股價動量之驅動因子、投資行為、與動量投資策略之建構

Abstract

本研究嘗試發展一套普遍適用的市場分析程序，來分析股價動量的驅動因子與本地市場的特性。首先分別檢定構成動量策略利潤的四種可能因子（橫斷面期望報酬率、風險因子、產業因子、與公司特性）的序列相關，以瞭解股價動量的本質。其次分析影響動量投資策略報酬率的市場因素（景氣循環與股市多空循環、交易週轉率、季節性效應）以瞭解本地市場的投資行為。完成上述的分析程序，便能夠定義最適交易法則，並評估動量策略在該市場的有效性。 實證分析結果顯示：在股市多頭時期產業因子是動量策略利潤的主要來源，然而在股市空頭時期卻不存在驅動股價動量的因子，說明定義最適交易法則之動量投資策略的報酬率呈現顯著正值的情況僅會出現於股市多頭時期。其次，本地市場的特性明顯左右動量投資策略的報酬率。實證數據顯示，投資人在股市多頭時期對於好消息一開始會有反應不足的現象；相對地，投資人對於壞消息則經常過度反應。因此，平均而言，買進低週轉率贏家組合同時賣出高週轉率輸家組合的初期動量策略有較佳的動量效果。此外，本地的投資者對贏家組合與輸家組合的未來展望，明顯受到大盤走勢的影響，使得股市空頭時期的投資行為分析成為降低投資風險的關鍵。股市空頭時期有顯著負的「元月效應」（弱勢股的跌深反彈效應），控制「元月效應」可去除空頭時期的投資風險；股市多頭時期則存在顯著負的「九月效應」（除權行情後的回歸平均），控制「九月效應」可顯著提升股市多頭時期的操作績效。

A market analysis procedure is developed to analyze drivers of stock momentum and characteristics of the stock market. First, we decompose the four sources of momentum profits, including the serial correlation in the excepted returns, the risk factors, the industry factors, and the firm-specific components, in order to identify the primary source of the profits. Then, we analyze the market factors that have effects on momentum trading profits, including business/bull-bear market cycle, trading turnover, and seasonal patterns, in order to understand the investment behavior. Applying the proposed procedure, it is possible to define the optimal trading rules and evaluate the effectiveness of momentum strategies on the stock market. The empirical analysis shows that the serial correlation in the industry component is the primary source of momentum profits during bull market periods. Rather, there doesn’t exist any driver of stock momentum during bear market periods. The results suggest that the payoffs of the optimum momentum strategy are positive only during bull market periods. Moreover, the market characteristics have impacts on returns of momentum strategies. Our results show that investors initially tend to under-react to good news about a firm during bull market periods and overreact to bad news during the whole periods studied. Overall, early strategy, which buys low trading volume winners and sells high trading volume losers, earns higher returns than simple momentum strategy. Analysis for the investment behavior during bear market periods is the key to reduce investment risk. There exists significantly negative “January effect” during bear market periods and “September effect” during bull market periods. Reversing the buy and sell portfolios in those calendar months can eliminate the investment risk during bear market periods and improve the investment performance during bull market periods.