洪茂蔚臺灣大學:國際企業學研究所白介人Pai, JimJimPai2010-05-112018-06-292010-05-112018-06-292008U0001-2706200815252400http://ntur.lib.ntu.edu.tw//handle/246246/182665The aim of this paper is to model and test behavioral finance strategies on various single-country exchange traded funds (ETFs) traded on the New York Stock Exchange and the American Stock Exchange. Behavioral finance strategies seek to exploit market anomalies caused by the irrational behaviors of investors. However, these strategies, in the past, have been commonly tested on single company stocks. This paper will attempt to develop models from behavioral finance methodologies that can be applied and tested on a more diversified investment vehicle, single-country ETFs. The strategies that this paper will test include the momentum strategy in the short run and the contrarian strategy in the long run. This paper will then simulate a portfolio based on these strategies, and attempt to generate excess returns over the benchmark MSCI World Index. After analyzing the simulation results, this paper finds that the underlying ETFs exhibit a stronger long term mean reversion effect than a short term momentum effect. Furthermore, this paper also confirms George and Hwang’s (2004) findings that the nearness to ‘X’-week high indicator is a better predictor of future returns than are past returns.CHAPTER 1: INTRODUCTION 04.1 Motivation of Study 04.2 Research Objectives 05.3 Research Methodology 05HAPTER 2: ITERATURE REVIEW 06.1 Behavioral Finance 06.2 Limits to Arbitrage 06.3 Psychology 07.4 Prospect Theory 11.5 Momentum Strategies 14.6 Contrarian Strategies 16.7 Exchange Traded Funds 18HAPTER 3: RESENTATION OF TRADING STRATEGIES 21.1 Methodologies 21.2 Data Collection 22.3 Testing Period 24.4 Strategies 24.5 Risk Management 27HAPTER 4: MPIRICAL RESULTS 27.1 Back-Testing Outcome 27.2 Explanation and Implication of Results 33HAPTER 5: ODIFICATION OF TRADING STRATEGY 36.1 Methods of Improvement 36.2 Back-Testing Results of the Modified Strategies 37.3 Analysis of the Modified Strategy Results 40HAPTER 6: CONCLUSION 41EFERENCES 43application/pdf904948 bytesapplication/pdfen-US行為財務投資策略behavioral financemomentumcontrarianETFtrading strategythesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182665/1/ntu-97-R95724085-1.pdf