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研究生： 戚育嘉
Yu-chia Chi
論文名稱： 全球股票市場動能來源：文化觀點
An Invesgitation of the Sources of Momentum Profitability: A Cultural Perspective
指導教授： 周賓凰
Pin-Huang Chou
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
論文出版年： 2015
畢業學年度： 103
語文別： 中文
論文頁數： 48
中文關鍵詞： 動能策略 、文化因子 、拆解項
外文關鍵詞： Momentum strategy, Cultural factor, Decomposition
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    • 傳統財務學派以效率市場和理性假設為前提作為發展基礎，但行為財務學派認為理性不會時時刻刻存在，便提出許多截然不同理論來證實市場並非效率與非理性。許多學者都對超額報酬是如何產生有許多的研究，但每個學派的說法皆不一致。本文利用全球各大股票市場，將其月報酬資料於每國形成一投資組合，並使用動能策略獲得動能報酬，試圖利用文化因子解釋動能報酬的來源為何。文化因子可以代表該國國民的想法、習性、傳統與社會風氣等特有象徵。動能報酬可以被拆解為三項來源，最後分別將各拆解項對文化因子進行迴歸分析，結果發現個人主義確實可以解釋動能報酬，而不確定規避更是對所有拆解項呈現統計顯著。

    Traditional financial school carries out the prerequisite of effective market and rational assumption to development, but behavioral finance school consider it impossible for rationality to be present all the time. Thus, this school proposes various theories to prove that a market is not necessarily effective and rational. Among those theories, many scholars study how the excess returns are produced but different schools have their own explanation. This study will take the huge stock markets around the word as the source of the research to form a portfolio for each country via the monthly returns and will use from momentum strategy to get the momentum profits, trying to explain what the source of momentum profits is via cultural factors, which are things representing the thoughts, customs, tradition and social trend of certain citizens in some countries. The resource of momentum profits can be divided into three and finally the three parts will conduct regression analyses on different cultural factors. At the conclusion, this study finds that individualism indeed has the weight to explain momentum profits but uncertainty avoidance has prominent influence on the statistics .

    摘要 ……………………………………………………………… i Abstract……………………………………………………………… ii 目錄 ……………………………………………………………… iii 圖目錄 ……………………………………………………………… iv 表目錄 ……………………………………………………………… v 一、 緒論………………………………………………………… 1 1-1 研究動機與目的…………………………………………… 1 1-2 論文架構…………………………………………………… 2 二、 文獻回顧…………………………………………………… 3 2-1 動能策略與反向操作策略相關文獻……………………… 3 2-2 解釋動能報酬來源的相關文獻…………………………… 5 2-3 關於動能報酬或反向策略報酬拆解項的相關文獻……… 7 三、 研究方法…………………………………………………… 9 3-1 研究問題…………………………………………………… 9 3-2 樣本選擇…………………………………………………… 9 3-2-1 Geert Hofstede的文化尺度………………………………… 9 3-2-2 風險偏好因子……………………………………………… 11 3-2-3 股票市場樣本……………………………………………… 11 3-3 動能報酬投資組合………………………………………… 12 3-4 動能投資組合獲利性之拆解……………………………… 13 四、 實證研究…………………………………………………… 16 4-1 動能報酬迴歸……………………………………………… 16 4-2 動能報酬拆解項迴歸……………………………………… 17 五、 結論與建議………………………………………………… 19 參考文獻 ……………………………………………………………… 20

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