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    Title: 投資者關注與動能效應
    Other Titles: Investor Attention and Momentum Effect
    Authors: 顧廣平
    Keywords: 投資者關注;價格動能;營收動能;動能生命週期;Investor attention;Price momentum;Sales momentum;Momentum life cycle
    Date: 2016-12-01
    Issue Date: 2017-03-04 02:10:48 (UTC+8)
    Publisher: 國立臺北大學企業管理學系
    Abstract: 本研究檢驗投資者關注在解釋價格與營收動能策略績效上所扮演之角色。使用成交量週轉率與市場狀態衡量投資者關注程度,發現高週轉率股票與在多頭市場後,價格與營收動能績效都較高,以及發現價格與營收動能績效長時間均終究反轉。價格動能行為支持投資者關注假說,但是營收動能拒絕。此結果主張價格動能是增強關注造成投資者過度反應所致,但是營收動能不是因減弱關注造成投資者反應不足所致。進而,結果顯示過去週轉率能預測未來營收動能的數量與持續性,特別是低(高)週轉率營收贏家(輸家)經歷較長的價格延續,以及高(低)週轉率營收贏家(輸家)經歷較快的價格反轉。Lee and Swaminathan (2000)的動能生命週期假說有助於解釋週轉率與營收動能之動態關係。
    Relation: 企業管理學報 111,頁67-97
    DOI: 10.3966/102596272016120111003
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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