再論動能策略-利用殘差分析與價格風險調整

Revisit The Momentum Strategy-Residual Analysis and Price Risk Adjustment

莊宏瑋(Hong-Wei Chuang)

指導教授 ： 何淮中

國立臺灣大學/管理學院/財務金融學研究所/博士(2011年)

https://doi.org/10.6342/NTU.2011.02243

摘要

本論文首先檢視傳統的動能策略從1930年1月到2010年12月在美國股票市場之表現， 發現在市場大跌之後，此投資組合同樣也面臨大的下跌風險，尤其是在2000年的網路泡沫與2008年的信用風暴之後。

本論文試著以殘差分析與價格風險調整來改進傳統的動能策略，主要有兩部分： 第一部分為利用各個股票之報酬率與殘差報酬率分別排序來建立投資組合；第二部分為調整傳統動能策略投資組合之價格風險。此利用殘差分析或價格風險調整後的投資組合，其表現皆會優於傳統的動能策略。

關鍵字

動能策略 ； 殘差分析 ； 價格風險

並列摘要

This dissertation first examines the performance of the conventional momentum strategy in the U.S. stock market over the period from January 1930 to December 2010. We can find, after the market collapses, the investment portfolio' s perfomance of the conventionalmomentum strategy faces a large drawdown risk. This is especially profound after the Dot-Com bubble in 2000 and the Credit Crash in 2008.

We then propose two types of modifications to improve the conventional momentum strategy by using the residual analysis and the price-risk adjustment. To form the portfolios, the first modification is based on independently sorting the stocks according to their total returns and residual returns. The second is to adjust the price risk of the portfolios. These portfolios formed by the residual analysis or the price-risk adjustment perform better than the conventional momentum strategy.

並列關鍵字

Momentum Strategy ； Residual Analysis ； Price Risk

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