股票報酬、股票動能與反轉關係-機構投資人交易行為之研究

Stock Returns, Stock Momentum and Reversal-A Study of the Trading Behaviors of Institutional Investors

紀彣欣(Wen-Shin Chi)

指導教授 ： 劉立倫

中原大學/商學院/會計研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600496

摘要

Jegadeesh and Titman於1993提出股票市場有所謂的動能現象，因此股票動能現象目前依然對於證券市場的效率與合理性有很大的爭議。動能投資策略，買進前期贏家組合並同時賣出前期輸家組合可獲取超額報酬。大多數股票動能理論，提出動能的產生歸因於投資者的行為與認知偏誤。因為機構投資人與投資者間的存有代理問題，造成機構投資人對公司私有資訊的忽略，也就是對異常報酬反應不足，而追求先前擁有較高績效的總報酬，造成對總報酬產生過度反應，這樣的行為可能將促成動能的產生。因此本研究藉由台灣上市公司月報酬資料，用以探討兩種動能投資組合在不同持有期下產生動能利益潛在差異並運用動能策略驗證台灣機構投資人有無對總報酬過度反應以及對異常報酬反應不足。

本研究實證結果顯示異常報酬與總報酬皆可能有動能利益的產生，此兩種類型的動能利益在不同的持有期下似乎有不同的績效，異常報酬在長期持有期依然有少量的動能利益。而總報酬產生的動能利益在長期持有期可能會發生動能損失。另一方面，結果顯示台灣機構投資人支持的總報酬動能投組在長期持有期有動能損失，台灣機構投資人可能對於總報酬過度反應。而機構投資人不支持的異常報酬動能投組在長期持有期也產生動能損失，不支持機構投資人對於異常報酬反應不足

關鍵字

反轉 ； 動能 ； 機構投資人

並列摘要

Jegadeesh and Titman proposes that there is momentum on the stock market in 1993, so the momentum of the stock still has very great disputes to the efficiency and rationality of the security market at present. The momentum strategy, while buy prior winner's portfolio and sell prior loser's portfolio can obtain the excess returns. The stock momentum is due to investors' behavior and cognitive biases. Because the problem of agency among institutional investor and investor, cause institutional investors ignore company's privately information, possibly resulting in an underreaction abnormal returns. Institutional investors may chase total returns, possibly resulting in an overreaction. Such a behavior may to contribute to momentum. So this research uses monthly returns of listed company of Taiwan, studying momentum profits produced in portfolio of two kinds of momentum and whether institutional investors overreact to total return or underreact to abnormal returns by using momentum strategy.

The result shows that abnormal return and total return may have production of momentum profits. Two momentum portfolios in different holding periods may have different performance. Abnormal return momentum portfolio still has momentum profits in long-term periods. The momentum profits of total return momentum portfolio may reversals in long-term periods. On the other hand, the result of shows that institutional investors of Taiwan overreact to the total returns but non-underreact to the abnormal returns.

並列關鍵字

momentum ； reversal ； institutional investor

參考文獻

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