觀光休閒相關產業類股投資之績效－以台灣股市為例

The Leisure and Tourism Industries Stocks' Investment Performance Evidence from Taiwan

王弘志(Hung-Chih Wang)

《台灣首府大學學報》 4期 (2013/10) Pp. 47-64

https://doi.org/10.6607/BTSU.2013.4.3

摘要

為了驗證近年來台灣觀光休閒的業績動能是否具投資績效？本文選擇使用台灣股市觀光休閒相關類股的月、週、日報酬資料，分別檢驗其動能策略的投資報酬，發現這些投資組合具正顯著異常投資績效。除此之外，以CAPM、Fama and French（1992；1993）三因子及投資人情緒模型（周賓凰等，2007），分別檢定異常報酬影響因素，發現僅投資人情緒因子具顯著性，推論此異常報酬乃投資人不理性投資行為所致。

關鍵字

觀光休閒 ； 動能策略 ； 股票報酬 ； 投資人情緒

並列摘要

This paper used the leisure and tourism industries stocks monthly, weekly, daily returns to examine the zero-investment portfolios investment performance in Taiwan. There're significantly find the existence of price momentum investment abnormal return. After the momentum effects been recognized, we regressed and found that investors' sentiments are significant cause of short-term momentum by interpreting the CAPM, Fama and French (1992; 1993) three-factor model, and investors' sentiment model (Chou et al., 2007). This study shows that the irrational behaviors of individual investors are the main explanation short-term price momentum. These evidences implied that the investors could obtain higher profit by using the leisure and tourism industries stocks price momentum strategies in Taiwan.

並列關鍵字

leisure and tourism ； momentum strategies ； stock performance ； investors' sentiment