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題名：日內反向投資策略
作者：張佳菁
作者(外文)：Chia-Ching Chang
校院名稱：元智大學
系所名稱：管理研究所
指導教授：辛敬文
學位類別：博士
出版日期：2010
主題關鍵詞：過度反應；反向策略；市場微結構；交易不均衡；Over-reaction；Contrarian；Market Microsturucture；Trade Imbalance
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本文我們利用NYSE資料來探究日內反向策略的獲利性，研究結果發現在早上建立買入輸家與賣出嬴家股票且在下午持有該部位可以產生顯著報酬。我們試圖以資訊不對稱、資訊不確定以及賣壓限制來解釋反向策略利潤，結果指出日內反向策略對於小規模、低週轉率、價值型股票與賣壓大的股票產生最顯著的報酬，這些實證結果與資訊不對稱程度較大、資訊不確定的股票傾向過度反應日內資訊而產生較大的反向策略利潤的論證是一致的。我們也發現股票在早上賣壓大時進行反向策略尤其獲得較高利潤，日報酬可達0.37%，但可能是因為賣壓限制，導致股票在買壓大時並沒有相同結果。雖然反向策略利潤會被交易成本所消弭，但是這個發現仍然對於公司特性與日內過度反應程度間的關係提出有利實證。
In this paper we explore the profitability of intraday contrarian strategies using NYSE stocks. The results find that buying those loser stocks and selling those winner stocks in the morning session could yield significant returns from holding the positions during the afternoon session. We attempt to explain the contrarian profits with information asymmetry, information uncertainty and short sales constraints. Our results indicate that the intraday contrarian strategy generates the most significant returns for small, low turnover, value stocks and stocks experiencing high selling pressure. These evidences are generally consistent with the argument that stocks with greater degree of information asymmetry, information uncertainty tend to over-react to intraday information and yield greater contrarian profits. We also find that such contrarian strategies are particularly profitable when applied to stocks having experienced high selling pressure in the morning session, with a daily return as high as 0.37%, while they are not when applied to stocks experiencing high buying pressure, possibly attributable to the short sales constraint. Even though the contrarian profits would be wiped out by transaction costs, the findings may still serve as evidences for the relationship between firm characteristics and the level of intraday over-reactions.
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