在以往對於動能效應的文獻中,研究對象皆是以投資組合之動能效應為主,但實務上要買贏家組合並賣出輸家組合的投資策略並不容易操作,故本研究才希望以個股的動能效應作為研究主軸,並且利用存活分析法,研究個股動能效應之存活期間,即贏家組合中的個股存在於贏家組合之存活期間,以利投資人更容易判斷出某個股存在贏家族群一段期間後,退出贏家族群的機率有多高,接著再討論加入財務比率變數、公司治理變數以及其他相關變數後,是否會影響到個股退出贏家組合的機率。在這篇文章中我們使用了台灣股票市場在多頭轉空頭與空頭轉多頭的轉折時期作為樣本,時期為2002年5月到2011年1月中的轉折時期為其本篇的時間,樣本為台灣在此時期的上市公司為樣本,我們用了存活分析模型並且考慮了財務比率變數、公司治理變數以及其他相關變數做為變數,讓此論文更加完整。
Previous studies usually focus on the discussions of the momentum effects of the winner-loser portfolios. This study focuses on the individual stock-based momentum effect and uses the survival analysis to measure the length of time which the individual stocks stay in the winner portfolio. This paper is going to examine whether the length the time which the individual stock belongs to the winners would affect the probabilities of the stock to stay in the winners’ portfolio. The data used in this study is observed for Taiwan stock market around the Bearish-Bullish Turning Points that have taken place during the May, 2002– January, 2011 period with a large sample of Taiwan firms. In addition, this study is going to find out whether the length of the survival time would be affected by the corporate governance and the financial ratio variables. In this way, the results of this study can help investors to form stock screening rules.