本研究依據紐約證交所、美國證交所、那斯達克證劵交易所從1965年至2008年的資料做為樣本，探討一般傳統動能策略和52週高價動能策略上的差異，其中Jegadeesh and Titman (1993)的一般動能策略是將股票依據過去的報酬加以區分為贏家、輸家，而George and Hwang (2004)的52週高價動能策略是以股票過去52週的股價高價比代替過去六個月報酬做為分類的準則。本研究將股票採用兩種不同的動能策略進行分類組成贏家、輸家投資組合，再從贏家和輸家的投資組合中以另一種動能策略加以分類贏家、輸家投資組合。結果發現只有在52週高價動能策略中的輸家投資組合裡一般動能策略才會有顯著獲利能力，但52週高價動能策略則是不管屬於一般動能策略中的贏家或輸家投資組合中皆可以獲得顯著的報酬。 首先，探討是否52週股價高價比對報酬有顯著的解釋能力，研究發現52週股價高價比對股票的報酬存在顯著的解釋能力，並且此顯著的解釋能力無法經由風險調整來說明。接著更進一步的探討過去報酬對未來報酬的解釋能力是否會受到52週股價高價比的影響。實證結果指出，一般動能策略的效果僅存在於短期，並且可以經由風險調整而解釋掉，但中期的動能現象則是由52週股價高價比的效果所產生的。研究最後加入投資人情緒指標，探討52週高價動能策略和投資人情緒的關聯性，發現52週高價動能策略的獲利性是由於投資人短期低估的影響造成。We use common stocks listed on the NYSE, AMEX, and NASDAQ exchanges from January 1965 to December 2008 to compare the differences between two momentum strategies which are 52-week high strategy and JT’s momentum strategy. The JT’s momentum strategy is ranked by returns from the past 6 months, where George and Hwang (2004) use the 52-week high ratio to measure the stock performance. For each of two strategies, we classify stocks into winner, loser, and middle groups based on past returns (52-week high ratio), and then subdivide each group by using the 52-week high ratio (past returns). We find the return on JT strategy is positive only into the 52-week high loser group, but the returns on 52-week high strategy are always significantly positive no matter how past returns are classified. Moreover, we explore whether the 52-week high ratio shows significant explanatory power for stock returns. This paper indicates that the 52-week high ratio can explain the variation of stock returns, and this explanatory power cannot be eliminated by risk-adjustment. This research further explores whether the explanatory power of lagged returns are affected by 52-week high ratio. The empirical results also show that the momentum effect exists in the short-term, which can be eliminated by risk adjustment. While the momentum effect from medium-term is attributed to 52-week high ratio. Finally, we also consider the relationship between the returns on 52-week high strategy and investor sentiment. The results support that returns on 52-week high strategy are caused by short-term underreaction but not long-term overreaction.
