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| Title: | 財務受限與否應用於臺股反向及動能交易策略之實證 |
| Other Titles: | Stock momentum and contrarian trade strategy on financial constraints companies- an empirical study in the Taiwan market |
| Authors: | 陳季青;Chen, Chi-ching |
| Contributors: | 淡江大學財務金融學系碩士在職專班
邱忠榮;Chiou, Jong-rong |
| Keywords: | 財務受限;動能交易;反向交易;financial constraints;Momentum Strategy;Contrarian Strategy |
| Date: | 2010 |
| Issue Date: | 2010-09-23 15:25:51 (UTC+8) |
| Abstract: | 本研究主要目的在於以選股不選市的方式，透過財務限制與否的條件針對台股來進行選股，建構出贏家與輸家投資組合，再分別採取動能及反向交易策略之實證研究，檢視此種選股條件之下，配合這二種不同交易策略的運用，能否創造出顯著正報酬。
同時由於研究期間為1999年1月至2009年9月，其中台股經歷過二次空頭洗禮(包括2000年科技與網路股泡沫及2008年因美國次級房貸問題所引爆的全球金融海嘯)，除了選股不選市的操作方式之外，另外採取擇機入市的方式，即加入對市場趨勢進行多空判斷後，將財務受限與否做為選股條件，運用反向及動能交易策略，進行實證研究，檢視國內股市在不同的形成期與持有期之下，投資組合報酬率的變化。
本研究根據實證結果得到以下結論：
一、 擇機入市：在考量市場處於多頭或是空頭情況，與投資組合標的財務受限與否所選構出四種樣本「市場處於多頭且投資組合標的為財務受限公司」、「市場處於多頭且投資組合標的為財務未受限公司」、「市場處於空頭且投資組合標的為財務受限公司」、「市場處於空頭且投資組合標的為財務未受限公司」，採用動能與反向交易策略之實證結果彙整如下：
(一) 無論形成期與持有期的長短，動能交易策略投資報酬率均出現負報酬，僅有反向交易策略才能創造出正報酬，且報酬率將隨著持有期的拉長而呈現遞增趨勢。
(二) 若將形成期與持有期皆拉長至12個月以上，所建構出的贏家與輸家投資組合，採取反向交易策略報酬率可獲得超越同期間指數報酬率。
(三) 無論市場處於多頭或是空頭，若是以財務受限公司做為選股條件所建構的贏家與輸家投資組合，應採用反向交易策略可以創造出較高報酬率。
(四) 無論市場處於多頭或是空頭，若是以財務未受限公司做為選股條件所建構的贏家與輸家投資組合，則應採用直接買入輸家投資組合的交易策略，即可創造出較高報酬率。
二、 選股不選市：在不考慮股市處於多頭或是空頭的情況，即選股不選市，將財務受限與否做為選股條件，所建構出「投資組合標的為財務受限公司」、「投資組合標的為財務非受限公司」的這二種贏家與輸家投資組合，分別進行動能及反向交易策略之實證結果彙整如下：
(一) 無論形成期與持有期的長短，動能交易策略皆出現負報酬率。唯有採用反向交易策略才可創造出正報酬率。且無論形成期的長短，反向交易策略報酬率隨著持有期的拉長而呈現增加趨勢。
(二) 財務受限公司所建構出的贏家與輸家投資組合採用反向交易策略，其投資報酬率優於財務未受限公司所建構出的贏家與輸家投資組合採行反向交易策略投資報酬率。
(三) 財務受限公司所建構出的贏家投資組合無論持有期長短均出現負報酬，因此若投資組合標的由財務受限公司所建構出的贏家與輸家投資組合時，應採用反向交易策略賺取放空贏家投資組合報酬率，而提升整體投資組合報酬率。
(四) 財務未受限公司所建構出的投資組合，無論贏家與輸家投資組合皆出現正報酬率，且報酬率隨著持有期拉長而增加。此時若採取反向交易策略將因放空贏家投資組合而遭受到損失，因此只要買入輸家投資組合即可。
This empirical research is to build a superior portfolio through a bottom-up method, based on the existence of financial constraints. This research then examine whether positive returns could really be created through abovementioned methodology by using momentum and contrarian strategies.
The research period is from January 1999 to September 2009, in which period the Taiwan stock market has experienced two bear markets – the 2000 internet bubble and 2008 financial tsunami induced by the sub-prime mortgage in US. In addition to the bottom-up approach, this research also takes advantage of market timing while using financially constrained or not as our criterion, with the help of contrarian strategy to conduct empirical researches on the returns of portfolios under various formation and holding periods.
Empirical findings from this research are the follows:
(一) Market timing: Four sample portfolios, including “Financial constrained companies in a bull market”, “Financially unconstrained companies in a bull market”, “Financially constrained companies in a bear market”, and “Financially unconstrained companies in a bear market”, are selected to conduct momentum and contrarian strategies. Our empirical researches show that:
1. Regardless of the formation period, all momentum strategies report negative returns. Only contrarian strategies create positive returns and the positive return keeps building up along with holding periods.
2. In the cases of formation and holding periods both exceed 12 months, the winner/loser portfolio under the contrarian strategy gives a return superior than index return at the same period.
3. The contrarian strategy, in spite of market bullish or bearish, gives out a better return in the case of portfolios constituted by financially constrained companies.
4. Directly buy loser companies can create higher returns in the cases of financially unconstrained companies, regardless of the market condition.
(二) Bottom-up approach: Our bottom-up approach, namely taking no consideration of the market backdrop, but using whether financially constrained as the stock-picking term to build our winner/loser portfolios gives us empirical results as follows:
1. Regardless of the formation period, all momentum strategies report negative returns. Only contrarian strategies create positive returns and the positive return keeps building up along with holding periods, not affected by the formation period.
2. The winner/loser portfolios composed by financially constrained companies give better returns than finally unconstrained companies, under the strategy of contrarian trading.
3. The winner portfolio constructed by financially constrained companies reports negative returns, regardless of holding period. As such, investment portfolio from financially constrained winner/loser companies can use contrarian trading strategy to earn excessive returns from winner portfolios and to enhance the overall investment return.
4. Portfolios consisted of financially unconstrained companies, no matter winner or loser portfolios, all give positive returns. Against this background, contrarian strategy will encounter losses from shorting winners. The remedy is to long portfolios composed by loser companies. |
| Appears in Collections: | [Graduate Institute & Department of Banking and Finance] Thesis
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