台股價格動能投資策略之探討： 以市值前150大之股票為標的;Price Momentum Strategy for the Top 150 Taiwan Stocks by Market Capitalization

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题名:	台股價格動能投資策略之探討：以市值前150大之股票為標的;Price Momentum Strategy for the Top 150 Taiwan Stocks by Market Capitalization
作者:	吳國源;Wu, Kuo-Yuan
贡献者:	財務金融學系在職專班
关键词:	價格動能策略;指數迴歸;迴歸係數;判定係數;濾網指標;Price Momentum Strategy;Exponential Regression;Regression Coefficient;Coefficient of Determination;Filter Indicator
日期:	2020-07-06
上传时间:	2020-09-02 16:43:43 (UTC+8)
出版者:	國立中央大學
摘要:	本論文資料來源取自台灣經濟新報資料庫，針對市值前150大台股，採用價格動能策略選股，僅持有多方部位，透過簡單的技術指標，單純以定期買進持有方式，建構一套優於大盤報酬績效表現的投資模式。本文的動能值衡量係以指數迴歸為基礎，利用價格時間數列找尋一條最適配直線，透過「迴歸係數」與「判定係數」兩相乘積，形成本研究所定義的動能值，作為本研究資料股票動能排序的基準。本研究在1999-2019超逾二十年的期間檢視下發現：不論交易日在財報公布日前後，個股動能值高低，皆呈現排序效果，顯示動能效應存在。當投資組合構成股票達30檔時，由於少數個股的極端報酬對投資組合整體績效影響下降，故能達成風險分散，並且有打敗大盤的績效表現。雖然股票別少於30檔的投資組合，其長期報酬率相較於大盤表現不具優勢，但如果採納濾網指標進行投資，能有效提升投資組合的長期績效，並降低報酬波動幅度。 ;The source of this paper is from the Taiwan Economic Journal database. For the top 150 Taiwan stocks by market value, this study uses a price momentum strategy to select stocks. It only holds long positions, merely using the regular buy-and-hold strategy through simple technical indicators, constructing an efficient investment model that outperforms the market performance. The measurement of price momentum in this paper is based on exponential regression, using the time series of prices to find a best-fit straight line, through the multiplication of "Regression Coefficient" and " Coefficient of Determination " to form the momentum value defined by this research, which serves as the benchmark for the ranking of stock price momentum in this study. This study examined over a period of more than 20 years from 1999 to 2019 and found that regardless of the trading day before or after the financial report announcement, the price momentum of the individual stocks showed a ranking effect, indicating the existence of price momentum effects. When the portfolio constitutes 30 stocks, because the extreme returns of a few stocks have a reduced impact on the overall performance of the portfolio, risk diversification can be achieved, and there is performance that beats the market. Although the investment portfolios of stocks with less than 30 stocks do not have an advantage over the market in long-term return, if we use the filter indicators to invest, we can effectively improve the long-term performance of the portfolios and reduce the fluctuation range of returns.
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