臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：中國大陸房地產類股動能效果之探討:考量市場狀態與個股績效水準
作者：郭進泰 引用關係
作者(外文)：Chin-Tai Kuo
校院名稱：國立高雄第一科技大學
系所名稱：管理研究所
指導教授：黃國良
李建興
學位類別：博士
出版日期：2010
主題關鍵詞：個股績效水準；市場狀態；動能效果；房地產類股；週轉率；Firm performance levels；Market states；Momentum effects；Real estate stocks；Turnover ratios
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:33
本文分別使用Lee and Kuo (2010)的市場狀態區分法與修正Koenker and Bassett (1978)的分量迴歸法為分量迴歸最小虛擬變數法，以探討在區分市場狀態與個股績效水準下，中國大陸房地產類股的動能效果。結果發現，在多頭市場，短期動能效果為正，但在空頭市場，短期動能效果為負，而長期動能效果在多頭與空頭市場皆為負；而無論動能期間之長短，在高績效個股之動能效果皆為正，而在低績效個股則皆為負；過去文獻大多將動能效果差異的主因，歸因於「動能期間長短」，本文則提出，其重要關鍵因素為「市場狀態」以及「個股績效水準」之差異即「投資人情緒」之差異。本文使用前期週轉率作為領先指標，以建構出供投資人參考之投資組合：當前期週轉率與後期報酬率為正相關時，建議應「買入前期高週轉率的贏家」之投資組合，當前期週轉率與後期報酬率為負相關時，建議應「買入前期低週轉率的輸家」之投資組合，經由實際驗證發現上述二種投資組合之投資績效大多均顯著優於房地產類股投資組合之平均報酬率。
This paper applies Lee and Kuo’s (2010) method and modifies Koenker and Bassett’s (1978) quantile regression as the quantile regression with a least square dummy variable to divide market states and firm performance levels to investigate the momentum effects for Chinese real estate stocks. The main findings are as follows. First, the short-horizon momentum effects are positive under bullish markets but are negative under bearish markets. The long-horizon momentum effects are negative under both bullish and bearish markets. Furthermore, regardless of the horizon of momentum, the momentum effects are positive under high-performing individual stocks, but they are negative under low-performing individual stocks. Prior literature often states that the main reason for different momentum effects is the horizon of momentum, while this paper suggests that the key factor could be the different market states and firm performance levels, e.g., different investor sentiment. Finally, this paper regards past turnover ratios as a leading indicator for designing two profitable investment portfolios. When the correlation between past turnover ratios and future returns is positive, this paper suggests a portfolio of buying past high turnover ratio winners. When the above correlation is negative, this paper suggests a portfolio of buying past low turnover ratio losers. This paper examines that the above two portfolios can earn positive profits.
1. Ahn, D. H., J. Conrad and R. F. Dittmar., 2003. Risk Adjustment and Trading Strategies, Review of Financial Studies, 16(2), 459-485.
2. Antoniou, A., H. Y. T. Lama, and K. Paudyal, 2007. Profitability of Momentum Strategies in International Markets: The Role of Business Cycle Variables and Behavioural Biases, Journal of Banking and Finance, 31(3), 955-972.
3. Avramov, D. and T. Chordia, 2006a. Predicting Stock Returns, Journal of Financial Economics, 82(2), 387-415.
4. ---, 2006b. Asset Pricing Models and Financial Market Anomalies, The Review of Financial Studies, 19(3), 1001-1040.
5. Baker, M. and J. C. Stein, 2004. Market Liquidity as a Sentiment Indicator, Journal of Financial Markets, 7(3), 271-299.
6. Ball, R. and P. Brown. 1968. An Empirical Evaluation of Accounting Income Numbers, Journal of Accounting Research, 6(2), 159-178.
7. Brennan, M. J., T. Chordia, and A. Subrahmanyam, 1998. Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns, Journal of Financial Economics, 49(3), 345-373.
8. Buchinsky, M., 1998. Recent Advances in Quantile Regression Models: A Practical Guide for Empirical Research, Journal of Human Resources, 33(1), 88-126.
9. Campbell, J. Y., S. J. Grossman, and J. Wang, 1993. Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, 108(4), 905-939.
10. Carhart, M. M., 1997. On Persistence in Mutual Fund Performance, Journal of Finance, 52(1), 57-82.
11. Chan, K., A. Hameed, and W. Tong, 2000. Profitability of Momentum Strategies in the International Equity Markets, Journal of Financial and Quantitative Analysis, 35(2), 153-172.
12. Chen, C. L. and C. M. Kuan, 2006. Taiwan''s Wage Equation and Gender Wage Discrimination: Evidence from Quantile regression method, Academia Economic Papers, 34 (4), 435-468. (Chinese Version)
13. Chordia, T. and L. Shivakumar, 2002. Momentum, Business Cycle, and Time-varying Expected Returns, Journal of Finance, 57 (2), 985-1019.
14. ---, 2006. Earnings and Price Momentum, Journal of Financial Economics, 80(3), 627-656.
15. Chordia, T., A. Subrahmanyam, and V. R. Anshuman, 2001. Trading Activity and Expected Stock Returns, Journal of Financial Economics, 59(1), 3-32.
16. Chui, A. C. W., S. Titman, and K. C. J. Wei, 2003a. Intra-Industry Momentum: The Case of REITs, Journal of Financial Market, 6(3), 363-387.
17. ---, 2003b. The Cross Section of Expected REIT Returns, Real Estate Economics, 31(3), 451-479.
18. Connolly, R. and C. Stivers, 2003. Momentum and Reversals in Equity-Index Returns during Periods of Abnormal Turnover and Return Dispersion, Journal of finance, 58(4), 1521-1555.
19. Conrad, J. S., A. Hameed, and C. Niden, 1994. Volume and Autocovariances in Short-Horizon Individual Security Returns, Journal of Finance, 49(4), 1305-1330.
20. Conrad, J. and G. Kaul, 1998. An Anatomy of Trading Strategies, Review of Financial Studies, 11(3), 489-519.
21. Cooper, M. J., R. C. Gutierrez Jr., and A. Hameed, 2004. Market States and Momentum, Journal of Finance, 59(3), 1345-1365.
22. Daniel, K., D. Hirshleifer and A. Subrahmanyam, 1998. Investor Psychology and Security Market Under- and Over-Reactions. Journal of Finance, 53(6), 839-1886.
23. Datar, V., N. Naik, and R. Radcliffe, 1998. Liquidity and Asset Returns: An Alternative Test, Journal of Financial Markets, 1(2), 203-220.
24. DeBondt, W. F. M. and R. Thaler, 1985. Does the Stock Market Overreact? Journal of Finance, 40(3), 793-805.
25. Fama, E. F. and K. R. French, 1993. Common Risk Factors in the Returns on Bonds and Stocks, Journal of Financial Economics, 33(1), 3-56.
26. ---, 1996. Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance, 51(1), 55-84.
27. ---, 2008. Dissecting Anomalies, Journal of Finance, 63(4), 1653-1678.
28. Fattouh, B., P. Scaramozzino, L. Harris, 2005. Capital Structure in South Korea: A Quantile Regression Approach, Journal of Development Economics, 76(1), 231-250.
29. Fu, Y. F. and H. H. Kang, 2008. Inflation and the Industry Momentum Effect of the Real Estate Related Stocks, Journal of Housing Studies, 17(2), 35-62. (Chinese Version)
30. Gervais, S., R. Kaniel, and D. H. Mingelgrin, 2001. The High-Volume Return Premium, Journal of Finance, 56(3), 877-919.
31. Grundy, B. D. and J. S. Martin, 2001. Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing, The Review of Financial Studies, 14(1), 29-78.
32. Hong, H. and J. C. Stein, 1999. An Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets, Journal of Finance, 54(6), 2143-2184.
33. Hong, D., C. Lee and Swaminathan, B., 2003. Earnings Momentum in International Markets, Working Paper, Cornell University.
34. Huang, D., 2006. Market States and International Momentum Strategies, Quarterly Review of Economics and Finance, 46(3), 437-446.
35. Hung, S. Y. K. and J. L. Glascock, 2008. Momentum Profitability and Market Trend: Evidence from REITs, Journal of Real Estate Financial and Economics, 37(1), 51-69.
36. Iihara, Y, H. K.`Kato, and T. Tokunaga, 2004. The Winner-Loser Effect in Japanese Stock Returns, Japan and the World Economy, 16(4), 471-485.
37. Jegadeesh, N. and S. Titman, 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, 48(1), 65-91.
38. ----, 2001. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations, Journal of Finance, 56(2), 699-720.
39. Kahneman, D. and A. Tversky, 1979. Prospect Theory: An Analysis of Decision under Risk, Econometrica, 47(2), 263-292.
40. Kang, J., M. H. Liu, and S. X. Ni, 2002. Contrarian and Momentum Strategies in the China Stock Market: 1993-2000, Pacific Basin Finance Journal, 10(3), 243-265.
41. Katsenelson, V. N., 2007. Active Value Investing: Making Money in Range-Bound Markets, New York: John Wiley and Sons, Inc.
42. Koenker, R. and G. Bassett Jr., 1978. Regression Quantiles, Econometrica, 46(1), 33-50.
43. Koenker, R., 2004. Quantile Regression for Longitudinal Data, Journal of Multivariable Analysis, 91(1), 74-89.
44. ---, 2005. Quantile regression, Cambridge University Press.
45. Ku, K. P., 2005. One-factor, Three-factor, or Four-factor Models? Review of Securities and Future Markets, 17(2), 101-146. (Chinese Version)
46. Lamarche, C., 2006. Robust Penalized Quantile Regression Estimation for Panel Data, University of Oklahoma Working Paper.
47. Lee, C. M. C. and B. Swaminathan, 2000. Price Momentum and Trading Volume, Journal of Finance, 55(5), 2017-2068.
48. Lee, J. S., 2008. The Determinants of IPO Underpricing: Application of Quantile Regression, Review of Securities and Futures Markets, 20(1), 47-100. (Chinese Version)
49. Lee, J. S. and C. T. Kuo, 2010. Momentum Effect and Market States: Evidence from Chinese Real Estate Stocks, The Chinese Economy, Forthcoming.
50. Lesmond, D., D. Schill and C. Zhou, 2004. The Illusory Nature of Momentum Profits. Journal of Financial Economics, 71(2), 349-380.
51. Miller, E. M., 1977. Risk, Uncertainty, and Divergence of Opinion, Journal of Finance, 32(4), 1151-1168.
52. Moskowitz, T. J. and M. Grinblatt, 1999. Do Industries Explain Momentum? Journal of Finance, 54(4), 1249-1290.
53. National Bureau of Statistics of China, 2009. China Statistical Yearbook 2009, Beijing: China Statistics Press.
54. O’Neal, E. S., 2000. Industry Momentum and Sector Mutual Funds. Financial Analysts Journal, 56(4), 37-49.
55. Ooi, J. T. L. , J. Wang and J. R. Webb, 2009. Idiosyncratic Risk and REIT Returns. Real Estate Financial and Economics, 38(4), 420-442.
56. Pagan, A. R. and K. A. Sossounov, 2003. A Simple Framework for Analyzing Bull and Bear Markets, Journal of Applied Econometrics, 18(1), 23-46.
57. Ram, R., 2007. Parametric Variability in Cross-country Growth Regressions: An Application of Quantile-regression Methodology, Economics Letters, 99(2), 387-389.
58. Sadka, R., 2006. Momentum and Post-Earnings-Announcement Drift Anomalies: The Role of Liquidity Risk. Journal of Financial Economics, 80(2), 309-349.
59. Scott, J., M. Stumpp, and P. Xu, 2003. News, not Trading Volume, Builds Momentum, Financial Analysts Journal, 59(2), 45-54.
60. Stevenson, S., 2002. Momentum Effects and Mean Reversion in Real Estate Securities, Journal of Real Estate Research, 23(1/2), 47-64.
61. Subrahmanyam, A., 2005. On the Stability of the Cross-Section of Expected Stock Returns in the Cross-Section: Understanding the Curious Role of Share Turnover, European Financial Management, 11(5), 661-678.
62. Teo, M. and S. J. Woo, 2004. Style Effects in the Cross-Section of Stock Returns, Journal of Financial Economics, 74(2), 367–398.
63. Wang C. Y. and N. S. Cheng, 2004. Extreme Volumes and Expected Stock Returns: Evidence from China’s Stock Market, Pacific-Basin Finance Journal, 12(5), 577-597.
64. Zhang, G. and H.G. Fung, 2006. On the Imbalance between the Real Estate Market and the Stock Markets in China, The Chinese Economy, 39(2), 26-39.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：840（臺灣：834，外國：6） ／ 本年度總使用人次：1855660 ／ 訪客人次（自102年09月）：67671829
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上