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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92124


    Title: 產業營收動能策略
    Other Titles: Industrial Sales Momentum Strategies
    Authors: 顧廣平;卓志文
    Contributors: 淡江大學財務金融學系
    Keywords: 產業效應;營收動能;台灣股市;Industry Effects;Sales Momentum;Taiwan Stock Market
    Date: 2013-08-31
    Issue Date: 2013-09-03 15:15:01 (UTC+8)
    Publisher: 新北市:管理資訊計算編輯委員會
    Abstract: 動能策略,以買入過去贏家和賣出過去輸家,其可獲取 3~12 個月顯著正的平均報酬。針對台灣股市,本研究首次探討以未預期營收為基礎之個股動能與產業動能之間的關係,結果發現存在顯著之個股營收動能與產業營收動能效應。然而,個股營收動能效應在控制產業營收動能下,仍然持續存在;以及在控制個股營收動能後之產業營收動能策略的獲利顯著下滑,甚至大部分不具統計顯著性。此結果顯示產業營收動能幾乎完全被個股營收動能所解釋,反之則不然。而在控制產業別、價格動能與盈餘動能下,亦可獲得類似之結論。
    Relation: 管理資訊計算=Management Information Computing 2(1),頁92-104
    DOI: 10.6285/MIC.2(1).07
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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