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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20054完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 石百達(Pai-Ta Shih) | |
| dc.contributor.author | Yao-Ming Tsai | en |
| dc.contributor.author | 蔡筄洺 | zh_TW |
| dc.date.accessioned | 2021-06-08T02:39:21Z | - |
| dc.date.copyright | 2021-04-07 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-03-01 | |
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/20054 | - |
| dc.description.abstract | 參考過往動能研究，對營收動能(Revenue Momentum)成因提出兩個假說：資訊延遲假說(Information Delay Hypothesis)以及資訊持續假說(Information Consistency Hypothesis)。採用台灣獨有的月營收資料擬定投資策略進行驗證此二假說，結果發現營收動能報酬同時受資訊延遲性與持續性影響，上述二假說均得支持。這代表著月營收報告具有資訊意涵，在執行月營收動能交易策略時，可同時考慮延遲效果及持續效果，及當期其他資訊的影響，使營收動能策略有更好的投資績效。另外，本文也印證月營收報告有助於在財報空窗期(Financial Statement Emptiness Period)時的資訊流通效果。 | zh_TW |
| dc.description.abstract | Based on previous momentum research, we reconstruct the cause of revenue momentum into two hypotheses, which are information delay hypothesis and information consistency hypothesis, respectively. After conducting empirical studies by using monthly revenue reports in Taiwan, it is found that return generated from revenue momentum strategies can be explained by both hypotheses. That is, it enables investors to gain more return if they take both information delay and consistency into consideration when creating momentum strategies. Furthermore, we discover that monthly revenue reports are helpful to information delivery during financial statement emptiness period. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T02:39:21Z (GMT). No. of bitstreams: 1 U0001-2410202016573800.pdf: 706751 bytes, checksum: e3df83ac16229bdfe91100f3977f5382 (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | 一、緒論與文獻回顧 1 二、研究方法 5 2.1. 資料來源、投資標的與期間 5 2.2. 投資策略建構 7 2.3. 資訊延遲與持續性假說實證方法 8 2.4. 財報空窗期效果實證方法 9 三、動能策略實證結果 9 3.1. 資訊延遲性假說驗證 9 3.2. 資訊持續性假說驗證 10 3.3. 敏感性分析 10 3.4. 與大盤、0050比較實證結果 15 四、結論與後續延伸 15 參考文獻 16 英文文獻 16 中文文獻 17 圖一 月營收動能投資策略時間軸 7 圖二 資訊持續性驗證方法時間軸 8 表一 公司各月間數敘述統計 6 表二 資訊持續性假說驗證結果 10 表三 資訊持續性假說驗證結果 10 表四 資訊延遲性假說敏感性分析 13 表五 資訊持續性假說敏感性分析 14 表六 動能投資策略與ETF敘述統計 15 表七 動能投資策略與ETF檢定結果 15 | |
| dc.language.iso | zh-TW | |
| dc.title | 月營收動能策略再探 | zh_TW |
| dc.title | Reinvestigation in Monthly Revenue Momentum Strategies | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 蔡芸琤(Yun-Cheng Tsai) | |
| dc.contributor.oralexamcommittee | 盧佳琪(Chia-Chi Lu) | |
| dc.subject.keyword | 營收動能,交易策略,資訊延遲性,資訊持續性,財報空窗期, | zh_TW |
| dc.subject.keyword | Revenue Momentum,Trading Strategies,Information Delay,Information Consistency,Financial Statement Emptiness Period, | en |
| dc.relation.page | 17 | |
| dc.identifier.doi | 10.6342/NTU202004306 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2021-03-02 | |
| 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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