財務理論在近代的發展中出現部分瓶頸,難以採用傳統模式來解釋某些市場異常的現象。因此財務學者轉而尋求其他學門領域的整合使用。其中最著名的是加入心理學理論後所形成的新學問—行為財務學。追漲殺跌策略的獲利能力與其獲利來源亦一直是學術界重視的研究目標。此外,投資人的心理行為表現與總體經濟因素亦在財務理論中也逐漸被受到重視。因此,本研究乃試圖藉由台灣股票市場的實證研究來瞭解追漲殺跌策略應用於台灣股票市場上獲利的可能性,並進一步探討影響追漲殺跌策略獲利因素。 此外,當我們瞭解了投資人的行為偏誤後,冀能藉相關財務教育,幫助投資者以較理性的心態面對投資策略中所會遇到的問題。相信這也是行為財務學發展的主要目的之一。最後附上本文文獻探討後對未來相關研究發展上的一些建議方向。
There are some anomalies in the market and hard to explanted by traditional financial theory. Scholars try to use other theory in different field to solve financial problem. The most famous example is behavioral finance with the combination of finance and psychology. The profitability of the momentum strategy is always emphasized by academic researches. In addition, Investor psychological factors and macroecomonic factors are also gradually put stress on the area of finance. Thus, this study tries to find the possibility of profitability by adapting momentum strategy in Taiwan stock markets, and also tries to find the factor causing the profitability of momentum strategy. Furthermore, after understanding investors bias of behavior ,we hope that it can help investors face what they encounter in the strategy of investment by rational attitude through related financial education. I believe that this is one of the main purposes of the development of behavioral finance to help investors understand themselves, others and the market. Finally, I try to point out some suggestions in the future researches.