動能策略與風險資訊內涵之研究─以台灣股市為例

A Study of Momentum and the Information Content of Risk in Taiwan Stock Market

邱臙珍(Yen-Chen Chiu)

《創新與管理》 8卷4期 (2011/11) Pp. 139-162

https://doi.org/10.30118/JIM.201111.0006

摘要

本研究是透過台灣集中交易所揭露之收盤價、開盤價、最高價與最低價等資訊，建立以風險值為衡量的風險資訊內涵，探討動能策略與風險資訊內涵的關聯性。實證結果發現，在台灣股市市場，以日為交易單位時，存在著顯著的動能利潤，而輸家與贏家投資組合不管是在形成期或持有期的風險值均呈現最高與次高，顯示輸家與贏家投資組合的風險值有持續的現象，這代表著台灣股市有其特殊的風險資訊內涵，意謂投資者在建構動能投資策略時，必須做好個股報酬的風險管理，對可能造成潛在損失的投資風險是不能輕忽的。而在實行動能策略時，對整體動能策略報酬貢獻較高的投資組合有風險值較高的現象，換句話說，透過動能策略而獲得的報酬，必須為風險資訊內涵較高的風險值，也就是動能報酬的產生可能來自於對四大價格波動風險的補償。

關鍵字

風險值 ； 風險資訊內涵 ； 動能策略

並列摘要

The objective of this paper is to study the relationship between momentum strategy and the information content of risk, according to the information of open-close and high-low prices disclosure of Taiwan Stock Exchange (TSE) to establish Value-at-Risk model for the information content of risk. It is shown that price momentum exists in Taiwan stock market using a very short daily data and finds evidence of higher momentum payoffs among firms with higher Value-at-Risk. In particular, it means something information of content risk to the continuation of Value-at-Risk for the winners and losers in Taiwan Security Market. Overall, the evidence supports that momentum profit may be a compensation for risk of open-close and high-low prices volatility.

並列關鍵字

Value-at-Risk ； information content of risk ； momentum strategy