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題名:動能策略與風險資訊內涵之研究--以臺灣股市為例
書刊名:創新與管理
作者:邱臙珍 引用關係
作者(外文):Chiu, Yen-chen
出版日期:2011
卷期:8:4
頁次:頁139-162
主題關鍵詞:風險值風險資訊內涵動能策略Value-at-riskInformation content of riskMomentum strategy
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(1) 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:2
  • 點閱點閱:61
本研究是透過台灣集中交易所揭露之收盤價、開盤價、最高價與最低價等資訊,建立以風險值為衡量的風險資訊內涵,探討動能策略與風險資訊內涵的關聯性。實證結果發現,在台灣股市市場,以日為交易單位時,存在著顯著的動能利潤,而輸家與贏家投資組合不管是在形成期或持有期的風險值均呈現最高與次高,顯示輸家與贏家投資組合的風險值有持續的現象,這代表著台灣股市有其特殊的風險資訊內涵,意謂投資者在建構動能投資策略時,必須做好個股報酬的風險管理,對可能造成潛在損失的投資風險是不能輕忽的。而在實行動能策略時,對整體動能策略報酬貢獻較高的投資組合有風險值較高的現象,換句話說,透過動能策略而獲得的報酬,必須為風險資訊內涵較高的風險值,也就是動能報酬的產生可能來自於對四大價格波動風險的補償。
The objective of this paper is to study the relationship between momentum strategy and the information content of risk, according to the information of open-close and high-low prices disclosure of Taiwan Stock Exchange (TSE) to establish Value-at-Risk model for the information content of risk. It is shown that price momentum exists in Taiwan stock market using a very short daily data and finds evidence of higher momentum payoffs among firms with higher Value-at-Risk. In particular, it means something information of content risk to the continuation of Value-at-Risk for the winners and losers in Taiwan Security Market. Overall, the evidence supports that momentum profit may be a compensation for risk of open-close and high-low prices volatility.
期刊論文
1.莊益源,邱臙珍,李登賀、邱臙珍、李登賀(2008)。納入開收盤、最高低價的風險值模型。經濟研究,44(2),1-37。new window  延伸查詢new window
2.Foster, G.(1978)。Recent development in finance。Journal of Banking and Finance,1(1),103-117。  new window
3.Garman, M.、Klass M.(1980)。On the estimation of security price volatility from historical data。Journal of Business,53(2),67-78。  new window
4.George T. J.、Hwang, C. Y.(2004)。Momentum strategies。Journal of Finance,59(3),2145-2176。  new window
5.Hull, J.、White A.(1998)。Incorporating volatility updating the historical simulation method for Value-at-risk。Journal of Risk,11(2),9-20。  new window
6.Jiang, G. C.、Lee M. C.、Zhang G.Y.(2005)。Information uncertainty and expected stock returns。Review of Accounting Studies,10(2),185-221。  new window
7.Li, X.、Miffre J.、Brooks C.、O’Sullivan(2008)。)Momentum profits and tTime-varying unsystematic risk。Journal of Banking and Finance,32(2),541-558。  new window
8.Newey, W.、West K. D.(1987)。A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix。Econometrica,55(3),703-708。  new window
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12.Ritter, J. R.(1988)。The Buying and Selling Behavior of Individual Investors at the Turn of the Year。Journal of Finance,43(3),701-717。  new window
13.Conrad, J.、Kaul, G.(1998)。An anatomy of trading strategies。Review of Financial Studies,11,489-519。  new window
14.Beaver, William H.(1968)。The Information Content of Annual Earnings Announcement。Journal of Accounting Research,6(Suppl.),67-92。  new window
15.Reinganum, Marc R.(198306)。The Anomalous Stock Market Behavior of Small Firms in January: Empirical Tests for Tax-Loss Effects。Journal of Financial Economics,12(1),281-295。  new window
16.Samuelson, P.(1973)。Proof That Properly Discounted Present Value of Assets Variate Randomly。Journal of Economics and Management Science,1973(Autumn),369-374。  new window
17.Chordia, Tarun、Shivakumar, Lakshmanan(2002)。Momentum, Business Cycle, and Time-varying Expected Returns。Journal of Finance,57(2),985-1019。  new window
18.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance,51(1),55-84。  new window
19.Zhang, X. Frank(2006)。Information uncertainty and stock returns。The Journal of Finance,61(1),105-137。  new window
20.Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance,51(5),1681-1713。  new window
21.Avramov, Doron、Chordia, Tarun、Jostova, Gergana、Philipov, Alexander(2007)。Momentum and credit rating。Journal of Finance,62(5),2503-2520。  new window
22.Ang, Andrew、Hodrick, Robert J.、Xing, Yuhang、Zhang, Xiaoyan(2006)。The Cross-section of Volatility and Expected Returns。The Journal of Finance,61(1),259-299。  new window
23.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
24.Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。  new window
25.Yang, D.、Zhang, Q.(2000)。Drift-independent Volatility Estimation Based on High, Low, Open, and Close Prices。Journal of Business,73,477-491。  new window
26.Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance,53(6),1839-1885。  new window
學位論文
1.黃昭祥(2005)。法人投資行為、成交量、與報酬可預測性--台灣股市動能效應或反轉現象之再探(博士論文)。雲林科技大學。new window  延伸查詢new window
圖書
1.Dowd, K.(2002)。Measuring Market Risk。New York:John Wiley and Sons, Inc.。  new window
 
 
 
 
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