贏家與輸家基金交易強度差異之分析

Differences about Trading Intensity between Winner Funds and Loser Funds

10.6626/MR.2012.12(2).02

李顯儀(Hsien-Yi Lee)

追高殺低策略 ； 買低賣高策略 ； 贏家與輸家基金 ； 強勢股與弱勢股 ； Positive feedback strategy ； Contrarian strategy ； Winner and loser funds ； Winner and loser stocks

管理研究學報

12卷2期（2012 / 12 / 01）

31 - 50

繁體中文

本文的研究目的旨探討贏家與輸家基金，對強勢股與弱勢股的交易強度是否具有差異？經本文實證後，有三點發現：（一）贏家基金對週與月報酬為強勢股的追高交易強度，較輸家基金明顯強烈；但對於季報酬的強勢股卻相反。（二）贏家基金對於週（月）報酬為弱勢股的買低（殺低）交易強度，較輸家基金強烈。（三）贏家與輸家基金對強勢股採追高策略，較著重在相對長期的季報酬；但對弱勢股採買低策略，較著重在相對短期的週報酬。此結果顯示：贏家與輸家基金對強勢與弱勢股，交易強度與操作策略確實存在差異性。

The objective of this paper is to examine whether there exists a different trading intensity between winner stocks and loser stocks for the winner funds and loser mutual funds. This study has three empirical findings. One, in terms of weekly and monthly returns, the intensity of buying winner stocks is stronger for winner mutual funds than for loser mutual funds. In contrast, in terms of the quarterly returns, the intensity of buying winner stocks for winner mutual funds is weaker than for loser mutual funds. Second, in terms of weekly and monthly returns, the intensity of buying (selling) loser stocks is stronger for winner mutual funds than for loser mutual funds. Third, the investing strategies of buying winner stocks for winner (loser) mutual fund focus relatively on the quarterly returns in the long(short) term. The results show that there exists a difference for the trading intensity and strategies between winner stocks and loser stocks.

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