研究限制及對後續研究之建議

國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

46

第二節 研究限制及對後續研究之建議

本篇研究只說明日本股市沒有動能現象，以及形成期間為前 17 個月至前 12 個月下，日本股市有反轉現象。但並未對這兩點結論提出可能的經濟解釋。

動能效應屬於市場異常現象，傳統財務理論：資本資產訂價模型（CAPM）、 Fama 三因子模型（Fama-French 3-factor model）、套利定價理論（APT）均無 法解釋其異常報酬部分，而目前文獻大多以行為財務的角度試圖去解釋動能現 象。

建議後續研究可以採用比較研究法，將日本股市與現今存在動能現象的市場 做差異化分析，例如：美國、歐洲諸國（西班牙、荷蘭、比利時、英國等），藉 此找出日本股市無動能現象的合理解釋，例如：價格撮合機制、漲停板限制、機 構投資人比例、投資人行為…等，都是可以延伸研究的方向。

‧

1. Arena, M., K.S. Haggard, and X. Yan, 2008. “Price momentum and idiosyncratic volatility”, The Financial Review 43, 159–190.

2. Barberis, Nicholas, Andrei Shleifer, and Robert Vishny, 1998. “A model of investor sentiment”, Journal of Financial Economics 49, 307–343.

3. Blitz, D., Joop Huij, and Martin Martens, 2011. “Residual momentum”, Journal of Empirical Finance 18, 506-521.

4. Bremer, Marc and Takato Hiraki, 1999. “Volume and individual security returns on the Tokyo Stock Exchange”, Pacific-Basin Finance Journal 7, 351–370.

5. Carhart, M.M., 1997. “On Persistence in Mutual Fund Performance”, Journal of Finance 52, 57-82.

6. Chang, Yuk Ying, Robert Faff, and Chuan-Yang Hwang, 2010. “Liquidity and stock returns in Japan: New evidence”, Pacific-Basin Finance Journal 18, 90–115.

7. Chang, Rosita P., D.W. McLeavey, and S. Ghon Rhee, 1995. “Short-term

abnormal returns of the contrarian strategy in the Japanese stock markets”, Journal of Business Finance & Accounting 22, 1035–1048.

8. Chou, Pin-Huang, K.C. John Wei, and Huimin Chung, 2007. “Sources of

contrarian profits in the Japanese stock market”, Journal of Empirical Finance 14, 261–286.

9. Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2010. “Individualism momentum around the world”, Journal of Finance 65, 361–392.

10. Chui, Andy C.W., Sheridan Titman, and K.C. John Wei, 2000. “Momentum, Legal Systems and Ownership Structure: An analysis of Asian stock markets”, Working paper.

11. Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam, 1998. “Investors,

‧

psychology and security market under- and overreactions”, Journal of Finance 53, 1839–1885.

12. De Bondt, Werner, and Richard Thaler, 1985. “Does the Stock Market Overact?”, Journal of Finance 40, 793-805.

13. Fama, Eugene F., 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25, 383-417.

14. Fama, E.F. and J. MacBeth, 1973. “Risk, return and equilibrium: Empirical tests”, Journal of Political Economy 81, 607-636.

15. George, T.J. and C.-Y. Huang, 2004. “The 52-week high and momentum investing”, Journal of Finance 59, 2145-2175.

16. Grinblatt, Mark, and Bing Han, 2002. “The disposition effect and momentum”, Working paper, UCLA.

17. Gunaratne, P.S.M. and Y. Yonesawa, 1997. “Return reversals in the Tokyo Stock Exchange: A test of stock market overreaction”, Japan and the World Economy 9, 363–384.

18. Hameed, Allaudeen and Yuanto Kusnadi, 2002. “Momentum Strategies: Evidence from Pacific Basin stock markets”, Journal of Financial Research 25, 383–397.

19. Hong, Dong and Charles Lee, 2003. “Earnings momentum in international markets”, Working paper, Cornell University.

20. Hong, Harrison, and Jeremy C. Stein, 1999. “A unified theory of underreaction, momentum trading and overreaction in asset markets”, Journal of Finance 54, 2143–2184.

21. Iihara, Yoshio, Hideaki Kiyoshi Kato, and Toshifumi Tokunaga, 2004. “The winner–loser effect in Japanese stock returns”, Japan and the World Economy 16, 471–485.

22. Jegadeesh, N., 1990. “Evidence of predictable behavior of security returns”,

‧

Journal of Finance 45, 881-898.

23. Jegadeesh, N. and S. Titman, 1991. “Short horizon return reversals and the bid-ask spread ”, Working paper, University of California at Los Angeles.

24. Jegadeesh, N. and S. Titman, 1993. “Returns to buying winners and selling losers:

Implications for stock market efficiency”, Journal of Finance 48, 65-91.

25. Jegadeesh, N. and S. Titman, 2001. “Profitability of Momentum Strategies: An Evaluation of Alternative Explanations”, Journal of Finance 52, 699-720.

26. Kahneman, Daniel and Amos Tvesky, 1973. “Availability: A heuristic for judging frequency and probability”, Cognitive Psychology, 5, 207-232

27. Kahneman, Daniel and Amos Tvesky, 1979. “Prospect Theory: An Analysis of Decision under Risk”, Econometrica, XLVII, 263-291

28. Kahneman, Daniel, Paul Slovic, and Amos Tversky, 1982, Judgment under Uncertainty: Heuristics and Biases (Cambridge University Press, New York).

29. Lehmann, B., 1990. “Fads, martingales and market efficiency,” Quarterly Journal of Economics 105, 1-28.

30. Lee, Charles M.C. and Bhaskaran Swaminathan, 2000. “Price momentum and trading volume”, Journal of Finance 55, 2017-2069.

31. Liu, Chunlin and Yul Lee, 2001. “Does the Momentum Strategy Work Universally?

Evidence from the Japanese Stock Market”, Asia-Pacific Financial Markets 8, 321-339.

32. Liu, Ming , Qianqiu Liu, and Tongshu Ma, 2011 “The 52-week high momentum strategy in international stock markets”, Journal of International Money and Finance 30, 180-204.

33. Levy, Robert, 1967. “Relative strength as a criterion for investment selection”, Journal of Finance 22, 595-610.

34. McInish, Thomas H., David K. Ding, Chong Soo Pyun, and Udomsak Wongchoti,

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

50

2000. “Short-horizon contrarian and momentum strategies in Asian markets: An integrated analysis”, International Review of Financial Analysis 17, 312–329.

35. Moskowitz, T. J., and Mark Grinblatt, 1999. “Do industries explain momentum? ”, Journal of Finance 54, 1249-1290.

36. Naranjo, A., and Burt Porter, 2007. “Including emerging markets in international momentum investment strategies”, Emerging Maerkets Review, 147-166.

37. Novy-Marx, Robert, 2012 “Is momentum really a momentum”, Journal of Financial Economics 103, 429-453.

38. Park, S.-C., 2010. “The moving average ratio and momentum”, The Financial Review 45, 451-447.

39. Rouwenhorst, K.G., 1998. “International Momentum Strategies”, Journal of Finance 53, 267-284.

40. Roll, Richard, 1983. “Vas ist Das?”, Journal of Portfolio Management, 18-28.

41. Swinkels, Laurens, 2002. “International industry momentum”, Journal of Asset Management, 124-141.

42. Zhang, X.F., 2006. “Information uncertainty and stock returns”, Journal of Finance 61, 105-136.