全球產業動能現象之探討

Global Momentum Strategy

何性賢(Hsing-Hsien Ho)

指導教授 ： 辛敬文 ； 陳聖賢

元智大學/管理學院/財務金融學系/碩士(2002年)

摘要

本研究主要是對MSCI所認定的18個已開發國家作動能投資策略獲利之探討。首先，我們發現在中期，全球動能現象是存在的而且其獲利會隨著持有期間越長而越大。在控制規模產業等因子的情況下，動能策略報酬會與規模因子成反向關係。控制產業因子會降低動能策略的獲利性。同時控制產業與規模因子情況下，發現規模因子對動能策略的影響會大於產業對動能策略的影響。其次，在區域動能策略的探討上，除了亞洲並沒有動能現象外，歐洲跟北美洲都有動能現象的發生，並對規模也有負向的關係存在。最後，在二因子模型分析中，風險調整過之報酬依然存在動能現象，結果顯示出贏家與輸家的公司規模較其他等分投資組合之規模來的小。

關鍵字

全球 ； 動能 ； 產業

並列摘要

This paper examines the profitability of medium-term global momentum strategies as eighteen developed markets are considered for investment. Empirical results find significant global momentum profits and those profits increase with the length of ranking period. Global momentum profits, similar to previous studies on U.S. market, are negatively related to firm size and less profitable once we control for the industry factor. More interestingly, we find the size factor plays a more important role than the industry factor in contributing the momentum profits. Meanwhile, regional momentum profits are also observed in both Europe and North America but not in Asia-Pacific region. Those observed momentum profits are again found decreasing with firm size. Last, the two-factor model analysis shows that the risk-adjusted momentum profits are still significant. Both the winner portfolio and loser portfolio returns demonstrate positive relationship with the SMB premium, suggesting that winner/loser portfolios are mostly composed of small firms.

並列關鍵字

Global ； mometum ； industry

參考文獻

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