動能生命週期之決定因子

Empirical Determinants of Momentum Life Cycle

吳馥秀(Fu-Hsiu Wu)

指導教授 ： 周賓凰

國立中央大學/管理學院/財務金融學系/碩士(2008年)

摘要

本論文欲了解在美國股票市場中，交易量是否為動能生命週期的決定因子。根據動能生命週期假說，低交易量之贏家及高交易量之輸家其價格動能會持續較長時間；高交易量之贏家及低交易量之輸家其價格容易在短期內反轉。而本篇論文的實證結果發現低交易量贏家的價格動能現象的確會比高交易量的贏家持續更久，但不同交易量的輸家，其價格動能持續時間卻不存在顯著差異。因此，我們認為交易量並不能完美的解釋動能生命週期。即Lee　and Swaminathan (2000) 提出的動能生命週期有不對稱的現象。然而，我們發現一些公司特性，例如股票之帳面價值比、公司規模及機構投資人持股比率卻可以有效解釋動能生命週期。其中，高帳面價值比、大規模及機構投資人持股比率高的贏家與低帳面價值比、小規模及機構投資人持股比率低的輸家其價格動能持續較久。反之，低帳面價值比、小規模及機構投資人持股比率低的贏家與高帳面價值比、大規模及機構投資人持股比率高的輸家其價格容易在短期內反轉。

關鍵字

交易量 ； 價格動能持續性 ； 動能生命週期(MLC)

並列摘要

This study examines whether trading volume is a useful determinant of momentum life cycle in the U.S. market. From the momentum life cycle hypothesis, price momentum of low-volume winners and high-volume losers is more likely to persist in near future. However, the evidence of this paper reveals that low-volume stocks actually show greater persistence in price momentum among winners, but the persistence of price momentum between high-volume losers and low-volume losers is not significantly different. It is obvious that the trading volume cannot provide information in locating a given stock in its momentum life cycle perfectly. However, we find that book-to-market ratio, firm size and institutional ownership are useful determinants of momentum life cycle. Particularly, the price momentum of winners with high book-to-market ratio, large size or high institutional ownership and that of losers with low book-to-market ratio, small size or low institutional ownership tend to persist in near future while price momentum of winners with low book-to-market ratio, small size or low institutional ownership losers and that of losers with high book-to-market ratio, large size or high institutional ownership tend to reverse in near future.

並列關鍵字

momentum life cycle (MLC) ； trading volume ； persistence of price momentum

參考文獻

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