A Study of Investment Performance based on Momentum Strategy in Taiwan Listed Stocks

[[abstract]]Jegadeesh and Titman(1993)所提出動能策略報酬的異常現象之後，投資人做出決策性時會，不僅受總體經濟的影響亦受心理層面的影響。本研究以市場交易資料作為投資人情緒之代理變數，並加入總體經濟因子探討與股票報酬間的互動關係。研究結果發現，短期投資動能持有期報酬高於長期持有期，投資人情緒代理變數融資、週轉率有相當高的關聯性。長期出現逆轉現象，總體經濟因子仍然是決定的關鍵，大盤走勢仍影響投資人的意願，尤其痛苦指數與報酬率有顯著的關係，就整體而言，總體經濟及投資人情緒對動能策略報酬的解釋能力不強。[[abstract]]Based on the momentum strategy proposed by Jegadeesh and Titman (1993) investors can be influenced by either the macroeconomic or sentimental factors when they are making investing decisions This study investigates how both the macroeconomic factors and the market transaction data which is the proxy of investor sentiment impact on stock returns The results show that trading based on the short-term momentum strategy generates higher return than on the long-term momentum strategy That is due to the high correlation between the stock financing and turnover the proxies of investor sentiments In the long run the downturn shows and macroeconomics factors still play a critical role The market index influences the willingness of investments Especially the misery index significantly related to the stock returns In sum both the macroeconomic and investor sentiment factors are not sufficient to explain the performance of momentum strateg

[[alternative]]The Empirical Study on the Static and Semi-Dynamic Arbitrage Stategies of Convertible Bonds with Distinct Credit Ratings

[[abstract]]　　運用台灣經濟新報資料庫TCRI（Taiwan Corporate Credit Rating Index；台灣企業信用風險指標指數）當作2006年到2011年在櫃買中心交易之227檔可轉換公司債的信用風險指標，本研究分別探討靜態套利的可套利次數、達到投資人要求報酬率之賣回套利最佳持有天數與不同放空比率和投資人要求報酬率下，半動態套利的最佳持有天數，並進一步分析不同信用風險下，三種套利模式報酬率分布情況。　　　本文實證結果顯示在低度信用風險中，轉換套利下評等三的聯詠二為佳；賣回權套利下評等四的成霖一較佳；半動態套利下評等四的勝德一較佳。在中度信用風險中，轉換套利下評等五的增你三較佳；賣回權套利下評等六的漢科一較佳；半動態套利下評等六的美時一較佳。在高度信用風險中，轉換套利下評等九的華上二較佳；賣回權套利下評等七的晶采二較佳；半動態套利下評等七的加總二較佳。[[abstract]]　　Using the TCRI (Taiwan the Corporate Credit Rating Index) of the Taiwan Economic Journal database as the proxy of credit rating, this paper empirically studies the arbitrage opportunities of 227 convertible bonds (CBs) listed in Taiwan GreTai securities market. This paper investigates the trading frequency of static arbitrage (or called convertible arbitrage), the shortest holding trading period of put provision arbitrage, and the the shortest holding trading period of semi-dynamic arbitrags with distinct shorting sale ratios and the required rate of return of investors, respectively. In addition, we further discuss the return distributions of the three CB arbitrage strategies with different credit risk profiles.　　　From the empirical results, we demonstrate that for the lower credit risk profile (TCRI=2, 3, and 4), the Microelectronics CB with TCRI equal to 3 has the best performance in convertible arbitrage, Globe Unionindustrial CB with TCRI equal to 4 has the best performance in put provision arbitrage, and the Powertech Industrial CB with TCRI equal to 4 has the best performance in semi-dynamic arbitrage. For the moderate credit risk profile (TCRI=5 and 6), the Zenitron CB with TCRI equal to 5 has the best performance in convertible arbitrage, Wholetech CB with TCRI equal to 6 has the best performance in put provision arbitrage, and the Lotus CB with TCRI equal to 6 has the best performance in semi-dynamic arbitrage. For the higher credit risk profile (TCRI=7, 8, and 9), the Arima Optoelectronicsent CB with TCRI equal to 9 has the best performance in convertible arbitrage, Ampire CB with TCRI equal to 7 has the best performance in put provision arbitrage, and the GIA TZOONG CB with TCRI equal to 7 has the best performance in semi-dynamic arbitrage