| dc.contributor.advisor | 林基煌 | zh_TW |
| dc.contributor.author (Authors) | 邱俞華 | zh_TW |
| dc.contributor.author (Authors) | Chiu ,Yu Hua | en_US |
| dc.creator (作者) | 邱俞華 | zh_TW |
| dc.creator (作者) | Chiu ,Yu Hua | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:17:48 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:17:48 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:17:48 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093357023 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34058 | - |
| 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) | 93357023 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 本研究根據行為財務學中反應不足的理論針對台灣上市股票進行動能策略的研究。首先根據台股1992到2005年之上市股票為樣本進行單純動能策略研究，發現台股具有中期及長期動能現象(長期在此定義為持有期三年)，接著以Fama and French 三因子模型進行風險調整，結果發現動能策略具有顯著的可行性，其報酬不受三因子調整而損失。並再加入公司特徵變數，發現大規模公司具有較大之動能效果，且低帳面市值比公司也具較大之動能效果，而大型股具有較大的動能效果與一般認知的反應不足理論不符，而由後續之研究針對規模及帳面市值比做相關分析發現兩者間具有高度的負相關，因此大型股子樣本與低帳面市值比子樣本可能具高度的雷同，因此大型股的動能策略報酬較高，其實可能反應的是成長股所具有的反應不足現象。接著根據單純動能表現結果，結合前期兩期表現為條件，組合成中長期動能策略之構想。結果發現，中長期動能策略在大型股與成長股此兩個子樣本集中有較高的可行性。由於中長期動能策略的基礎是建立在運用兩股單純動能策略的力量，因此單純動能策略的顯著性是中長期動能策略能否成功的重要關鍵，也因此由實證結果發現，在不同的子樣本集中，受到其單純動能策略顯著性強弱的影響，使得中長期動能策略的報酬顯著性受到影響，其中尤以低帳面市值比（成長股）之中長期動能策略動能效果最為顯著。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 7第一節 研究動機 7第二節 研究目的 9第三節 研究架構 10第二章 文獻探討 12第一節 反應不足與動能策略 12第二節 過度反應與反向策略 19第三節 影響股票報酬率之因素 26第三章 研究方法 29第一節 研究設計 29第二節 風險因子調整模型 32第三節 加入公司特徵變數之動能或反向策略之效果 34第四節 依據前期兩期表現為條件之中長期動能策略投資組合 36第四章 實證結果與分析 41第一節 動能策略原始報酬分析 41第二節 投資組合之績效原因分析 44第三節 加入公司特徵變數之動能策略績效表現 45第四節 中長期動能策略之績效表現 56第五章 結論與建議 67第一節 結論 68第二節 建議 69參考文獻 70 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093357023 | en_US |
| dc.subject (關鍵詞) | 動能策略 | zh_TW |
| dc.subject (關鍵詞) | 反應不足 | zh_TW |
| dc.subject (關鍵詞) | 行為財務學 | zh_TW |
| dc.subject (關鍵詞) | 影響報酬因子 | zh_TW |
| dc.subject (關鍵詞) | 前期表現 | zh_TW |
| dc.subject (關鍵詞) | momentum | en_US |
| dc.subject (關鍵詞) | under-reaction | en_US |
| dc.subject (關鍵詞) | behavioral finance | en_US |
| dc.subject (關鍵詞) | prior return | en_US |
| dc.title (題名) | 中長期動能策略之研究：以台灣股市為例 | zh_TW |
| dc.type (資料類型) | thesis | en |
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