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動能策略報酬、過度樂觀、過度自信與處份效果之關係：美國股市的實證研究 =...

國立高雄大學金融管理學系碩士班

動能策略報酬、過度樂觀、過度自信與處份效果之關係：美國股市的實證研究 = The relationship among momentum strategy returns, excess optimism, overconfidence, and disposition effect：Evidence from the US stock market

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	The relationship among momentum strategy returns, excess optimism, overconfidence, and disposition effect：Evidence from the US stock market
作者:	張庭瑄,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	2015[民104]
面頁冊數:	63面圖，表 : 30公分;
標題:	動能策略報酬
標題:	Momentum strategy returns
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/74499393952580513848
附註:	104年10月31日公開
附註:	參考書目：面50-58
摘要註:	本研究旨在探討美國股市動能策略報酬與投資人行為偏誤之間的關係。相較於早期相關文獻,本研究除了調查動能策略報酬與投資人行為偏誤之間的領先落後關係外,我們也探究重大利空事件與股票特徵對前述關係的影響。本文的實證結果首先發現美國股市存在動能報酬,但在重大利空事件期間,此一動能效果將減弱;其次,我們也發現投資人的行為偏誤在動能利潤上扮演著相當重要的角色;再者,在網路經濟泡沫化期間,行為偏誤對動能策略報酬的預測能力降低;最後,當低風險忍受度的保守投資人只偏好投資好公司股票時,投資標的僅限於好公司股票的動能策略報酬與行為偏誤之間則呈現統計上不顯著的領先落後關係。 The aim of this study is to investigate the relationship between momentum strategy returns and investor's behavioral pitfalls in the US stock market. In comparison with the prior studies, this study not only examines the lead-lag relationship between momentum strategy returns and investor's behavioral pitfalls but also explores the effect of major negative events and stock characteristics on the aforementioned relationship. Empirical results show that firstly, the returns of momentum strategy in the US stock market are significantly greater than zero while the price momentum phenomenon weakens during the influential period of the major negative events. Secondly, investor’s behavioral pitfalls play an important role in the momentum profits. Thirdly, the ability of investor's behavioral pitfalls to predict the momentum strategy performance exhibits a decreasing pattern during the dotcom bubble burst. Finally, when the conservative investors with low risk tolerance prefer to trade the stocks of good companies, there is a statistically insignificant lead-lag relationship between the profits of momentum strategy based on portfolios that includes only the stocks of good companies and the proxies of investor's behavioral pitfalls.

動能策略報酬、過度樂觀、過度自信與處份效果之關係：美國股市的實證研究 = The relationship among momentum strategy returns, excess optimism, overconfidence, and disposition effect：Evidence from the US stock market
張, 庭瑄

動能策略報酬、過度樂觀、過度自信與處份效果之關係：美國股市的實證研究 = The relationship among momentum strategy returns, excess optimism, overconfidence, and disposition effect：Evidence from the US stock market / 張庭瑄撰 - [高雄市] : 撰者, 2015[民104]. - 63面 ; 圖，表 ; 30公分.
104年10月31日公開參考書目：面50-58.
動能策略報酬Momentum strategy returns

動能策略報酬、過度樂觀、過度自信與處份效果之關係：美國股市的實證研究 = The relationship among momentum strategy returns, excess optimism, overconfidence, and disposition effect：Evidence from the US stock market
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