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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 莊文議(Wen-I Chuang) | |
| dc.contributor.author | Yu-Hui Lin | en |
| dc.contributor.author | 林育暉 | zh_TW |
| dc.date.accessioned | 2021-06-15T13:09:51Z | - |
| dc.date.available | 2019-07-04 | |
| dc.date.copyright | 2016-07-04 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-06-27 | |
| dc.identifier.citation | Amihud, Y., 2002. Illiquidity and stock returns: Cross-section and time-series effects. Journal of financial markets 5, 31-56.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50971 | - |
| dc.description.abstract | 當市場流動性愈高時，通常代表套利更容易進行，股價的異常現象也會較少，但Avramov, Cheng and Hameed (2016)實證結果顯示市場流動性與動能報酬呈正向關係，即市場流動性愈高則動能報酬愈高。本研究重新驗證後雖呈現相同結果，但卻發現市場流動性對動能報酬的預測關係在不同市場狀態下會存在差異，當市場持續上漲時，市場流動性對動能報酬的預測能力會由正向轉為負向，此時市場流動性與動能報酬的關係與直覺較為相符，此外，投資人情緒也會影響變數對動能報酬的預測能力，當投資人情緒較低時，會加強市場周轉率及市場波動率對動能報酬的影響。 | zh_TW |
| dc.description.abstract | Arbitrage is easier when markets are more liquid, and hence the profitability of anomaly-based trading strategies should be lower. However, Avramov, Cheng and Hameed (2016) find that moment profits are larger in liquid market. This study verifies their findings and get the same results, and this study further finds that the relation between market liquidity and momentum profits depend on market states. When the market continues to rise, market liquidity negatively predicts future momentum profits. The above-mentioned findings are more consistent with basic intuition. Additionally, predictive impact of market turnover and market volatility on momentum profits are affected by investor sentiment. When investor sentiment is low, market turnover and market volatility have greater predictive impact on future momentum profits. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T13:09:51Z (GMT). No. of bitstreams: 1 ntu-105-R03723054-1.pdf: 1116472 bytes, checksum: ebf403d8b8f547a9d89f756870b84eab (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 誌謝 i
摘要 ii Abstract iii 目錄 iv 圖目錄 vi 表目錄 vii 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 2 第三節 研究架構 3 第二章 文獻回顧 4 第一節 動能報酬的理論模型 4 第二節 流動性與股票價格動能 5 第三節 波動性與股票價格動能 6 第四節 市場狀態與股票價格動能 7 第五節 投資人情緒與股票價格動能 8 第三章 資料處理與研究方法 9 第一節 資料來源 9 第二節 變數定義 10 第三節 研究方法 14 第四章 實證結果與分析 17 第一節 敘述統計 17 第二節 投資組合報酬 18 第三節 迴歸模型分析 20 第五章 結論 36 參考文獻 38 | |
| dc.language.iso | zh-TW | |
| dc.subject | 投資人情緒 | zh_TW |
| dc.subject | 股價動能 | zh_TW |
| dc.subject | 市場流動性 | zh_TW |
| dc.subject | 市場狀態 | zh_TW |
| dc.subject | 股價動能 | zh_TW |
| dc.subject | 市場流動性 | zh_TW |
| dc.subject | 市場狀態 | zh_TW |
| dc.subject | 投資人情緒 | zh_TW |
| dc.subject | Liquidity | en |
| dc.subject | Momentum | en |
| dc.subject | Investor sentiment | en |
| dc.subject | Market states | en |
| dc.subject | Liquidity | en |
| dc.subject | Momentum | en |
| dc.subject | Investor sentiment | en |
| dc.subject | Market states | en |
| dc.title | 股票價格動能之驅動因素 | zh_TW |
| dc.title | Determinants of stock price momentum | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 劉祥熹(Hsiang-Hsi Liu),張景宏(Ching-Hung Chang) | |
| dc.subject.keyword | 股價動能,市場流動性,市場狀態,投資人情緒, | zh_TW |
| dc.subject.keyword | Momentum,Liquidity,Market states,Investor sentiment, | en |
| dc.relation.page | 41 | |
| dc.identifier.doi | 10.6342/NTU201600528 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2016-06-28 | |
| 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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