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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 洪茂蔚 | |
dc.contributor.author | Hung-Wen Lin | en |
dc.contributor.author | 林鴻文 | zh_TW |
dc.date.accessioned | 2021-06-08T02:03:30Z | - |
dc.date.copyright | 2016-04-08 | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016-03-25 | |
dc.identifier.citation | References
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/19525 | - |
dc.description.abstract | 上海與深圳股票市場規模日益成長,但投資人卻以散戶為主體,而非像歐美以投資銀行為主要參與者,在此背景下,本文用基於Jegadeesh and Titman (1993)動能策略的研究模式,並擴大其形成期、持有期的測試,發現兩股票市場存在非常穩定的負值動能利潤。此外,我們採用Bhattacharya et al. (2003) 的透明度指標:盈餘激進度(earning aggressiveness)和盈餘平滑度(earing smoothing),對大陸上市公司作財務訊息揭露測試,數據結果顯示,兩個透明度指標無法有效影響動能利潤,上市公司無論透明度高或低,其股票價格皆容易出現反轉現象。. | zh_TW |
dc.description.abstract | There exists a large ratio of retail investors in China stock market and this fact is significantly different from American and Euro main markets. We have known that the latter exist momentum profit using six months formation and holding period by Jegadeesh and Titman (1993). However, momentum researches for China are imperfect and still too few. Therefore, this study examines whether Shanghai and Shenzhen stock markets have the momentum profit. We find that these two markets have significant contrarian and no momentum profit. We also create the benchmark portfolio: artificial momentum strategy and follow Bhattacharya (2003) to compute the transparency indices. Our outcomes show that winner’s or loser’s transparencies of native contrarian are not differ from artificial momentum. Their averages of decile transparencies are between 4.5 and 6.5 for not only top 10% winner but also bottom 10% loser. According these results, we suggest that the inertia and reversal of stock price are irrelative to financial transparency in Shanghai and Shenzhen stock markets. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T02:03:30Z (GMT). No. of bitstreams: 1 ntu-105-D97724008-1.pdf: 2438417 bytes, checksum: d1d5cbb9c6b6d545c04e6cc52cf805a5 (MD5) Previous issue date: 2016 | en |
dc.description.tableofcontents | MOMENTUM STUDIES
Part 1. 1. Introduction 1 Part 2. Artificial Momentum, Native Contrarian and Transparency in China 6 2. Models and Data Descriptions 7 A. Momentum Computation 7 B. Artificial Winners and Losers 10 C. Subsample Combinations 11 D. Data Description 11 3. Experiment of Momentum Profit 11 A. Shanghai A-share 12 B. Shenzhen A-share 13 C. Shanghai B-share 14 D. Shenzhen B-share 15 E. Combinations of A-share from Shanghai and Shenzhen 16 F. Combinations of B-share from Shanghai and Shenzhen 17 G. Shanghai Stock Markets 18 H. Shenzhen Stock Markets 19 I. Fully Combinations of Share from Shanghai and Shenzhen 20 4. Transparency of Artificial Momentum and Native Contrarian 21 A. Distribution of Winner and Loser 21 B. Methodology of Transparency 24 C. Experiment of Transparency 24 D. Robustness Check 26 Appendix 27 Part 3. Synergy between Stochastic Dominance and Value-at-Risk 36 5. Synergy Methodology 37 A. Individual VaR Criterion and Individual FSD Criterion 40 B. Dataset 43 C. Synergy Ratio 43 D. FSD-VaR Criterion and G-, S-, T-, and R-type Objects 47 6. Momentum Strategies 50 A. Strategies 50 B. Revising the Definitions of Winner and Loser 52 C. Superiority in terms of Risk 53 7. Individual Risk and Profitability of G-, S-, T-, and R-type Objects 56 A. Violation Analysis 56 B. Verification of Profitability 59 8. Persistence of Synergy Effects 61 A. Persistence of G-, S-, T-, and R-type Objects 61 B. Robustness Check 63 Part 4. 9. Conclusion 66 Appendix 1 68 Appendix 2 69 Appendix 3 70 Appendix 4 73 Appendix 5 74 References 75 | |
dc.language.iso | en | |
dc.title | 動能策略研究 | zh_TW |
dc.title | Momentum Studies | en |
dc.type | Thesis | |
dc.date.schoolyear | 104-2 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 王衍智,王耀輝,張元晨,余士迪,莊文議 | |
dc.subject.keyword | 動能策略,透明度研究,盈餘激進度,盈餘平滑度,財務訊息揭露, | zh_TW |
dc.subject.keyword | Momentum,transparency,earning aggressiveness,earning smoothing,earning management, | en |
dc.relation.page | 107 | |
dc.identifier.doi | 10.6342/NTU201600149 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2016-03-25 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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