Short-Term Momentum Profits and Herd Behavior

短期動能績效與從眾行為

10.6697/TBPJ.201112_5(1).0001

王癸元(Kuei-Yuan Wang)；彭素君(Su-Chun Peng)；丁文玨(Wen-Chueh Ting)；陳建國(Chien-Kuo Chen)

動能策略 ； 從眾行為 ； 異常報酬 ； Momentum Strategy ； Herd Behavior ； Abnormal Returns

臺灣企業績效學刊

5卷1期（2011 / 12 / 01）

1 - 18

英文

過去文獻指出短期動能策略可以獲致顯著異常報酬。不過，動能策略著眼於投資者過度重視私有資訊，而從眾行為強調投資者放棄私有資訊，因此，本研究以台灣地區2002－2008年之上市公司為研究樣本，重新探討從眾行為是否對短期動能策略產生影響。實證結果指出，短期動能策略在市場從眾氛圍減少時，較從眾氛圍增加時，有機會獲致顯著正的異常報酬；也就是說，當市場瀰漫從眾氛圍時，投資者不應該繼續堅持過去文獻建議的短期採用動能策略的操作邏輯。此一實證結果亦與理論邏輯相符。

Previous literature indicated that short-term momentum profits hold. This study utilized listed companies in Taiwan stock market from 2002 to 2008 to explore the impact of herd behavior on short-term momentum profits. Empirical results show that the opportunities for investors' applying a momentum strategy in the decreased herd behavior group are better than the opportunities for investors in the increased herd behavior group. Therefore, this study suggests that when the market is crowded with herd behavior, investors should not continue to adhere to the operational logic of a short-term momentum strategy as the literature has suggested. This anomaly is consistent with the theory intuition.

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