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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/58447


    Title: 營收動能策略
    Other Titles: Sales Momentum Strategies
    Authors: 顧廣平
    Contributors: 淡江大學財務金融學系
    Keywords: 營收動能;風險;過度反應;反應不足;行為偏誤;Sales Momentum;Risk;Overreaction;Underreaction;Behavioral bias
    Date: 2010-06
    Issue Date: 2011-10-01 01:00:07 (UTC+8)
    Publisher: 臺北市:中華民國管理科學學會
    Abstract: 本研究使用台灣上市(櫃)公司每月公告之營收估計標準化未預期營收,以買營收贏家(即標準化未預期營收前20%較佳的股票)和賣營收輸家(即標準化未預期營收後20%較差的股票)形成動能策略,其可獲取1~12個月顯著正的平均報酬。此營收動能效應,在控制樣本期間、季節、交易所、產業、規模、週轉率、淨值市價比、過去報酬、未預期盈餘與風險等因素之下,仍然持續存在。本研究也發現營收動能與盈餘動能之間存在關聯性。此外,營收動能組合於持有第25至36個月間,存在顯著負的累積平均報酬,此與行為理論一致,證據支持行為偏誤導致營收動能。
    Relation: 管理學報 27(3), p.267-289
    DOI: 10.6504/JOM.2010.27.03.04
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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