Is the Contrarian Strategy Valid for America's High-Tegh Industry?

[[abstract]]摘要 本研究以1992-2007年期間美國高科技產業為研究對象，探討在不同樣本期間（整體樣本期間、牛市與熊市），運用動能投資策略、反向投資策略、規模動能策略、週轉率動能策略及動能生命週期在短、中及長期下獲利情形與適用時機。研究結果證實在整體樣本期間及熊市適用於反向投資策略，顯示股票市場存在過度反應現象。尤其形成期與持有期間愈長時，投資組合的平均報酬與動能利潤將隨之增加；牛市除1個月及6個月採動能投資策略外，3、9及12個月適用於反向投資策略。另外贏家與輸家之規模效果在6-12個月組合期間有較佳報酬，而週轉率效果之結果亦與規模效果一致。最後對於週轉率動能生命週期存在與否，在牛市及熊市下，晚期動能策略的報酬顯著性多於早期動能策略報酬，顯示美國高科技產業的確存在過度反應現象，其結果與一維價格動能策略一致。[[abstract]]ABSTRACT This study applies momentum strategy contrarian strategy size momentum strategy turnover ratio momentum strategy and momentum life cycle to investigate the profit and the suitable timing for America’s high-tech industry under short intermediate and long horizons This primary data sources contain the companies in U S high-tech industry for 1992 through 2007 Empirical results show that contrarian strategy has overreaction in all sample period and the bear market Especially both of the average returns and momentum profits of investment portfolios would increase progressively while formation and holding periods get longer In the bull market evidences demonstrate statistically significant profits for horizons of 3- 9- and 12- month by using contrarian strategies and above-average payoffs over horizons of 1- and 6- month while performing momentum strategies Therefore both the returns of the winner and loser are larger in the size effect over the horizons of 6-12 months and similar evidence is verified by the turnover ratio effect Finally this article supports the existence of turnover ratio on momentum life cycle The last-stage momentum strategy has significant profits more then early-stage momentum strategy in both bull market and bear market As suggested above the existence of overreaction could be consistent both with the turnover ratio on momentum life cycle and with one-dimension price momentum in America’s high-tech industr