股價動量現象之研究：理論與實證

The Studies of Stock Price Momentum: Theory and Evidence

10.29698/FJMR.200905.0002

韓千山(Chien-Shan Han)

價格動量 ； 個體微結構 ； 行為財務學 ； price momentum ； marker microstructure ； behavioral finance

輔仁管理評論

16卷2期（2009 / 05 / 01）

25 - 42

繁體中文

本文從實證與建立理論之整合性觀點來研究台灣股市中是否具有股價動量以及交易者是否採取追漲殺跌動量策略。由於實證研究發現，中期動量與長期反轉的現象常見於許多股市中，多數理論皆從行爲財務學觀點來解釋之。相對而言，台灣股市走勢則傾向於有動量效果，尤其在股市多頭時會出現長期動量的現象，但相關的理論則付之闕如。與過去理論性文獻不同是，本文擬從市場微結構與公司理財的觀點，來解釋一個理性的投資人爲何會採取動量策略。我們所持的觀點，是認爲融資者會根據股價高低來決定對該公司的授信條件，通常前期高股價將使後續計畫投資的資金成本降低，有利於公司經營，對公司價值有正面影響，進而造成後期股價續航效果。本文所建立的模型也能解釋爲何動量效果在股市多頭期間更爲顯著。

The purpose of this paper is to investigate whether there are price continuations in Taiwan stock market and why investors adopt momentum strategy from an integrated view combining empirical evidence and theory. Since prior studies have documented there are intermediate-term momentum effects and long-term reversal effects in many stock markets, several theories explain this pattern on psychological biases. On the contrary, many studies find strong evidence of price momentum in Taiwan stock market, especially intermediate/long-term price continuations during bull periods. However, few theories can explain this phenomenon. In this paper, we plan to build a theoretical model by cooperating both microstructure and corporate finance fields to explain why a rational investor adopts price momentum strategies. The viewpoint of this model is that we assume outside financers decide the credit term of financing a firm's investment projects based on prior stock prices. Usually, a firm gets more favorite credit terms if its previous stock prices are high. Higher stock prices let the firm's costs of capital go down, which are beneficial to the firm's value. As a result, stock prices exhibit a pattern of intermediate/long term continuation. In our model, we also try to explain momentum strategies are more profitable during bull markets periods.

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