|作品名稱（其他語言）||Market States and Sales Momentum|
|摘要||本文使用台灣證券交易所上市公司及中華民國證券櫃檯買賣中心上櫃之普通股為研究樣本，研究期間為1992年1月至2009年12月，合計204個月，並且參考Cooper, Gutierrez, and Hameed(2004)的作法，對市場狀態分類，分割成多頭市場之後(即前12個月市場持有報酬為正值者，計126個月)與空頭市場之後(即前12個月市場持有報酬為負值者，計78個月)，並提出可檢定過度反應理論之假說一：「多頭市場之後，營收動能之短期價格延續與長期價格反轉程度大於空頭市場之後。」去檢驗投資人於持有部位長短期下營收動能策略的投資績效。
結果顯示在多頭市場之後，營收動能之短期價格延續與長期價格反轉程度都大於空頭市場之後，此亦證明是投資人過度反應導致營收動能效應，以致其後價格修正反轉。而此結論亦與Gutierrez, and Hameed(2004)價格動能之結論相當類似。
This papper uses Taiwan stock exchange market's common stock as research sample. This research study data were collected from January 1992 to December 2009, for 204 months and take the methods of Cooper, Gutierrez and Hameed(2004) as a reference, this paper classified the market states into the after the up market(which refer to that if the remuneration held by the market is positive in the former 12 months, it can be counted as 126 months) and after the down market(which refer to that if the remuneration held by the market is negative in the former 12 months, it can be counted as 78 months). After that, one of the hypotheses which can verify the overreaction theory will be put forward, that is, after the up market, the short-term price continuation and the long-term price reversal degree of the sales momentum are greater than those after the down market. Then, the investment performance of the short-term and long-term sales momentum strategies in the position held by the investors will be tested.
The results show that, after the up market, both the short-term price continuation and the long-term price reversal degree of the sales momentum are greater than those after the down market, which also verify that the investors overreaction will result in the sales momentum effect and lead to the reverse of the price correction. This conclusion is also quite similar with Gutierrez and Hameed’s(2004) results about the price momentum.
|關鍵字||營收動能;市場狀態;過度反應;sales momentum;market states;overreaction|