投資組合動能操作策略之獲利來源

Abstract

本文研究美國股票市場所組成的投資組合動能操作策略的獲利性。我們有三種主要的結論。首先，大部分以投資組合為基礎的動能策略在短期與長期皆能獲利，這種結果與個股的動能策略有很大的差異。更進一步的研究，可發現動能效果似乎是報酬的一種特性。而且，我們也證實不同的投資組合分類方式會影響動能策略的獲利性。另外，我們也提出一些可能的理由來解釋為什麼投資組合動能操作策略在短期與長期皆能獲利，而執行個股操作策略時卻無法獲利。第二，時間序列的可預測性在投資組合的報酬上扮演著很重要的角色，更進一步的分析，可發現動能獲利的來源主要是依據共變異數矩陣的符號而有所變化。換句話說，當自相關與跨股相關的符號為正時，動能獲利的主要來源為自相關所致。而當自相關與跨股相關為負時，動能策略的主要獲利來源為跨股相關；反向策略的主要獲利來源為自相關。此外，我們也證實共變異數矩陣的符號主要是隨著市場的序列相關而變化的。最後，動能策略的獲利性並不能完全被資產定價模型所解釋，換言之，仍有異常的超額報酬存在於定價模型中。本文的實證結果顯示市場並沒有效率的處理相關資訊，亦即，違反效率市場假說。

The performance of portfolio-based momentum strategies on the U.S. market is investigated in this paper. Three main conclusive remarks are drawn. Firstly, contrary to the finding of individual stock-based trading strategies, most portfolio-based momentum strategies are found to perform well in the short- and long- term. Further, momentum in returns seems a pervasive phenomenon in our robust tests. Also, we document different grouping methods affect the profitability of momentum strategies. Several possible explanations are proposed for the profitability of executing portfolio-based momentum strategies in short- and long- term, but not so when executing individual stock-based strategies. Secondly, it is found that time-series predictability plays an important role in portfolio returns. Furthermore, the source of momentum profits depends on the status of the sign of covariance matrix. If autocorrelations and cross-autocorrelation are positive, the source of momentum profit is mainly due to the autocorrelation. On the other hand, if autocorrelation and cross-autocorrelation are negative, the source of momentum profit is mainly due to the cross-autocorrelation and the source of contrarian profit is mainly due to the autocorrelation. Moreover, the sign of covariance matrix is driven by the serial correlation of the market factor, and thus confirm the inference advocated by Chen and Hong (2002). Thirdly, the abnormal returns are still survival in the asset-pricing models. It is concluded that risk-adjusted returns make the momentum effect appear more at odds with the joint hypothesis of market efficiency.