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博碩士論文 etd-0525118-213637 詳細資訊
Title page for etd-0525118-213637
論文名稱
Title
風格投資下共動性對動能策略的不對稱影響
The Asymmetric Effect of Comovement in Style Investing on Momentum Strategy
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
56
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
2018-04-23
繳交日期
Date of Submission
2018-06-25
關鍵字
Keywords
報酬預測力、動能、投資人情緒、共動性、風格投資
return predictability, comovement, momentum, investor sentiment, style investing
統計
Statistics
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The thesis/dissertation has been browsed 5740 times, has been downloaded 1 times.
中文摘要
為了更有效率地進行資產配置,風格投資已成為多數投資人選擇的投資策略。Wahal and Yavuz (2013)指出風格投資會提高股票間的共動性且對股票報酬具有預測能力,使得共動性對動能報酬存在顯著的影響力。財務學者們指出風格投資不僅能簡化投資決策,更能有效提升投資組合的績效表現,因此投資人偏好增加此類股票的交易,導致個股與所屬風格投資組合報酬間產生高度共動性。然而,相關文獻顯少納入市場狀態來觀察共動性對動能效果的影響。因此,本文採用馬可夫狀態模型的時變性機率進行估計,以隱含波動度(VIX)作為估計時變機率的狀態變數來捕捉投資人情緒狀態,檢測不同投資人情緒期間風格投資下共動性對動能報酬的影響。本研究以個股與其所屬風格投資組合的共動性為研究主軸,探討投資風格下共動性對動能是否存在不對稱性的影響,其相關結論如下:
1.風格投資的報酬越高,越會吸引更多投資人交易風格內的股票,使風格投資對股票報酬具有正向的預測能力。尤其在持有期3個月時預測力最強,持有期6個月及12個月預測力則逐漸減弱,顯示短期內具有較強的影響力。
2.當越來越多投資人的資金流入風格投資分類時,會推升風格內股票的價格,使得風格投資股票間的共動性上升,因此高共動性的動能效果較強。在持有期3個月及6個月,高共動性的動能效果具有顯著超額報酬,而投資人對風格投資的過度反應所產生的動能效果會隨著時間消退,造成持有期12個月時動能報酬反轉為負。
3.樂觀情緒會增強投資人過度自信的程度,使風格類型股票需求上升,進而加強動能效果。在投資人樂觀與悲觀情緒期間,持有期3個月及6個月的高共動性動能報酬皆顯著為正;在持有期12個月,高共動性的動能效果在樂觀情緒期間仍持續存在,但在悲觀情緒期間高共動性的動能效果顯著為負。說明風格投資下共動性對動能效果具有不對稱性的影響力,且投資人的樂觀情緒會延長動能策略的獲利期間。
Abstract
To allocate assets more efficiently, many investors will choose style investing as their investment strategy. Wahal and Yavuz (2013) indicate that style investing can increase comovement between stocks, and evidence that there is return predictability of comovement in style investing on momentum. The style investing not only simplifies investment decisions, but also effectively improves the performance of the portfolio. Therefore, comovement between stocks increases through an increased trading on style stocks. However, prior literature shows that the momentum has asymmetric impact pattern in different market states. In this study, therefore, we implement multivariate Markov switching model with time-varying regime transition probabilities and use VIX for modeling the time-varying transition probabilities of the regime-switching process to capture the changes in the investor sentiment state. Our empirical results are as following:
1. Investors are trading more on style investing stocks following the high return of style investing. Consequently, style investing stocks have the positive impact on stock returns. The return predictability of style investing is stronger in the holding period 3 month, and monotonically decreases from holding period 6 to 12 month. This result implies that the return predictability of style investing is outperformance in the short-term.
2. The prices of style investing stocks rise following higher inflows, leading to strength momentum effect. Specifically, stocks with higher comovement are associated with the higher momentum effect. Accordingly, high comovement momentum earns higher momentum profit during holding period 3 and 6 months. On holding period 12 month, the momentum effect is significantly reversal following decreasing in the level of overconfident.
3. The level of overconfidence is increasing following optimistic growing, and leading to investors demand more on style investing stocks, thereby strengths momentum effect. Momentum on high comovement earns significantly profit during holding period 3 and 6 months, either in the optimistic or pessimistic state. On holding period 12 month, momentum on high comovement keeps significantly profit in optimistic state. In contrast, on holding period 12 month, the momentum effect has significantly negative in pessimistic state. This result indicates that the comovement in style investing has asymmetric impact pattern on momentum. In sum, the momentum profit during optimistic state is more persistent than during pessimistic state.
目次 Table of Contents
論文審定書 i
摘要 ii
Abstract iv
目錄 vi
圖次 viii
表次 ix
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 4
第二章 文獻探討 5
第一節 共動性 5
第二節 風格投資 7
第三節 動能策略 10
第三章 假說建立 14
第四章 研究方法 16
第一節 投資組合建構 16
第二節 資料來源及變數說明 19
第三節 模型建立 20
第五章 實證結果與分析 23
第一節 敘述性統計 23
第二節 風格投資對股票報酬的影響 24
第三節 共動性與動能效果 28
第四節 市場狀態與共動性的動能報酬 33
第六章 結論與貢獻 40
第一節 結論 40
第二節 研究貢獻 41
第三節 未來研究方向 42
參考文獻 43
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