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題 名 | 產業別動量投資策略與投資績效--臺灣股票型共同基金之實證研究=Industrial Momentum Strategies and Investment Performance: An Empirical Study on Taiwan Stock Mutual Fund |
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作 者 | 陳正佑; 徐守德; 王毓敏; | 書刊名 | 中山管理評論 |
卷 期 | 10:2 民91.夏 |
頁 次 | 頁203-230 |
分類號 | 563.538 |
關鍵詞 | 共同基金; 績效評估; 動量投資; 持股比率變動; Mutual fund; Performance evaluation; Momentun investment; Change of stock holding weighting; |
語 文 | 中文(Chinese) |
中文摘要 | 本文延用並修正Grinblatt, Titman and Wermers(l995)所提出之動量投資測度 (momentum investment measure)及Grinblatt and Titman(l993)所提出之投資組 合變動法(portfolio change measure)續效評估模型,在分別考慮有無市場報酬率 之調整下,驗證全體台灣股票型共同基金是否存在產業別動量(industrialmomentum) 投資策略及其與產業別投資績效之關係,進而推論此投資策略是理性的抑或是非理性的,此亦是本文主要之貢獻所在。就類股持股比率變動之週資料而言,實證結果發現各類型及全體股票型共同基金普遍存在產業別動量投資現象,與Moskowitz and Grinblatt(1999)對美國證券市場研究之結論一致。 且一般而言,採用產業別動量投資策略能獲得較佳之產業別投資績效。因此,共同基金產業別動量投資策略並非是不理性的,反而是有助於加速類股指數往真實價值調整之過程。 |
英文摘要 | This paper modifies the “momentum investment measure" developed by Grinblatt, Titman and Wermers(l995) and “portfolio change measure" performance evaluation model developed by Grinblatt and Titman(1993)to test the “industrialmomentun investment” strategy and its relationship with the industrial investment performance of Taiwan stock mutual funds to judge whether the strategy is rational or irrational. This is the major contribution of this paper. 8ased on the weekly data of industrial index, this study finds that stock mutual funds almost are “industrialmomentum investors” which realized significantly better industrial performance then others. The conclusion suggests that the strategy is not irrational and can increase the speed of adjustment of industrial index to its intrinsic value. |
本系統中英文摘要資訊取自各篇刊載內容。