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題名 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作者 楊承諺
Yang, Chen Yen貢獻者 陳鴻毅
Chen, Hong Yi
楊承諺
Yang, Chen Yen關鍵詞 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日期 2016 上傳時間 20-Jul-2016 17:12:25 (UTC+8) 摘要 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.參考文獻 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/VIXCLSHong, 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.Jegadeesh, N. and Titman, S. (2001), “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”, Journal of Finance, Vol.56, 699-720.Kenneth R. French, Data Library, (Accessed on 20 March 2016), http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.htmlLee, 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.htmRITTER, Historical US IPO Statistics, (Accessed on 5 May 2016), https://www.quandl.com/data/RITTER/US_IPO_STATS-Historical-US-IPO-StatisticsRitter, J. R. (1991), “The Long-Run Performance of Initial Public Offerings”, Journal of Finance, Vol.46, 3-27.Scheinkman, J. A. and Xiong, W. (2003), “Overconfidence and Speculative Bubbles”, Journal of political Economy, Vol.111, 1183-1220.Stigler, G. J. (1964), “Public Regulation of the Securities Markets”, Journal of Business Vol.37, 117-142. 描述 碩士
國立政治大學
財務管理研究所
103357022資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357022 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.advisor Chen, Hong Yi en_US dc.contributor.author (Authors) 楊承諺 zh_TW dc.contributor.author (Authors) Yang, Chen Yen en_US dc.creator (作者) 楊承諺 zh_TW dc.creator (作者) Yang, Chen Yen en_US dc.date (日期) 2016 en_US dc.date.accessioned 20-Jul-2016 17:12:25 (UTC+8) - dc.date.available 20-Jul-2016 17:12:25 (UTC+8) - dc.date.issued (上傳時間) 20-Jul-2016 17:12:25 (UTC+8) - dc.identifier (Other Identifiers) G0103357022 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99327 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 103357022 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 中文摘要 IAbstract IIList of Tables and Figures IVChapter 1. Introduction 1Chapter 2. Literature Review 32.1 Time-Series Return Predictability 32.2 Proxy Variables of Sentiment 42.3 Market State, Investor Sentiment and Momentum Strategy 6Chapter 3. Research Methodology and Data Description 83.1 Research Methodology 83.2 Momentum Strategy 83.3 Active or Passive - Trading Volume 103.4 Optimistic or Pessimistic - IPOs, VIX and CCI 10Chapter 4. Empirical Results 124.1 Summary Statistics 124.2 December Data of Monthly Return Rate of All Stocks 124.3 Momentum Returns 124.4 Momentum Returns with Risk Adjustment 134.5 Momentum Profits on Active or Passive - Trading Volume 144.6 Momentum Profits on Optimistic or Pessimistic - IPOs, VIX and CCI 16Chapter 5. Conclusion and Future Research Suggestion 205.1 Conclusion 205.2 Future Research Suggestion 21References 23 zh_TW dc.format.extent 1015751 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357022 en_US dc.subject (關鍵詞) 市場情勢 zh_TW dc.subject (關鍵詞) 投資人情緒 zh_TW dc.subject (關鍵詞) 動能策略 zh_TW dc.subject (關鍵詞) 行為財務學 zh_TW dc.subject (關鍵詞) Market States en_US dc.subject (關鍵詞) Investor Sentiment en_US dc.subject (關鍵詞) Momentum Strategies en_US dc.subject (關鍵詞) Behavioral Finance en_US dc.title (題名) 市場情勢與投資人情緒對動能策略之影響 zh_TW dc.title (題名) Market States, Investor Sentiment and Momentum Strategies en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 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/VIXCLSHong, 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.Jegadeesh, N. and Titman, S. (2001), “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”, Journal of Finance, Vol.56, 699-720.Kenneth R. French, Data Library, (Accessed on 20 March 2016), http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.htmlLee, 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.htmRITTER, Historical US IPO Statistics, (Accessed on 5 May 2016), https://www.quandl.com/data/RITTER/US_IPO_STATS-Historical-US-IPO-StatisticsRitter, J. R. (1991), “The Long-Run Performance of Initial Public Offerings”, Journal of Finance, Vol.46, 3-27.Scheinkman, J. A. and Xiong, W. (2003), “Overconfidence and Speculative Bubbles”, Journal of political Economy, Vol.111, 1183-1220.Stigler, G. J. (1964), “Public Regulation of the Securities Markets”, Journal of Business Vol.37, 117-142. zh_TW
