行為財務學策略實證-以單一國家指數股票型基金為例

Behavioral Finance Strategies: Evidence from Single-Country Exchange Traded Funds

白介人(Jim Pai)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.10511

摘要

無資料

關鍵字

行為財務 ； 投資策略

並列摘要

The aim of this paper is to model and test behavioral finance strategies on various single-country exchange traded funds (ETFs) traded on the New York Stock Exchange and the American Stock Exchange. Behavioral finance strategies seek to exploit market anomalies caused by the irrational behaviors of investors. However, these strategies, in the past, have been commonly tested on single company stocks. This paper will attempt to develop models from behavioral finance methodologies that can be applied and tested on a more diversified investment vehicle, single-country ETFs. The strategies that this paper will test include the momentum strategy in the short run and the contrarian strategy in the long run. This paper will then simulate a portfolio based on these strategies, and attempt to generate excess returns over the benchmark MSCI World Index. After analyzing the simulation results, this paper finds that the underlying ETFs exhibit a stronger long term mean reversion effect than a short term momentum effect. Furthermore, this paper also confirms George and Hwang’s (2004) findings that the nearness to ‘X’-week high indicator is a better predictor of future returns than are past returns.

並列關鍵字

behavioral finance ； momentum ； contrarian ； ETF ； trading strategy

參考文獻

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

De Long, J.B., Shleifer A., Summers L., & Waldmann R. 1990. Noise Trader Risk in Financial Markets. Journal of Political Economy, 98: 703-738

Fischhoff, B., Slovic, P., & Lichtenstein S. 1977. Knowing With Certainty: The Appropriateness of Extreme Confidence. Journal of Experimental Psychology: Human Perception and Performance, 3: 552-564.