價格動能與交易量的實證分析-以法國股市為例

Abstract

本研究使用法國股市過去三十年的股市交易資料，其中發現交易量與個股報酬是提供價格動能與投資策略的重要關係。研究發現過去低交易量的投資組合價格動能，在未來一年內，表現出較好的未來報酬，並且持續在接下來的八個季度中持續出現正收益，顯示低交易量贏家持續成為贏家，而低交易量輸家持續成為輸家。此外，過去的交易量也可以預測價格動能的大小和持續性，其中，價格動能效應在未來一年達到高峰，隨後並出現價格動能的反轉，而較長的投資組合形成期所建立的投資組合經歷更快的逆轉。總體而言，本研究的研究結果表明，過去的交易量有助於調和中期的反應不足和長期的過度反應，因而基於價格動能與交易量建立的兩種投資策略，第一種策略為早期策略，買入低交易量贏家投資組合(+R10V1)與賣出低交易量輸家投資組合(-R1V1)，並執行一年；而第二種策略為相反操作，賣出低交易量贏家投資組合(-R10V1)與買入低交易量輸家投資組合(+R1V1)，並執行兩年，作為晚期的動能策略，以捕捉這些股票的價格動能反轉更快的概念，並在未來的行情中獲得更高的潛在報酬。

This study researches the France stock market over the past three decades, among them shows that past trading volume provides an important link between momentum and value strategies. Specifically, we find that firms with low past trading volume exhibit many glamour value characteristics, earn higher future returns, and have consistently more positive earnings even over the next eight quarters. In addition, it also shows low trading volume winners keep being winners and low trading volume losers keep being losers. Besides, past trading volume also predicts both the magnitude and persistence of price momentum. Specifically, price momentum effects peak in the coming year, and thereafter reverse over the next three years. This study shows that low volume winners with longer portfolio formation periods experience faster reversals. Overall, our findings show that past volume helps to reconcile intermediate-horizon underreaction and long-horizon overreaction effects. Therefore, there are two investment strategies based on price momentum and trading volume. The first strategy is an early-stage momentum strategy in which investors buy low volume winner portfolio (+R10V1) while selling low volume loser portfolio (-R1V1) for one year. On the other hand, the second strategy indicates that investors sell low volume winner portfolio (-R10V1) while buying low volume loser portfolio (+R1V1) for two years as a late-stage momentum strategy. Both the two strategies help shed light on the phenomenon of a faster reversal of price momentum in the stock market and benefit investors by bringing higher potential returns in the future.