52週高點與動能投資策略：隨機優越架構下之比較

Abstract

George and Hwang (2004) 提出52週高點投資策略，該策略不僅能夠帶來顯著的正報酬，在Fama-MacBeth迴歸式中其效果優於Jegadeesh et al. (1993) 的個股動能投資策略以及Moskowitz et al. (1999) 的產業動能投資策略。為了瞭解投資人實際在股票市場中採取動能策略能否得到類似結果，本篇論文利用台灣證券交易所上市公司的股價資訊，從隨機優越的角度比較52週高點策略、個股動能策略與產業動能策略的報酬，檢驗52週高點策略是否具有一階、二階、幾乎一階、幾乎二階，抑或一般化幾乎二階的隨機優越。 當投資組合僅持有6個月的情況下，52週高點投資策略並未明顯優於另外兩種動能策略。但當持有期間增加至12個月時，52週高點投資策略具備幾乎一階隨機優越，其中相較回顧過去12個月的個股動能策略，52週高點投資策略甚至呈現一階隨機優越。

George and Hwang (2004) proposed a 52-week high investment strategy, which can not only bring significantly positive returns, but also outperforms Jegadeesh et al. (1993) individual stock momentum strategy and Moskowitz et al. (1999) industrial momentum strategy in the Fama-MacBeth regression. In order to figure out whether it is possible for investors adopting momentum strategies in practice on the stock market to obtain similar results, this paper uses the stock prices of all listed companies on the Taiwan Stock Exchange, compares the returns of 52-week high strategy, individual stock momentum strategy and industrial momentum strategy from a stochastic dominance (SD) perspective, and shows whether the 52-week high strategy has the first-order SD (FSD), second-order SD (SSD), almost FSD (AFSD), ASSD, or generalized ASSD (GASSD). For the portfolios held for 6 months, there is no evidence that the 52-week high investment strategy is significantly better than the other momentum strategies. However, when the holding period of the portfolios increases to 12 months, the 52-week high strategy is AFSD. Compared with the individual momentum strategy based on past 12-month returns, the 52-week high strategy even is FSD.