全球動能策略之研究分析

A Study of Global Momentum Strategies

陳鴻毅(Hong-Yi Chen)

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(2003年)

摘要

本研究對20個已開發國家的動能投資策略獲利性作探討。結果顯示，全球動能策略的獲利是顯著的。各國的動能策略以及各區域的動能策略中，除了西班牙、芬蘭、和亞洲外，其餘皆有顯著的正向報酬。動能策略的報酬會與規模呈反向關係。當同時控制公司規模因子與公司成長性因子後，動能策略的獲利能力會降低。在產業中立的情況下，動能策略的獲利能力亦降低。此外，一月的動能策略報酬為負，其餘月份皆為正，顯示動能策略在一月份並不適用。最後，在三因子模型的分析下，經風險調整後的動能策略報酬依然存在，顯示動能策略之報酬並不能完全的被市場報酬、公司規模及公司成長性解釋。

關鍵字

全球 ； 動能

並列摘要

In this study we examine the profitability of medium-term global momentum strategies as twenty developed markets are considered. Empirical results indicate significant global momentum profits and those profits are still persistent when the country factor, the regional factor and the industry factor have been controlled for. Significant momentum profits are extensively observed for individual markets and regional economies around the world, with the exceptions of Spain, Finland, and the Pacific Rim countries. Among them, we find that momentum profits decrease with firm size and become less profitable once we control for the size, the growth factor or the industry. Consistent with earlier studies, the momentum returns in all cases become negative in January while maintain positive returns in all other months. Last, the momentum profits adjusted for the Fama-French three factors still exhibit significantly positive returns, indicating the persistence of this market anomaly.

並列關鍵字

Global ； Momentum

參考文獻

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Chan, Louis K., Narasimhan Jegadeesh, and Josef Lakonishok, 1996, Momentum strategies, Journal of Finance 5l, 1681-1713.