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由財務資訊的合併檢視市場效率性 = Examining market e...

國立高雄大學金融管理學系碩士班

由財務資訊的合併檢視市場效率性 = Examining market efficiency through the combination of financial information

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	Examining market efficiency through the combination of financial information
作者:	黃健瑋,
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:	2012[民101]
面頁冊數:	56面圖，表格 : 30公分;
標題:	市場異常現象
標題:	Anomaly
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/88999590971720380730
附註:	參考書目：面43-46
摘要註:	效率市場下的異常現象廣為學界與實務界所探討，從以往研究報告中可以發現，投資組合報酬的產生，不論是基本面或技術面因子，皆為使用單一個因子做為訊號。本篇研究將「股價最高與最低價差」與「總資產報酬成長率」兩因子做結合，形成複合因子做為投資訊號，藉由投資組合可以獲得顯著且穩定的報酬。有別於只採用單一因子做為投資訊號，報酬不穩定的情況，此複合策略可產生3.05%之平均月報酬，且非常穩定。而在後續的測試當中，本文亦證明複合策略不是資料探勘的結果。其可以獲得異常報酬之原因值得後續研究進一步探討。 Anomalies are widely discussed by academic and practical area. The purpose of this study is to provide evidence for examining market efficiency through the combination of financial information. We double sort stocks based on the range of annual high/low price and the growth of total asset return. Monthly data in Taiwan from 1990 to 2011 are used. The returns earned under the double partition cannot be subsumed by multifactor models. The findings are robust under different time partition, sample partition, and holding periods. Moreover, we also show that randomly double sort stocks based on other firm-level characteristics cannot obtain robust risk-adjusted returns, which implies that our findings are not due to data snooping. The causes of the risk-adjusted returns found in this study is worthy of further examination.

由財務資訊的合併檢視市場效率性 = Examining market efficiency through the combination of financial information
黃, 健瑋

由財務資訊的合併檢視市場效率性 = Examining market efficiency through the combination of financial information / 黃健瑋撰 - [高雄市] : 撰者, 2012[民101]. - 56面 ; 圖，表格 ; 30公分.
參考書目：面43-46.
市場異常現象Anomaly

由財務資訊的合併檢視市場效率性 = Examining market efficiency through the combination of financial information
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