隨機優越框架下之動能投資策略

Abstract

在股票投資中，側重技術面的動能投資策略是一個重要方法，動能策略的優點在計算簡單、僅需個別資產的股價資料，此方法僅需兩兩比較個別資產於投資組合形成期之報酬，並依此建構投資組合即可。本研究沿襲動能策略之精神，以FSD、AFSD、SSD、ASSD、GASSD等五種隨機優越指標為準則，透過相對強勢策略之方式建構零成本、等金額的投資組合，發現以SSD、ASSD為準則所建構的投資組合在持有期間的部分月份中會產生超額報酬。 最後，從資產定價因子模型與投資人過度反應之觀點試圖解釋超額報酬，結果發現資產定價因子模型可解釋超額報酬之變異，但具解釋力的因子卻因指標不同而有差異，以SSD為準則時，系統性風險、動能因子可解釋過半超額報酬的變異，而以ASSD為準則時，動能因子可解釋近半超額報酬的變異。此外，投資人過度反應之觀點無法解釋超額報酬之變異。

In the field of stock investment, momentum strategy is an important approach which belongs to a part of technical analysis. The advantage of momentum strategy lies in its simplicity of computation. What this method needs is only to sort asset return in portfolio formation period, and then construct portfolio according to the result. This study follows the idea of momentum strategy. We use five criteria: FSD,AFSD,SSD,ASSD,and GASSD to construct zero-cost, equal amount portfolio by relative strength strategy. The result shows that the portfolio using SSD and ASSD can generate excess return in parts of months in holding period. Finally, this study intends to explain excess return in the view of asset pricing factor model and overreaction. The results show that asset pricing factor model can explain half variation of excess return. In SSD, systemic risk factor, momentum factor can explain more than half variation of excess return; in ASSD, almost half variation of excess return can be explained by only momentum factor. Moreover, investor’s overreaction can’t explain the variation of excess return