股票報酬動能效果與資訊交易機率

Stock Return Momentum and Probability of Informed Trading Activity

李芳妤(Fang-Yu Li)

指導教授 ： 黃宜侯

元智大學/管理學院/商學碩士班(財務金融學程)/碩士(2011年)

摘要

本文探討動能策略和投資人之間資訊不對稱的關係。我們使用PIN(由Easley 等學者於1996年提出)為主要變數來探討在考量動能策略後，資訊是否依然能對報酬有所影響。結果發現，即便考量了動能策略後，資訊對報酬的影響依然顯著。同時發現動能效果僅存在於三個月左右，而資訊的透明度對報酬亦有正向關係。

關鍵字

資訊交易機率 ； 動能效果

並列摘要

This study investigates the relationship between momentum effect and information asymmetry within the investors. We use PIN model which is proposed by Easley et al. (1996) as a major factor to test whether the information should be priced or not. From our result, we find that the parameters of PIN are significantly positive suggests that information is an important factor to predict return and the informed traders have the capability to pick up winners and to earn higher future return. Also, the momentum effect only exists in sixty trading days rather than continue to one year. The information transparency will affect return as well, if a firm with more transparent information, it will have a higher return in the future.

並列關鍵字

PIN ； momentum effect

參考文獻

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Easley, David, and Maureen O’Hara, 1987, “Price, trade size, and information in securities markets”, Journal of Financial Economics, Vol. 19, No. 1, 69-90

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