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博碩士論文 etd-0420116-173521 詳細資訊
Title page for etd-0420116-173521
論文名稱
Title
廣告曝光度的報酬動能策略與殘差動能策略
Advertising return momentum and residual momentum
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
91
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2016-05-20
繳交日期
Date of Submission
2016-05-21
關鍵字
Keywords
投資人情緒、殘差動能策略、投資人注意力、報酬動能策略、廣告
residual momentum strategy, return momentum strategy, advertising exposure, investor attention, investor sentiment
統計
Statistics
本論文已被瀏覽 5853 次,被下載 22
The thesis/dissertation has been browsed 5853 times, has been downloaded 22 times.
中文摘要
現今財務領域上諸多議題討論投資人注意力、動能策略及投資人情緒彼此間相互影響的關係。本文同時考量將橫斷面特性—投資人注意力對動能策略獲利的影響,與時間序列特性—樂觀與悲觀情緒期間對動能策略獲利的影響。使用廣告作為投資人注意力代理變數,探討在不同投資人情緒期間下,投資人注意力對報酬動能策略與殘差動能策略的影響。本研究有3點發現:
1. 公司廣告曝光度愈高,愈使投資人的關注度增加,愈能在投資人心中留下印象。短期一年之內,股票的認知度愈高,使投資人進行投資決策時傾向選擇此類股票,從而使持有期1、3、6及12個月的高廣告曝光度的報酬動能策略獲得1.914%、6.550%、13.355%及20.029%的風險調整後報酬率;持有期1、3、6及12個月的高廣告曝光度的殘差動能策略獲得0.4%、0.6%、1.0%及1.2%的風險調整後報酬率。
2. 其次,更進一步比較高廣告曝光度與低廣告曝光度的報酬動能策略,得出兩者風險調整後報酬率的差異在持有期1、3、6及12個月分別為1.476%、5.219%、7.725%及8.940%,均具有顯著差異,代表高廣告曝光度報酬動能策略的獲利高於低廣告曝光度報酬動能策略的獲利。
3. 在樂觀情緒期間,廣告吸引投資人更加關注好消息,使壞消息傳遞速度更為緩慢,加上放空限制,造成輸家投資組合報酬率持續下跌,使動能策略的獲利期間延長。所以不同市場狀態對報酬動能策略獲利有不對稱的影響,高廣告曝光度報酬動能策略的獲利在樂觀情緒期間高於悲觀情緒期間。樂觀情緒期間高廣告曝光度的報酬動能策略報酬,在持有期3與6個月分別獲得高於悲觀情緒期間3.207%與6.828%的風險調整後報酬。
Abstract
Extensive finance literature discusses the interactive relationship between momentum strategies and investor attention and sentiment. This paper goes further by considering both cross-section characteristics, i.e. the impact of investors’ attention on the profitability of the momentum strategy, as well as the time series data, i.e. the influence of optimism/pessimism on the profitability of the momentum strategy. This paper adopts advertisements as a proxy variable for investors’ attention and then examines the effects of investor attention to the return momentum and residual momentum strategies according to different sentiments, and obtains the following findings:
1. The higher the advertising exposure, the greater the attention and the stronger the impression of investors. Within a short period of one year, the greater the investor cognizance, the more likely investors will buy stocks. As a result, the return momentum strategy on stocks with high advertising exposure achieves 1.914%, 6.550%, 13.355%, and 20.029% risk-adjusted returns on the 1-month, 3-month, 6-month, and 12-month holding periods, respectively; while the residual momentum strategy on stocks with high advertising exposure achieves 0.4%, 0.6%, 1.0%, and 1.2% risk-adjusted returns on the 1-month, 3-month, 6-month, and 12-month holding periods, respectively.
2. Further study on the return momentum strategy on stocks with high advertising exposure and on stocks with low advertising exposure finds that, the spread in risk-adjusted returns between on these two sets of stocks on 1-month, 3-month, 6-month, and 12-month holding periods are 1.476%, 5.219%, 7.725%, and 8.940%, respectively, which are all statistically significant. This implies that the return momentum strategy on stocks with high advertising exposure generates greater returns than that on stocks with low advertising exposure.
3. In optimistic sentiment, the advertising exposure fascinates the investors more attention to good news and slows down the transmission of bad news; and when combined with the limitation of shorting, causes a continued decline in the return of losers portfolio, while resulting in a prolonged period of profitability for the momentum strategy. In other words, the impact of different market sentiments on the profitability of the return momentum strategy is asymmetric. The return momentum strategy on the stocks with high advertising exposure is more profitable when the market is optimistic than when the market is pessimistic. The risk-adjusted returns of the return momentum strategy on stocks with high advertising exposure amid optimism are 3.207%, and 6.828% higher than those amid pessimism on the 3-month, and 6-month holding periods, respectively.
目次 Table of Contents
Table of contents
論文審定書 i
誌謝 iii
中文摘要 iv
英文摘要 v
Chapter 1 Introduction 1
Chapter 2 Literature Review 9
Section 1 Influence of Investor Attention on Stock Returns 10
Section 2 Momentum Strategies 13
Section 3 Influence of Investor Attention on Momentum Strategies 14
Section 4 Influence of Market Conditions on Momentum Strategies 15
Section 5 Influence of Investor Sentiments on Investor Attention 16
Chapter 3 Hypothesis Establishment 18
Chapter 4 Research Methodology 21
Section 1 Construction of Investment Portfolios 21
Section 2 Variable Explanations 24
Section 3 Establishment of Research Models 24
Chapter 5 Empirical Results and Analysis 27
Section 1 Sample Data 27
Section 2 Number of Companies in Advertised Portfolios 28
Section 3 Empirical results 29
Conclusions and Contributions 35
Section 1 Conclusion 35
Section 2 Research Contribution 36
Section 3 Future studies 37
References 80

List of figures
Figure 4-1 Investment Portfolios 23

List of tables
Table 4-1 variable explanations 24
Table 5-1 number of companies in advertising quintiles 39
Table 5-2 trading volume of advertising momentum strategy 42
Table 5-3 excess return of advertising return momentum 44
Table 5-4 risk-adjusted return of advertising return momentum 47
Table 5-5 excess return of advertising residual momentum 50
Table 5-6 risk-adjusted return of advertising residual momentum 53
Table 5-7 excess return of advertising return momentum during the optimistic and pessimistic sentiment periods 56
Table 5-8 risk-adjusted return of advertising return momentum during the optimistic and pessimistic sentiment periods 62
Table 5-9 excess return of advertising residual momentum during the optimistic and pessimistic sentiment periods 68
Table 5-10 risk-adjusted return of advertising residual momentum during the optimistic and pessimistic sentiment periods 74
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