本論文以溫水煮青蛙(frog-in-the-pan, FIP)假說驗證存在於外匯市場中的動能效果，是否由投資人的有限關注度所導致。假定當過去資訊以較連續且漸進的方式釋出，投資人無法對匯率漸進的變動及時反應，如同鍋子裡的青蛙，進而使動能效果更為顯著。在涵蓋48個貨幣並長達40年的樣本中，實證結果顯示平均動能報酬每年高達15\%，進一步以資訊間斷程度區分動能投資組合以後，資訊連續下的動能報酬更高達每年40\%的水準，反之資訊間斷下的動能報酬卻無顯著異於0\%。另一方面，本論文以投資人反應不足為基礎下發展新的FIP投資策略，並且發現FIP策略與動能策略有很大程度的相關性，經過橫斷面的迴歸分析以及穩健性測試，本論文可以得到以下結論：1.外匯動能效果直至2016年依舊存在於外匯市場中；2.過去資訊間斷程度大較能吸引投資人的關注，動能現象也因此較不明顯，過去資訊較為連續時動能現象則較明顯；3.投資人的有限關注度使投資人反應不足，從而導致了外匯動能效果，且某種程度上此現象存在於個別貨幣。十分有趣的是，即使在流動性高、交易規模大以及專業投資人比例較高的外匯市場中，行為偏誤仍然會影響投資人的決策行為，並且導致動能現象。;This thesis examines whether investor limited attention drives momentum effect in FX markets with reference to the frog-in-the-pan (FIP) hypothesis. FIP hypothesis posits that FIP investors tend to under-react to information arriving continuously in gradual changes, as like a frog in a pan, and induce stronger momentum effect. Data include 48 currencies and cover the sample period for 40 years. The empirical results show that the average of returns for momentum strategies are up to 15\% per annum. (p.a.). Furthermore, sorted by information discreteness, momentum returns are up to 40\% following continuous information. By contrast, momentum returns become insignificantly different from zero following discrete information. After doing cross-sectional regressions and robustness checks, the findings demonstrate three conclusions as follows. First, momentum effect still exist in FX markets until 2016; Second, discrete information mitigates momentum effect due to more attention from investors, while continuous information induces stronger momentum effect; Third, investor limited attention leads to under-reaction and further contributes to momentum effect. To some extent that this phenomenon exists in individual currencies. Interestingly, with characteristics of having high liquidity, huge transaction volume, and a large number of professional investors, behavioral biases still influence investors′ decision-making and drive momentum effect in FX markets.
