Downside Risk and Momentum: Evidence from Taiwan

[[abstract]]我們檢驗價格動能策略是否與用總體經濟變數估計出的預期市場報酬有關。Min and Kim (2016) 在美國市場中用總體經濟變數估計出預期市場報酬，並以估計出的預期市場報酬區分出經濟狀態，發現經濟狀態差的情況下價格動能策略獲利有負報酬，且平均價格動能策略獲利會隨區分出的經濟狀態改變而跟著改變。本文參考Min and Kim (2016)的作法，我們先檢驗台灣市場中的價格動能策略獲利不具有統計顯著性，但在區分經濟條件後我們發現在預期市場報酬高及預期市場報酬低時會有動能反轉及動能的現象存在且價格動能策略會讓投資人面臨更多的下方風險。另外我們驗證在加入市場條件、市場動態、市場波動度、市場流動性四種影響價格動能策略報酬的變數後，經濟狀態及預期市場報酬仍然能維持對價格動能策略的統計顯著性。[[abstract]]We test whether the momentum strategy is related to the expected market returns estimated by macroeconomic variables. Min and Kim (2016) use the macroeconomic variables to estimate the expected market returns in the US market and distinguish the economic state from the estimated expected market returns and find that momentum strategy has negative returns in the case of poor economic conditions and The average momentum strategy profit will change by the economic status. Referring to Min and Kim (2016), first we test the price momentum strategy in Taiwan market and the momentum strategy profit is not statistically significant , but when distinction with economic conditions, we found that high expected market returns and low expected market returns will be statistically significant and momentum strategy make investors to face more of the downside risks. In addition, we verify that the economic states and expected market returns can still maintain the statistical significance of the momentum strategy after adding the variables of market condition, market dynamics, market volatility and market liquidity that can explain momentum strategy profit.[[note]]碩