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題名:移動平均線技術分析使用在不同公司生命週期獲利率: 以台灣為例
作者:陳冠華
作者(外文):CHEN, KUAN-HAU
校院名稱:國立高雄科技大學
系所名稱:財務金融學院博士班
指導教授:蘇玄啟
學位類別:博士
出版日期:2021
主題關鍵詞:移動平均線技術分析公司生命週期資訊不確定反應不足價格連續性Moving-AverageTechnical AnalysisFirm Life CycleInformation UncertaintyUnderreactionPrice Continuation
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本文使用 1992~2018年台灣上市公司股票樣本,回測移動平均線(MA)技術分析在不同公司生命週期中的獲利能力。透過Dickinson(2011)公司生命週期理論作為資訊不確定代理變數發現:MA獲利能力在公司生命週期起始及衰退階段比成長、成熟階段還高,並呈現U型現象。加入控制Fama-French五因子、動量因子、流動性因子等風險因素後,回測MA策略仍維持前述穩定U型現象。
本研究實證結果支持:移動平均線策略在公司生命週期起始及衰退階段,因為資訊不確定程度愈大,資訊反應不足而導致價格連續性更長久,MA技術分析更易捕抓價格趨勢而獲利,相對於公司生命週期成長及成熟階段,資訊不確定小,MA技術分析績效相對減弱。後續加入穩健性檢定:不同移動平均線週期、不同樣本期間切割、等值/市值加權投資組合計算方式、不同市場情況如牛市/熊市市場、高/低波動市場、經濟擴張及衰退循環,都得到一致結論。
Using a sample of Taiwanese listed firm stocks during 1992–2018, this paper tests the profitability of the moving average (MA) technical analysis over the firm life cycle (FLC). Building on the Dickinson (2011) FLC measure of, the results indicate a U-shape of MA profitability over the FLC—MA abnormal performance is higher in the introduction and shakeout/decline stages but lower in the growth and mature stages. Such a U-shape remains after controlling for various risk factors, such as the Fama–French five factors, the momentum factor, and the liquidity factor. The results of this study are robust to alternative lag length specifications for the MA, life cycle proxy, sub-period selection, equally/valued weighted sorted life-cycle portfolio, and various market stats, such as bullish/bearish market periods, high/low market volatility, and expansion/recession economic cycles. The overall results support the information uncertainty hypothesis and the dynamic resource-based life-cycle theory, postulating that a trend-chasing MA strategy is more profitable for firms in the introduction and shakeout/decline stages that are characterized by greater information uncertainty and, thus, longer underreaction-driven price continuation.
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