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Student Number 85445004
Author Chien-Tai Wu(吳建臺)
Author's Email Address No Public.
Statistics This thesis had been viewed 2653 times. Download 1412 times.
Department Finance
Year 2005
Semester 2
Degree Ph.D.
Type of Document Doctoral Dissertation
Language zh-TW.Big5 Chinese
Title Analysis of Momentum Investment Strategies
Date of Defense 2006-05-22
Page Count 73
Keyword
  • autocorrelation
  • cross-autocorrelation
  • momentum strategy
  • Abstract This thesis is consisted of two essays that investigate various aspects of the momentum investment strategies. The first essay investigates the sources of individual stock-based and portfolio-based momentum profits by decomposing the portfolio-based momentum profits into time-series predictability of individual stock returns, and brings out the explanations of different performances of the two different kinds of momentum strategies in different investment horizons. Empirical findings reveal that the effects of cross-autocorrelation on portfolio-based momentum are divided into two parts; regardless signs of the cross-autocorrelations, this two parts will cancel out each other partly. Besides, the formation of portfolio will dilute the effects of autocorrelation on portfolio momentums and reduce the cross-sectional variation in expected returns. The characteristics of portfolio-based momentum mentioned above, and the time-series characteristics of individual returns, are the main reasons that cause different performance. The second essay analyzes global momentum strategies. Using Datastream database, we found that momentum profits exist in global stock markets as a whole, no matter individual stock-based or portfolio-based momentum. The profits of individual stock-based momentum mostly come from cross-sectional variation in expected returns, but a large part of portfolio-based momentum returns comes from time-series predictability. For country momentum, it is autocorrelation that contributes momentum profits, and for industry momentum, it is cross-autocorrelation that contributes momentum profits.
    Table of Content 第一章 介紹..............................................1
    第二章 個股與投組動能投資策略之差異......................5
     第一節 本章摘要........................................5
     第二節 前言............................................5
     第三節 理論模型.......................................10
      一、個股與投組序列共變異矩陣..........................10
      二、個股與投組動能策略報酬之拆解與比較................12
      三、個股與投組動能策略報酬之期限結構..................17
     第四節 實證資料與方法.................................18
     第五節 實證結果分析...................................21
      一、個股與投組動能策略報酬............................21
      二、個股與投組動能策略報酬之差異來源..................23
       (一)個股動能報酬來源拆解............................23
       (二)投組動能報酬來源拆解............................24
       (三)分析與比較......................................29
     第六節 本章結論.......................................32
    第三章 跨國動能投資策略分析.............................35
     第一節 本章摘要.......................................35
     第二節 前言...........................................35
     第三節 資料來源與處理.................................38
     第四節 研究方法.......................................41
      一、動能投資策略......................................41
      二、動能投資策略獲利性之拆解..........................42
     第五節 實證結果分析...................................44
      一、跨國動能策略報酬..................................44
       (一)個股動能報酬....................................44
       (二)國家投組動能策略報酬............................46
       (三)產業投組動能報酬................................49
       (四)分析與比較......................................51
      二、動能策略報酬來源..................................52
       (一)個股動能策略報酬來源拆解........................52
       (二)國家投組動能策略報酬來源拆解....................54
       (三)產業投組動能報酬來源拆解........................56
       (四)分析與比較......................................56
     第六節 本章結論.......................................58
    第四章 結論.............................................60
    參考文獻.................................................62
    附錄.....................................................66
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    Advisor
  • Pin-Huang Chou(周賓凰)
  • Files
  • 85445004.pdf
  • approve in 2 years
    Date of Submission 2006-05-23

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