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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 石百達(Pai-Ta Shih) | |
| dc.contributor.author | Jia-Yi Guo | en |
| dc.contributor.author | 郭佳宜 | zh_TW |
| dc.date.accessioned | 2021-06-08T01:39:45Z | - |
| dc.date.copyright | 2016-08-25 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-08-21 | |
| dc.identifier.citation | 1. Amihud, Y. (2002). “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects,” Journal of Financial Markets, 5, 31-56.
2. Avramov, D., Cheng, S., & Hameed, A. (2014). “Time-Varying Momentum Payoffs and Illiquidity,” Asian Finance Association 2014 Conference Paper. 3. Chen, H. Y., Chou, P. H., & Hsieh, C. H. (2015). “Persistency of the Momentum Effect: The Role of Consistent Winners and Losers,” Working paper. 4. Da, Z., Gurun, U. G., & Warachka, M. (2014). “Frog in the Pan: Continuous Information and Momentum,” Review of Financial Studies, 27, 2171-2218. 5. Daniel, K., & Moskowitz, T. (2013). “ Momentum Crashes,” Swiss Finance Institute Research Paper 6. D'Souza, I., Srichanachaitrchok, V., Wang, G., & Yao, Y. (2016). “The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years,” Asian Finance Association (AsianFA) 2016 Conference Paper. 7. Fong, W. M., & Toh, B. (2014). “Investor Sentiment and the MAX Effect,” Journal of Banking & Finance, 46, 190-201. 8. George, T. J., & Hwang, C. Y. (2004). “The 52-Week High and Momentum Investing,” Journal of Finance, 59, 2145-2176. 9. Heidari, M. (2015). “Momentum Crash Management,” Working paper. 10. Huang, S. (2015). “ The Momentum Gap and Return Predictability,” WFA 2015 Seattle Meetings Paper 11. Jegadeesh, N., & Titman, S., (1993). “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, 48, 65-91. 12. Jegadeesh, N. (1990). “Evidence of Predictable Behavior of Security Returns,” Journal of Finance, 45, 881-898. 13. Lehmann, B. N. (1990). “Fads, Martingales, and Market Efficiency,” Journal of Economics, 105, 1-28. 14. Moskowitz, T. J., & Grinblatt, M. (1999). “Do Industries Explain Momentum?,” The Journal of Finance, 54, 1249-1290. 15. Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H. (2012). “Time Series Momentum,” Journal of Financial Economics, 104, 228-250. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/18923 | - |
| dc.description.abstract | 傳統的JT價格動能策略，已證明在2000年後失效，而其他改良的動能策略效果也於2000年後大幅下降，甚至也變不顯著，然而本研究提出的FIP+MAX的動能策略，不但維持高額的報酬率，從1980年至2015年的回溯表現至今仍維持顯著性。
根據本研究提出的FIP+MAX策略搭配預警機制後所形成的投資策略，平均一個月的報酬率高達5.28%，Sharpe ratio為0.53，操作勝率上也有七成會賺錢，有六成四的勝率擊敗大盤。 最後，在考量實務上企業都有面臨財報公布的壓力，而本研究提出的FIP+MAX改良版投資策略，不論是連續操作一季、半年、一年，平均勝率和操作績效都優於被動式投資大盤許多，因此，此策略不但具有高額的獲利性、穩定性，連操作上的可行性也兼顧。 | zh_TW |
| dc.description.abstract | Traditional JT price momentum strategy has proved to be ineffective after 2000. Other improved momentum strategy’s effect are also declined. However, the present study proposed FIP + MAX improved momentum strategy, not only to maintain the high return, it has maintained significant till now.
With early warning mechanism in accordance with FIP + MAX strategy proposed in this study, the month average return as high as 5.28%, Sharpe ratio of 0.53. The strategy will make money with hit ratio of 70% and 64% odds will beat the market. In consideration of the company has regularly published financial statements pressure, the present study proposed FIP + MAX improved momentum strategy has stable performance. Whether continuous operation quarter, six months, one year, the average probability of positive returns and operating performance is better than invest the market. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T01:39:45Z (GMT). No. of bitstreams: 1 ntu-105-R03723034-1.pdf: 4747548 bytes, checksum: b6cdd823c81cf1e7c21e509a7e4f1009 (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 誌謝------------------------------------------------------------1
中文摘要--------------------------------------------------------2 ABSTRACT--------------------------------------------------------3 目錄------------------------------------------------------------4 圖目錄----------------------------------------------------------6 表目錄----------------------------------------------------------7 第一章 緒論----------------------------------------------------8 第一節、 研究背景與動機--------------------------------------8 第二節、 研究架構--------------------------------------------8 第二章 文獻回顧------------------------------------------------9 第一節、 動能策略相關文獻------------------------------------9 第二節、 Momentum Crash 相關文獻----------------------------12 第三章 研究方法-----------------------------------------------13 第一節、 動能投資組合建構-----------------------------------13 第二節、 動能策略風險預測因子-------------------------------16 第四章 實證結果與分析-----------------------------------------18 第一節、 價格動能策略績效之分析-----------------------------18 第二節、 Crash 風險管理-------------------------------------25 第三節、 改良式動能策略績效之分析---------------------------29 第五章 結論---------------------------------------------------30 參考文獻-------------------------------------------------------31 圖表附錄-------------------------------------------------------33 | |
| dc.language.iso | zh-TW | |
| dc.title | 動能投資策略與風險管理 | zh_TW |
| dc.title | Momentum Strategy and Momentum Crash Management | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張森林(San-Lin Chung),洪偉峰(Wei-Feng Hung) | |
| dc.subject.keyword | 動能策略,溫水煮青蛙(FIP),被動式投資,財務報表,夏普指標, | zh_TW |
| dc.subject.keyword | Momentum Strategy,Frog-in-the-pain (FIP),MAX effect,passive investment,financial statements,Sharpe ratio, | en |
| dc.relation.page | 48 | |
| dc.identifier.doi | 10.6342/NTU201603486 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2016-08-22 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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