資訊交易機率與動能策略之研究

Probability of Informed Trading and Momentum‏

陳怡君(Yi-chun Chen)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2012年)

摘要

本文探討動能策略和投資人之間資訊不對稱的關係。此研究目的為提供交易者釐清優勢資訊增加投資獲利的管道；本研究使用學者Easley et al. (1996)所引用PIN (Probability of Informed Trading)為主要變數，結合動能策略與資訊交易機率進而形成另一個新變數PIN-Momentum，此研究為第一個結合動能策略與資訊交易機率進而探討在考量動能策略後，資訊是否依然能對報酬有所影響。結果發現考慮產業、景氣循環、市場狀態的因素下，資訊交易機率對報酬是有顯著相關的。

關鍵字

動能策略 ； 資訊交易機率

並列摘要

This is the first study which combines the two concepts together, where the PIN is added to the momentum effect and where the asymmetry of the momentum effect is compared to the PIN-Momentum to investigate whether the PIN-Momentum strategy can increase profits or not. We use PIN model which is proposed by Easley et al. (1996) as a major factor to test whether the information should be priced or not. Form our result, we find that the information will affect return and we suggests that it is an important factor to predict future return. We hope that this study can bring some interesting implications for future research.

並列關鍵字

Momentum ； PIN ； Probability of Informed Trading

參考文獻

Black, Fischer, and Myron Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, 637–659.

Chi-Lu Peng, Jen-Sin Lee, Kam C. Chan, David S. Shyu, 2010, Momentum Effect of High- and Low-Performing Stocks in Taiwan: A Quantile Regression Analysis, International Research Journal of Finance and Economics, ISSN 1450-2887 Issue 52.

Chordia, Tarun, and Lakshmanan Shivakumar, 2002, Momentum, Business Cycle, and Time-Varying Expected Returns, The Journal of Finance 57, 985–1019.

De Bondt, W. F. M. and R. H. Thaler 1985, Does the Stock Market Overreact? Journal of Finance, 40, 793-805.

Easley, Hvidkjaer and O''Hara 2002,‏ Is Information Risk a Determinant of Asset Returns?, The Journal of Finance, 57, no. 5, 2185-2221.