動能策略報酬、投資人情緒與景氣循環之研究

Momentum Returns, Investor Sentiments and Business Cycle

李春安(Chun-An Li) ； 羅進水(Jin-Shuei Luo) ； 蘇永裕(Yung-Yu Su)

《財務金融學刊》 14卷2期 (2006/06) Pp. 73-109

https://doi.org/10.6545/JFS.2006.14(2).3

摘要

許多理論與實證文獻探討Jegadeesh and Titman（1993）所提出動能策略報酬的異常現象，最近的相關文獻更認為總體經濟可以解釋動能策略報酬。本文則是嘗試進一步探討投資人情緒與總體經濟對動能策略報酬的影響。本文實證結果顯示，若於台灣股票市場執行動能策略，長期而言，可以獲取正報酬。動能策略報酬於景氣擴張期與緊縮期有顯著差異，於景氣擴張期可以獲得正報酬，景氣收縮期則未必可以獲得正報酬，甚至有可能為負報酬。整體而言，總體經濟及投資人情緒對動能策略報酬的解釋能力不強。可是當區分成只買入贏家組合與只賣出輸家組合的投資策略時，研究證據顯示，投資人情緒及總體經濟對策略（追漲、殺跌）報酬有預測效果，且有相互影響關係。

關鍵字

投資人情緒 ； 景氣循環 ； 動能策略

並列摘要

A growing body of theoretical and empirical literatures have examined several possible explanations of returns gained from momentum strategy first documented by Jegadeesh and Titman (1993). More recently, related documents further argued that macroeconomics variables may explain momentum profits. This paper attempts to further investigate the effect of investor sentiment and business cycle may have on momentum profits. The empirical evidences provided by this paper show that adopting momentum strategy in Taiwan Stock Market may have positive returns in the long run. The results also indicate that momentum strategy profits may vary significantly between the periods of business expansionary and contractionary. Namely, adopting the strategy may result positive returns in the expansionary period. However, it never again guarantees the positive returns, and even worse, in the contractionary period. Overall, neither macroeconomics variables nor investor sentiment may explain momentum profits. However, as separating into two strategies-only buying winners and only selling losers, both the investor sentiment and macroeconomics may predict strategy returns, and they are casually correlated.

並列關鍵字

investor sentiment ； business cycle ； momentum strategy

參考文獻

Bacmann, J. F.,M. Dubois,D. Isakov(2001).Industries, business cycle and profitability of momentum strategies: An international perspectives.(EFMA 2001 Lugano Meetings).

Baker, M.,J. Wurgler(2003).Investor sentiment and the cross-section of stock returns.(Harvard NOM working paper).

Baker. M.,J. C. Stein(2004).Market liquidity as a sentiment indicator.Journal of Financial Markets.7,271-299.

Berk, J. B.,R. C. Green,V. Naik(1999).Optimal investment, growth options and security returns.Journal of Finance.54,1553-1608.

Brown, G. W.,M. I. Cliff(2004).Investor sentiment and the near-term stock market.Journal of Empirical Finance.11,1-27.