報酬、交易量與研發費用對股價動能策略之影響探討-以臺灣上市櫃資訊電子業為例

Abstract

過去許多文獻證實投資策略能在股票市場中獲得超常報酬，推究其原因為投資人的過度自信與對訊息的反應錯誤所導致，因而衍伸出各種投資策略以求最大的超常報酬。本研究參考Lee & Swaminathan（2000）的研究方式，除了前期報酬、交易量變數外，又加上研究發展變數來形成投資組合，探討由1998年1月至2006年9月台灣資訊電子類股所組成的各個投資組合搭配上49種形成期與持有期研究期間，推論各種投資組合未來報酬變化的特性。本研究以上述三變數產生一維、二維、三維共15種投資組合形成方式來形成投組，並且依各投組持有期的報酬變化判斷投組的報酬持續性與報酬反轉現象，進而組成捕捉股價反應不足或反應過度的最佳策略，並且比較各種維度間策略的績效。

本研究得到的結論如下：（1）一維簡單報酬率或研發動能策略的效果不佳（2）一維簡單交易量週轉率所形成的反向策略有顯著捕捉市場反應過度的能力，優於各種二維組合（3）前期贏家與輸家與交易量所構成的生命週期理論在本實證中存在（4）前期贏家與輸家與研發變數也能形成一生命週期理論，但效果並須再持有一年以上才能展現。（5）引進研發變數之三維投資組合的策略報酬優於一維與二維，然而其策略得優劣會隨著其投組排列方式不同而有所差異。（6）本研究發現打破以往以前期的報酬表現為投資組合形成的首要準則，可獲得較佳的策略效果。

In this study, we investigate the usefulness of past returns, trading volume and R&D expenditures in predicting cross-sectional returns for various momentum portfolios. The study is organized into three parts. In the first part, we only use one of the three factors to form portfolios. In the second part, we use two of the three factors to form portfolios. In the three parts, we use all of the three factors to form portfolios. Similar to methodology of Lee and Swaminathan (2000), we analyze the data from TSE and OTC information and electronic firms in Taiwan during the period January 1998 to September 2006. Specifically, we discuss the influence of different sequence of forming portfolios rules by three factors on future returns. Our results can be summarized as follows. First, using simple return or R&D momentum strategy can’t capture correct stocks trend. Second, using simple trading volume momentum strategy can capture the stocks which were overreaction. Third, we found MLC hypothesis also exists in Taiwan information and electronic stock market. Fourth, Similar to MLC hypothesis, the relationship of past returns and R&D expenditures also can be showed by another momentum life cycle. Fifth, the performances of investing strategies using three factors are better than using only one or two factors. However the performances are influenced by different sequence of forming portfolios rules.