標題: 價格動能獲利來源:高階動差之應用
Sources of Momentum Profits: Applications of Higher Momentum Moments
作者: 胡瑞友
黃宜侯
Hu, Jui-Yu
Huang, Yi-Hou
財務金融研究所
關鍵字: 價格動能;獨特性波動率;動能強度;公司特性;高階動差;Price momentum;Idiosyncratic volatility;Momentum strength;Firm characteristics;Higher momentum moments
公開日期: 2017
摘要: 雖然價格動能策略可以獲得顯著異常報酬,但也同時存在大崩盤的風險。由於過去文獻大部分將預測動能崩盤焦點放在市場景氣或其他縱斷面因素,因此本篇論文加入橫斷面的公司特性因素,同時利用橫斷面篩選動能策略的股票以及縱斷面調整動能策略的權重,發展出不僅可以提高夏普指數,更能大幅降低動能崩盤風險的公司特性篩選動能策略與公司特性篩選結合風險控管之動能策略。 本篇論文發現在市場景氣非常差時期,股價受投資人行為偏誤的影響程度較嚴重,再加上公司特有風險較高,因此較容易出現投資人對公司特有資訊反應不足或過度反應的現象,使股票之動能強度較強、獨特性波動率較大。接著,由於投資人的恐慌情緒會加重其行為偏誤,使大規模、分析師追蹤人數多與流動性佳公司的股票變成過去輸家的機率提高,導致輸家的獨特性波動率、動能強度與公司規模、分析師追蹤人數以及流動性之間的相關性大幅變弱,但是一旦市場景氣回升,由於大規模、分析師追蹤人數多與流動性佳公司的資訊透明度較高、資訊不確定性較低、資訊傳遞效率較佳以及套利限制較小,使輸家內大規模、分析師追蹤人數多與流動性佳公司股票反彈的速度較快,進而造成動能崩盤。
Despite their significant abnormal returns, momentum strategies also have the worst crashes. Several recent studies focus on the dynamic weighting schemes based on their prediction of the timing of momentum crashes. In this paper, we show that idiosyncratic volatility, momentum strength, and firm characteristics are also related to momentum profits. When the strong correlation between idiosyncratic volatility, momentum strength, size, analyst coverage, and illiquidity becomes weaker, the losers and winners are going to rebound sooner. Applying the interactions between them can eliminate crashes and enhance the Sharpe ratio of momentum strategies. Our findings imply that not only can momentum profits be influenced by market states, but they also can be affected by firm characteristics.
URI: http://etd.lib.nctu.edu.tw/cdrfb3/record/nctu/#GT070453911
http://hdl.handle.net/11536/140847
Appears in Collections:Thesis