能。假說二指出在多頭市場,應該存在愈強之價格動能與較弱之盈餘動能;反之,在空頭市場,應該存在愈強之盈餘動能與較弱之價格動能。
  檢定結果似乎符合假說一,即高成交量週轉率(或受投資人注意)之股票,其價格動能績效顯著優於低成交量週轉率(缺乏投資人注意)之股票,但是不存在統計顯著之價格動能;而盈餘動能則沒有獲得支持假說一之證據,但是存在顯著之盈餘動能效應。至於,假說二檢定結果顯示無論是價格動能或盈餘動能,都沒有獲得支持多頭市場應該存在愈強之價格動能,亦沒有顯示空頭市場存在愈強之盈餘動能。
英文摘要 This essay takes Jegadeesh and Titman(1993)’s momentum strategy as a reference, and uses Taiwan stock exchange market's common stock as research sample. This research study data were collected from July 1989 to June 2009, for 240 months. The result is used to test two hypotheses about investor attention. The first hypothesis said that stocks which have higher trading volume turnover(higher investor attention), should exist stronger price momentum and weaker earnings momentum; on the other hand, stocks which have lower trading volume turnover(lower investor attention), should exist stronger earnings momentum and weaker price momentum. The second hypothesis said that stronger price momentum and weaker earnings momentum should exist in up market; on the other hand, stronger earnings momentum and weaker price momentum should exist in down market.
The result of the test likely prove the first hypothesis, which shows that high trading volume turnover stock’s price momentum has better effects than low trading volume turnover stock. However, there is no significant price momentum exist. Earnings momentum doesn’t have any evidence to support the first hypothesis, but significant earnings momentum effect exists. As for the second hypothesis, its result shows price momentum and earnings momentum don’t support neither up market exists stronger price momentum nor down market exists stronger earnings momentum.
論文目次 誌謝辭..............................................Ⅰ
中文摘要............................................Ⅱ
英文摘要............................................Ⅲ
目錄................................................Ⅳ
表目錄..............................................Ⅴ
第一章 緒論..........................................1
第一節 研究動機與背景............................1
第二節 研究目的..................................4
第三節 研究架構與流程............................5
第二章 文獻回顧......................................6
第一節 動能策略相關文獻..........................6
第二節 投資者注意力與動能策略文獻...............13
第三章 研究方法.....................................15
第一節 研究假說.................................15
第二節 研究期間、樣本資料與來源.................18
第三節 變數定義.................................19
第四節  動能策略.................................23
第四章 實證結果與分析...............................25
第一節 動能策略績效分析.........................25
第二節 成交量週轉率與動能策略績效...............30
第三節  市場狀態與動能策略績效...................40
第五章 結論.........................................53
參考文獻............................................55

表目錄
表4.1 價格動能及控制盈餘動能之價格動能平均報酬(%) ......28
表4.2 盈餘動能及控制價格動能之盈餘動能平均報酬(%) ......29
表4.3 價格動能及控制盈餘動能之價格動能平均報酬(%):控制成交量週轉率.................................................32
表4.4 盈餘動能及控制價格動能之盈餘動能平均報酬(%):控制成交量週轉率.................................................37
表4.5 價格動能平均報酬(%):多頭與空頭(24個月) ...........43
表4.6 價格動能平均報酬(%):多頭與空頭(36個月) ...........45
表4.7 盈餘動能平均報酬(%):多頭與空頭之後(24個月) .......49
表4.8 盈餘動能平均報酬(%):多頭與空頭之後(36個月) .......51

參考文獻 一、中文文獻
1.丁碧惠、曾家齊,2005。市場狀態與動能投資策略績效關聯性之研究,台灣金融財務季刊,第六輯第四期,1-19。
2.甘逸偉,2001。台灣股市動能策略與過度反應之整合研究,國立成功大學企業管理學研究所碩士論文。
3.李春安、羅進水、蘇永裕,2006。動能策略報酬、投資人情緒與景氣循環之研究,財務金融學刊,第十四卷第二期,73-109。
4.洪茂蔚、林宜勉、劉志諒,2007。動能投資策略之獲利性與影響因素,中山管理評論,第十五卷第三期,515-546。
5.吳銘霖,2008。盈餘動量與價格動量策略於不同市場狀態之績效分析。國立中央大學企業管理研究所碩士論文。
6.蕭朝興、尤靜華、簡靖萱,2008。台灣股市的動能效應與投資人的下單策略,交大管理學報,第二十八卷第一期,131-168。
7.顧廣平,2009。營收動能策略,管理學報,即將出版期刊。

二、英文文獻
1.Antoniou, A., H. Y. T. Lam and K. Paudyal, 2007. Profitability of Momentum Strategies in International Markets: The Role of Business Cycle Variables and Behavioural Biases, Journal of Banking & Finance, 31(3), 955-972.
2.Ball, R. and R. Brown, 1968. An Empirical Evaluation of Accounting Numbers, Journal of Accounting Research, 6(2), 159-178.
3.Barber, B. M. and T. Odean, 2008. All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional investors, Review of Financial Studies, 21(2), 785-818.
4.Barberis, N., A. Shleifer and R. Vishny, 1998. A Model of Investor Sentiment, Journal of Financial Economics, 49(3), 307-343.
5.Bernard, V. L. and J. K. Thomas, 1989. Post-Earnings Announcement Drift: Delayed Price Response or Risk Premium? Journal of Accounting Research, 27(supplement), 1-36.
6.Bernard, V. L. and J. K. Thomas, 1990. Evidence that Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings, Journal of Accounting and Economics, 13(4), 305-340.
7.Chan, L. K. C., N. Jegadeesh and J. Lakonishok, 1996. Momentum Strategies, Journal of Finance, 51(5), 1681-1713.
8.Chordia, T. and L. Shivakumar, 2002. Momentum, Business Cycle and Time-Varying Expected Return, Journal of Finance, 57(2), 985-1019.
9.Chordia, T. and L. Shivakumar, 2006. Earnings and Price Momentum, Journal of Financial Economics, 80(3), 627-656.
10.Chui, A. C. W., S. Titman and K. C. J. Wei, 2000. Momentum, Legal Systems and Ownership Structure: An Analysis of Asian Stock Markets, Working paper, Hong Kong Polytechnic University.
11.Conrad, J. and G. Kaul, 1998. An Anatomy of Trading Strategies, Review of Financial studies, 11(3), 489-519.
12.Cooper, M. J., R. C. Gutierrez Jr. and A. Hameed, 2004. Market States and Momentum, Journal of Finance, 59(3), 1345-1365.
13.Daniel, K., D. Hirshleifer and A. Subrahmanyam, 1998. Investor Psychology and Security Market Under- and Overreactions, Journal of Finance, 53(6), 1839-1885.
14.Della Vigna, S. and J. M. Pollett, 2009. Investor Inattention and Friday Earnings Announcements, Journal of Finance, 64(2), 709-749.
15.De Long, J. B., A. Shleifer and R. J. Waldman, 1990. Positive Feedback Investment Strategies and Destabilizing Rational Speculation, Journal of Finance, 45(2), 379-395.
16.Fama, E. F. and K. R. French, 1996. Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51(1), 55-84.
17.Foster, G., 1977. Quarterly Accounting Data: Time-Series Properties and Predictive-Ability Results, The Accounting Review, 52(1), 1-21.
18.Foster, G., C. Olsen and T. Shevlin, 1984. Earnings Releases, Anomalies and the Behavior of Security Returns. The Accounting Review, 59(4), 574-603.
19.Griffin, J. M., X. Ji and J. S. Martin, 2003. Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole, Journal of Finance, 58(6), 2515-2547.
20.Grundy, B. D. and J. S. Martin, 2001. Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing, Review of Financial Studies, 14(1), 29-78.
21.Hameed, A. and Y. Kusanadi, 2002. Momentum Strategies: Evidence from the Pacific Basin Stock Markets, Journal of Financial Research, 25(3), 383-397.
22.Hirshleifer, D. and S. H. Teoh, 2005. Limited Investor Attention and Stock Market Misreactions to Accounting Information, Working Paper, University of California, Irvine.
23.Hirshleifer, D., S. S. Lim and S. H. Teoh, 2009. Driven to Distraction: Extraneous Events and Underreaction to Earnings News, Journal of Finance, 64(5), 2289-2325.
24.Hong, H. and J. C. Stein, 1999. A Unified Theory of Underreactiom, Momentum Trading and Overreaction in Asset Markets, Journal of Finance, 54(6), 2143-2184.
25.Hou, K., L. Peng and W. Xiong, 2009. A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum, Working Paper, Ohio State University.
26.Jegadeesh, N. and S. Titman, 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, 48(1), 65-91.
27.Jegadeesh, N. and S. Titman, 2001. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations, Journal of Finance, 56(2), 699-720.
28.Karlsson, N., G. Loewenstein and D. Seppi, 2005. The Ostrich Effect: Selective Attention to Information about Investments, Working paper, Carnegie Mellon University.
29.Lee, C. M. C. and B. Swaminathan, 2000. Price Momentum and Trading Volume. Journal of Finance, 55(5), 2017-2069.
30.Levy, R., 1967. Relative Strength as a Criterion for Investment Selection, Journal of Finance, 22(4), 595-610.
31.Lo, A. W. and J. Wang, 2000. Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, Review of Financial Studies, 13(2), 257-300.
32.Moskowitz, T. J. and M. Grinblatt, 1999. Do Industries Explain Momentum? Journal of Finance, 54(4), 1249-1290.
33.Odean, T., 1998. Volume, Volatility, Price, and Profit When All Traders are Above Average, Journal of Finance, 53(6), 1887-1934.
34.Peng, L., 2005. Learning with Information Capacity Constraints, Journal of Financial and Quantitative Analysis, 40(2), 307-329.
35.Peng, L. and W. Xiong, 2006. Investor Attention, Overconfidence and Category Learning, Journal of Financial Economics, 80(3), 563-602.
36.Rouwenhorst, G. K., 1998. International Momentum Strategies, Journal of Finance, 53(1), 267-284.
37.Rouwenhorst, G. K., 1999. Local Return Factors and Turnover in Emerging Stock Markets, Journal of Finance, 54(4), 1439-1464.
38.Scheinkman, J. and W. Xiong, 2003. Overconfidence and Speculative Bubbles, Journal of Political Economy, 111(6), 1183-1220.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2015-06-25公開。
  • 不同意授權瀏覽/列印電子全文服務。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信