動能獲利性、交易成本、和權證標的股票

Momentum profitability, trading cost, and warrant stocks

游晴羽(Ching-Yu You)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

許多研究顯示可經由動能來獲取利潤，但是動能所衍生出的異常報酬，至今為止尚未得到合理化的解釋，甚至沒有明確證據可以說明獲利的來源。根據Sina Badreddine et al. (2012) 對英國市場期權標的股研究，說明動能產生的利潤在考慮交易成本影響之下，使得大部份的動能會因而消逝。因此，本研究以2003年12月至2013年10月之權證標的股票為研究樣本，採此樣本之特點為具有高流動性、高市值及較少的賣空限制，並與非權證標的股之對照樣本的結果做比較，其選定標準分別為高市場價值、高週轉率、低買賣價差率及利用Logit模型選配出的控制樣本。實證結果顯示，雖然在賣空限制基礎上，並非動能利潤消失的主要原因，但若考慮過去使用買賣價差及實際買賣價差的新觀點，可於台灣市場上發現當納入交易成本考量後，市場依然存在動能獲利空間；而相較於英國市場表現，台灣市場更能賺取超額報酬，此意味著台灣市場的反應較緩慢，市場投資人仍可以此方式賺取異常報酬。

關鍵字

買賣價差 ； 權證標的股 ； 動能

並列摘要

This study examines momentum strategies for stocks with warrants from October 2003 to December 2013. We also further discuss and compare momentum profits for non-warrant stocks by controlling high market value, high turnover rates, low bid-ask spread rate, and highest propensity score from the logistic model. Our results show significant momentum profits for stocks with warrants during different holding periods after using two transaction cost measures of bid-ask spread. Additionally, we find higher and significant momentum profits for non-warrant stocks with highest propensity score from the logistic model than other controlling samples. Finally, the persistent of momentum profits for warrant stocks and non-warrant stocks indicates market underreacts even to the most publicly available information.

並列關鍵字

Bid-ask spread ； Warrant stock ； Momentum

參考文獻

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