動能策略輔以週轉率及三大法人持股水準為選股條件之獲利分析

Abstract

中文摘要 以往對於動能策略(price momentum strategy)研究多所著墨，研究結果也顯示動能效果屬於短期，本研究即使用(3,1)及(1,1)的動能策略，並輔以週轉率及三大法人持股水準為選股條件，使用相依排序(Dependent sort)的資料處理方式，重新建構投資組合，分析是否可以獲得較簡單動能策略更好的績效。 本文取20001年1月至2007年12月的台灣證券交易所上市公司的月報酬資料進行實證，研究結果顯示，當簡單動能策略輔以週轉率及三大法人持股水準後，所產生的新的投資組合的確較簡單動能策略的報酬高，其中以買進動能策略贏家低週轉率低三大法人持股賣出輸家低週轉率高三大法人持股水準的投資組合，有顯著正的月報酬4.240%(t=3.4371***)，為所有投資組合中報酬最高，也顯示當個股股價上漲過程中，若週轉率低且三大法人持股水準低，則股價短期漲勢容易延續強勢；若個股股價走跌，而個股週轉率低則高三大法人持股水準高，則股價短期容易持續弱勢。 本文實證也發現，在顯著有正報酬的投資組合中，賣出的組合多以輸家高週率及高三大法人持股水準的交集，因此未來進行股市投資時，可考慮參考本研究結果。

We investigate price momentum strategy largely in the past, and the result of investigations shows that the effects of price momentum strategy are short-term. The study of trading strategies based on momentum, turnover ratio and institutional investor holding, besides I use Dependent sort to deal with the sample data, the restructure portfolio to attain a better effect than a simple price momentum.

The month returns (from Jan. 2001 to Dec. 2007) of the listed companies of TWSE was selected to investigate in the paper. The result of investigations shows that after the price momentum strategy adds turnover ratio and institutional investor holding, the restructure portfolio has more better rewards than the price momentum strategy. The best reward in the portfolio is to buy low turnover ratio and low institutional investor holding and to sell low turnover ratio and high institutional investor holding. The positive month rewards is 4.24%(t=3.4371***) It also shows that during the stock price rising when the turnover ratio as well as institutional investor holding is low, the rising of the stock price in the short-term will be easy to continue, on the other hand during the falling of the stock price in the short-term, when the turnover ratio as well as institutional investor holding is high, the stock price in the short-time will be easy to continue weak.

The high turnover ratio and high institutional investor holding constitute the positive rewards portfolio. Therefore we could consider consulting the result of study.