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題名 動能策略在日本股市的實證研究
Empirical studies of momentum strategies in the Japanese stock market作者 李柏儒
Lee, Bo Ju貢獻者 岳夢蘭
Yueh, Meng Lan
李柏儒
Lee, Bo Ju關鍵詞 動能操作策略
價格動能策略
52週高價動能策略
移動平均動能策略
反應過度
反應不足
momentum strategy
price momentum
the 52-week high
the moving average ratio
overreaction
underreaction日期 2011 上傳時間 30-十月-2012 13:59:37 (UTC+8) 摘要 在選定樣本期間1975-2009年下，動能操作策略在日本股市無法獲得顯著正報酬。在三個子樣本期間：1975年-1989年、1990年-1999年以及2000年-2009年下也獲得相同結論，顯示日本股市不存在動能效應。 動能操作策略中的贏家、輸家排序，與公司的財務特性有關。整體而言，輸家股票在平均成交量、平均市值上皆小於贏家股票。另外，動能操作策略在日本股市的月報酬並沒有明顯季節性變化。 本論文比較文獻上提出的三種不同動能操作策略：歷史報酬率法、52週高點法與移動平均比率法在日本股市的績效表現。三者在日本股市皆無法獲得顯著報酬。最後，進行動能操作策略的形成期間分析。在持有期間第11個月至第18個月內，日本股市出現價格反轉情形。根據形成期間歷史報酬率高低，採用前17個月至前12個月的六個月累積歷史報酬率作為選股依據，採取反向操作策略，發現日本股市存在價格反轉現象。
Momentum strategies do not yield significant positive returns in the Japanese stock market in the sample period (1975 to 2009). In the three sub-periods, 1975 to 1989, 1990 to 1999 and 2000 to 2009, it demonstrates the same conclusion. Momentum effect does not exist in the Japanese stock market. This study shows that the ranking order of winners and losers is associated with financial characteristics of firm. Overall, average trading volume and average market value of losers stocks are both smaller than those of winners stocks. In addition, the monthly return of momentum strategies has no significant seasonal pattern in the Japanese stock market. In this study, we compare the performance of three different momentum strategies: JT’s individual stock momentum, the 52-week high and the moving average ratio in the Japanese stock market. All of three strategies in the Japanese stock market cannot receive significant profits. Final section tests the periodical analysis of momentum strategies. When extending the holding period, we can find that Japanese stock market experiences price reversal from the 11th to 18th months. According to the historical return in formation period, we choose six-month accumulated historical return (17 to 12 months prior to portfolio formation) as the stock selection principle. Under this contrarian strategy, we find that the Japanese stock market has phenomenon of price reversal.參考文獻 1. Arena, M., K.S. Haggard, and X. Yan, 2008. “Price momentum and idiosyncratic volatility”, The Financial Review 43, 159–190.2. Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998. “A model of investor sentiment”, Journal of Financial Economics 49, 307–343.3. Blitz, D., Joop Huij, and Martin Martens, 2011. “Residual momentum”, Journal of Empirical Finance 18, 506-521.4. Bremer, Marc and Takato Hiraki, 1999. “Volume and individual security returns on the Tokyo Stock Exchange”, Pacific-Basin Finance Journal 7, 351–370.5. Carhart, M.M., 1997. “On Persistence in Mutual Fund Performance”, Journal of Finance 52, 57-82.6. Chang, Yuk Ying, Robert Faff, and Chuan-Yang Hwang, 2010. “Liquidity and stock returns in Japan: New evidence”, Pacific-Basin Finance Journal 18, 90–115.7. Chang, Rosita P., D.W. McLeavey, and S. Ghon Rhee, 1995. “Short-term abnormal returns of the contrarian strategy in the Japanese stock markets”, Journal of Business Finance & Accounting 22, 1035–1048.8. Chou, Pin-Huang, K.C. John Wei, and Huimin Chung, 2007. “Sources of contrarian profits in the Japanese stock market”, Journal of Empirical Finance 14, 261–286.9. Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2010. “Individualism momentum around the world”, Journal of Finance 65, 361–392.10. Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2000. “Momentum, Legal Systems and Ownership Structure: An analysis of Asian stock markets”, Working paper.11. Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998. “Investors, psychology and security market under- and overreactions”, Journal of Finance 53, 1839–1885.12. De Bondt, Werner, and Richard Thaler, 1985. “Does the Stock Market Overact?”, Journal of Finance 40, 793-805.13. Fama, Eugene F., 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25, 383-417.14. Fama, E.F. and J. MacBeth, 1973. “Risk, return and equilibrium: Empirical tests”, Journal of Political Economy 81, 607-636.15. George, T.J. and C.-Y. Huang, 2004. “The 52-week high and momentum investing”, Journal of Finance 59, 2145-2175.16. Grinblatt, Mark, and Bing Han, 2002. “The disposition effect and momentum”, Working paper, UCLA.17. Gunaratne, P.S.M. and Y. Yonesawa, 1997. “Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction”, Japan and the World Economy 9, 363–384.18. Hameed, Allaudeen and Yuanto Kusnadi, 2002. “Momentum Strategies: Evidence from Pacific Basin stock markets”, Journal of Financial Research 25, 383–397.19. Hong, Dong and Charles Lee, 2003. “Earnings momentum in international markets”, Working paper, Cornell University.20. Hong, Harrison, and Jeremy C. Stein, 1999. “A unified theory of underreaction, momentum trading and overreaction in asset markets”, Journal of Finance 54, 2143–2184.21. Iihara, Yoshio, Hideaki Kiyoshi Kato, and Toshifumi Tokunaga, 2004. “The winner–loser effect in Japanese stock returns”, Japan and the World Economy 16, 471–485.22. Jegadeesh, N., 1990. “Evidence of predictable behavior of security returns”, Journal of Finance 45, 881-898.23. Jegadeesh, N. and S. Titman, 1991. “Short horizon return reversals and the bid-ask spread ”, Working paper, University of California at Los Angeles.24. Jegadeesh, N. and S. Titman, 1993. “Returns to buying winners and selling losers: Implications for stock market efficiency”, Journal of Finance 48, 65-91.25. Jegadeesh, N. and S. Titman, 2001. “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”, Journal of Finance 52, 699-720.26. Kahneman, Daniel and Amos Tvesky, 1973. “Availability: A heuristic for judging frequency and probability”, Cognitive Psychology, 5, 207-23227. Kahneman, Daniel and Amos Tvesky, 1979. “Prospect Theory: An Analysis of Decision under Risk”, Econometrica, XLVII, 263-29128. Kahneman, Daniel, Paul Slovic, and Amos Tversky, 1982, Judgment under Uncertainty: Heuristics and Biases (Cambridge University Press, New York).29. Lehmann, B., 1990. “Fads, martingales and market efficiency,” Quarterly Journal of Economics 105, 1-28.30. Lee, Charles M.C. and Bhaskaran Swaminathan, 2000. “Price momentum and trading volume”, Journal of Finance 55, 2017-2069.31. Liu, Chunlin and Yul Lee, 2001. “Does the Momentum Strategy Work Universally? Evidence from the Japanese Stock Market”, Asia-Pacific Financial Markets 8, 321-339.32. Liu, Ming , Qianqiu Liu, and Tongshu Ma, 2011 “The 52-week high momentum strategy in international stock markets”, Journal of International Money and Finance 30, 180-204.33. Levy, Robert, 1967. “Relative strength as a criterion for investment selection”, Journal of Finance 22, 595-610.34. McInish, Thomas H., David K. Ding, Chong Soo Pyun, and Udomsak Wongchoti, 2000. “Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis”, International Review of Financial Analysis 17, 312–329.35. Moskowitz, T. J., and Mark Grinblatt, 1999. “Do industries explain momentum? ”, Journal of Finance 54, 1249-1290.36. Naranjo, A., and Burt Porter, 2007. “Including emerging markets in international momentum investment strategies”, Emerging Maerkets Review, 147-166.37. Novy-Marx, Robert, 2012 “Is momentum really a momentum”, Journal of Financial Economics 103, 429-453.38. Park, S.-C., 2010. “The moving average ratio and momentum”, The Financial Review 45, 451-447.39. Rouwenhorst, K.G., 1998. “International Momentum Strategies”, Journal of Finance 53, 267-284.40. Roll, Richard, 1983. “Vas ist Das?”, Journal of Portfolio Management, 18-28.41. Swinkels, Laurens, 2002. “International industry momentum”, Journal of Asset Management, 124-141.42. Zhang, X.F., 2006. “Information uncertainty and stock returns”, Journal of Finance 61, 105-136. 描述 碩士
國立政治大學
財務管理研究所
99357025
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099357025 資料類型 thesis dc.contributor.advisor 岳夢蘭 zh_TW dc.contributor.advisor Yueh, Meng Lan en_US dc.contributor.author (作者) 李柏儒 zh_TW dc.contributor.author (作者) Lee, Bo Ju en_US dc.creator (作者) 李柏儒 zh_TW dc.creator (作者) Lee, Bo Ju en_US dc.date (日期) 2011 en_US dc.date.accessioned 30-十月-2012 13:59:37 (UTC+8) - dc.date.available 30-十月-2012 13:59:37 (UTC+8) - dc.date.issued (上傳時間) 30-十月-2012 13:59:37 (UTC+8) - dc.identifier (其他 識別碼) G0099357025 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54849 - 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) 99357025 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 在選定樣本期間1975-2009年下，動能操作策略在日本股市無法獲得顯著正報酬。在三個子樣本期間：1975年-1989年、1990年-1999年以及2000年-2009年下也獲得相同結論，顯示日本股市不存在動能效應。 動能操作策略中的贏家、輸家排序，與公司的財務特性有關。整體而言，輸家股票在平均成交量、平均市值上皆小於贏家股票。另外，動能操作策略在日本股市的月報酬並沒有明顯季節性變化。 本論文比較文獻上提出的三種不同動能操作策略：歷史報酬率法、52週高點法與移動平均比率法在日本股市的績效表現。三者在日本股市皆無法獲得顯著報酬。最後，進行動能操作策略的形成期間分析。在持有期間第11個月至第18個月內，日本股市出現價格反轉情形。根據形成期間歷史報酬率高低，採用前17個月至前12個月的六個月累積歷史報酬率作為選股依據，採取反向操作策略，發現日本股市存在價格反轉現象。 zh_TW dc.description.abstract (摘要) Momentum strategies do not yield significant positive returns in the Japanese stock market in the sample period (1975 to 2009). In the three sub-periods, 1975 to 1989, 1990 to 1999 and 2000 to 2009, it demonstrates the same conclusion. Momentum effect does not exist in the Japanese stock market. This study shows that the ranking order of winners and losers is associated with financial characteristics of firm. Overall, average trading volume and average market value of losers stocks are both smaller than those of winners stocks. In addition, the monthly return of momentum strategies has no significant seasonal pattern in the Japanese stock market. In this study, we compare the performance of three different momentum strategies: JT’s individual stock momentum, the 52-week high and the moving average ratio in the Japanese stock market. All of three strategies in the Japanese stock market cannot receive significant profits. Final section tests the periodical analysis of momentum strategies. When extending the holding period, we can find that Japanese stock market experiences price reversal from the 11th to 18th months. According to the historical return in formation period, we choose six-month accumulated historical return (17 to 12 months prior to portfolio formation) as the stock selection principle. Under this contrarian strategy, we find that the Japanese stock market has phenomenon of price reversal. en_US dc.description.tableofcontents 謝 辭 Ⅰ中文摘要 ⅡAbstract Ⅲ第一章 緒論 1第一節 研究動機 1第二節 研究目的 3第三節 研究流程與論文架構 4第二章 文獻探討 6第一節 動能操作策略相關文獻 6第二節 動能操作策略延伸研究 8第三節 解釋動能現象之相關文獻 10第三章 研究設計 14第一節 研究說明 14第二節 樣本選擇與資料來源 14第三節 動能操作策略 14一、傳統動能操作策略（歷史報酬率） 15二、52週高點法 17三、移動平均比率法（MAR） 18第四節 特定歷史報酬率的反向操作策略 19第四章 實證結果與分析 21第一節 不同樣本期間下動能操作策略的報酬 21第二節 動能操作策略下各組別的財務特性 28第三節 不同月份下動能操作策略的報酬 30第四節 不同動能操作策略的報酬 32第五節 不同形成期間的反向操作策略 40第五章 結論與建議 44第一節 研究結論 44第二節 研究限制及對後續研究之建議 46參考文獻 47表 目 錄表2.2.1 動能操作策略與反向操作策略的適合期間 12表4.1.1 動能操作策略的月報酬（樣本期間：1975年～2009年） 22表4.1.2 日本股市多空市場時間之劃分 23表4.1.3 動能操作策略的月報酬（樣本期間：1975年～1989年） 24表4.1.4 動能操作策略的月報酬（樣本期間：1990年～1999年） 26表4.1.5 動能操作策略的月報酬（樣本期間：2000年～2009年） 27表4.2.1 動能操作策略各組的平均成交量、平均市值 29表4.3.1 動能操作策略1975年～2009年各月份的月報酬 30表4.3.2 動能操作策略 不同市值下各月份的月報酬 31表4.4.1 三種不同動能操作策略的敘述統計 32表4.4.2 52週高點法的月報酬 （10%贏家、10%輸家） 34表4.4.3 移動平均比率法的月報酬（10%贏家、10%輸家） 35表4.4.4 三種不同動能操作策略的月報酬 （30%贏家、30%輸家） 37表4.4.5 三種不同動能操作策略一月份的報酬表現 （30%贏家、30%輸家） 37表4.4.6 三種不同動能操作策略的月報酬 （10%贏家、10%輸家） 38表4.4.7 三種不同動能操作策略一月份的報酬表現 （10%贏家、10%輸家） 38表4.4.8 不同移動平均比率下動能操作策略的報酬 39表4.5.1 反向操作策略的月報酬 42圖 目 錄圖1.3.1 研究流程 4圖3.3.1 (J,K)=(6,6) 之動能操作策略示意圖 16圖3.3.2 52週高點法示意圖 18圖3.3.3 移動平均比率法示意圖 19圖3.3.4 單獨一個月歷史報酬率的動能操作策略 20圖4.1.1 日本股市 1975 - 2009走勢圖 23圖4.2.1 動能操作策略中各組平均成交量走勢 29圖4.2.2 動能操作策略中各組平均市值走勢 29圖4.5.1 二年期動能操作策略各月報酬 40圖4.5.2 一個月歷史報酬率的動能操作策略績效 41 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099357025 en_US dc.subject (關鍵詞) 動能操作策略 zh_TW dc.subject (關鍵詞) 價格動能策略 zh_TW dc.subject (關鍵詞) 52週高價動能策略 zh_TW dc.subject (關鍵詞) 移動平均動能策略 zh_TW dc.subject (關鍵詞) 反應過度 zh_TW dc.subject (關鍵詞) 反應不足 zh_TW dc.subject (關鍵詞) momentum strategy en_US dc.subject (關鍵詞) price momentum en_US dc.subject (關鍵詞) the 52-week high en_US dc.subject (關鍵詞) the moving average ratio en_US dc.subject (關鍵詞) overreaction en_US dc.subject (關鍵詞) underreaction en_US dc.title (題名) 動能策略在日本股市的實證研究 zh_TW dc.title (題名) Empirical studies of momentum strategies in the Japanese stock market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. Arena, M., K.S. Haggard, and X. Yan, 2008. “Price momentum and idiosyncratic volatility”, The Financial Review 43, 159–190.2. Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998. “A model of investor sentiment”, Journal of Financial Economics 49, 307–343.3. Blitz, D., Joop Huij, and Martin Martens, 2011. “Residual momentum”, Journal of Empirical Finance 18, 506-521.4. Bremer, Marc and Takato Hiraki, 1999. “Volume and individual security returns on the Tokyo Stock Exchange”, Pacific-Basin Finance Journal 7, 351–370.5. Carhart, M.M., 1997. “On Persistence in Mutual Fund Performance”, Journal of Finance 52, 57-82.6. Chang, Yuk Ying, Robert Faff, and Chuan-Yang Hwang, 2010. “Liquidity and stock returns in Japan: New evidence”, Pacific-Basin Finance Journal 18, 90–115.7. Chang, Rosita P., D.W. McLeavey, and S. Ghon Rhee, 1995. “Short-term abnormal returns of the contrarian strategy in the Japanese stock markets”, Journal of Business Finance & Accounting 22, 1035–1048.8. Chou, Pin-Huang, K.C. John Wei, and Huimin Chung, 2007. “Sources of contrarian profits in the Japanese stock market”, Journal of Empirical Finance 14, 261–286.9. Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2010. “Individualism momentum around the world”, Journal of Finance 65, 361–392.10. Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2000. “Momentum, Legal Systems and Ownership Structure: An analysis of Asian stock markets”, Working paper.11. Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998. “Investors, psychology and security market under- and overreactions”, Journal of Finance 53, 1839–1885.12. De Bondt, Werner, and Richard Thaler, 1985. “Does the Stock Market Overact?”, Journal of Finance 40, 793-805.13. Fama, Eugene F., 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25, 383-417.14. Fama, E.F. and J. MacBeth, 1973. “Risk, return and equilibrium: Empirical tests”, Journal of Political Economy 81, 607-636.15. George, T.J. and C.-Y. Huang, 2004. “The 52-week high and momentum investing”, Journal of Finance 59, 2145-2175.16. Grinblatt, Mark, and Bing Han, 2002. “The disposition effect and momentum”, Working paper, UCLA.17. Gunaratne, P.S.M. and Y. Yonesawa, 1997. “Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction”, Japan and the World Economy 9, 363–384.18. Hameed, Allaudeen and Yuanto Kusnadi, 2002. “Momentum Strategies: Evidence from Pacific Basin stock markets”, Journal of Financial Research 25, 383–397.19. Hong, Dong and Charles Lee, 2003. “Earnings momentum in international markets”, Working paper, Cornell University.20. Hong, Harrison, and Jeremy C. Stein, 1999. “A unified theory of underreaction, momentum trading and overreaction in asset markets”, Journal of Finance 54, 2143–2184.21. Iihara, Yoshio, Hideaki Kiyoshi Kato, and Toshifumi Tokunaga, 2004. “The winner–loser effect in Japanese stock returns”, Japan and the World Economy 16, 471–485.22. Jegadeesh, N., 1990. “Evidence of predictable behavior of security returns”, Journal of Finance 45, 881-898.23. Jegadeesh, N. and S. Titman, 1991. “Short horizon return reversals and the bid-ask spread ”, Working paper, University of California at Los Angeles.24. Jegadeesh, N. and S. Titman, 1993. “Returns to buying winners and selling losers: Implications for stock market efficiency”, Journal of Finance 48, 65-91.25. Jegadeesh, N. and S. Titman, 2001. “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”, Journal of Finance 52, 699-720.26. Kahneman, Daniel and Amos Tvesky, 1973. “Availability: A heuristic for judging frequency and probability”, Cognitive Psychology, 5, 207-23227. Kahneman, Daniel and Amos Tvesky, 1979. “Prospect Theory: An Analysis of Decision under Risk”, Econometrica, XLVII, 263-29128. Kahneman, Daniel, Paul Slovic, and Amos Tversky, 1982, Judgment under Uncertainty: Heuristics and Biases (Cambridge University Press, New York).29. Lehmann, B., 1990. “Fads, martingales and market efficiency,” Quarterly Journal of Economics 105, 1-28.30. Lee, Charles M.C. and Bhaskaran Swaminathan, 2000. “Price momentum and trading volume”, Journal of Finance 55, 2017-2069.31. Liu, Chunlin and Yul Lee, 2001. “Does the Momentum Strategy Work Universally? Evidence from the Japanese Stock Market”, Asia-Pacific Financial Markets 8, 321-339.32. Liu, Ming , Qianqiu Liu, and Tongshu Ma, 2011 “The 52-week high momentum strategy in international stock markets”, Journal of International Money and Finance 30, 180-204.33. Levy, Robert, 1967. “Relative strength as a criterion for investment selection”, Journal of Finance 22, 595-610.34. McInish, Thomas H., David K. Ding, Chong Soo Pyun, and Udomsak Wongchoti, 2000. “Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis”, International Review of Financial Analysis 17, 312–329.35. Moskowitz, T. J., and Mark Grinblatt, 1999. “Do industries explain momentum? ”, Journal of Finance 54, 1249-1290.36. Naranjo, A., and Burt Porter, 2007. “Including emerging markets in international momentum investment strategies”, Emerging Maerkets Review, 147-166.37. Novy-Marx, Robert, 2012 “Is momentum really a momentum”, Journal of Financial Economics 103, 429-453.38. Park, S.-C., 2010. “The moving average ratio and momentum”, The Financial Review 45, 451-447.39. Rouwenhorst, K.G., 1998. “International Momentum Strategies”, Journal of Finance 53, 267-284.40. Roll, Richard, 1983. “Vas ist Das?”, Journal of Portfolio Management, 18-28.41. Swinkels, Laurens, 2002. “International industry momentum”, Journal of Asset Management, 124-141.42. Zhang, X.F., 2006. “Information uncertainty and stock returns”, Journal of Finance 61, 105-136. zh_TW
