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題 名 | 利用隨機優勢探討臺股的動能與反轉現象=Momentum and Reversal in the Taiwan Stock Markets: A Stochastic Dominance Analysis |
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作 者 | 李桂枝; 徐川皓; 許耿智; 章孟宸; | 書刊名 | 臺灣企業績效學刊 |
卷 期 | 9:1 2015.12[民104.12] |
頁 次 | 頁73-85 |
分類號 | 563.54 |
關鍵詞 | 動能投資策略; 反轉投資策略; 隨機優勢; Momentum strategies; Contrarian strategies; Stochastic dominance; |
語 文 | 中文(Chinese) |
中文摘要 | 本文分別依據三種形成期長度建構台股的贏家與輸家投資組合,包括過去1個月的短期績效、過去13個月到過去2個月的中期績效、與過去48個月到過去13個月的長期績效,再利用隨機優勢檢定法探討台股動能與反向投資策略是否具有超額報酬。研究發現,台股在上述形成期定義下的贏家與輸家,並不存在一階或二階的隨機優勢關係;然而,若只針對小型股進行贏家與輸家投資組合的建構與檢定,發現小型股存在中期動能現象,即贏家投資組合隨機優於輸家投資組合。 |
英文摘要 | This study uses stochastic dominance analysis to examine the market performance of the winner portfolio relative to the loser portfolio for different length of ranking periods, including short term (over the past 1 month), median term (over the past 2 to 13 months) and long term (over the past 13 to 48 months). We find that there is no stochastic dominance relation between the winner and loser portfolios for all different length of ranking periods. However, for the small stocks, the winner portfolio stochastically dominates the loser portfolio for the median length of ranking periods. |
本系統中英文摘要資訊取自各篇刊載內容。