逆向投資策略之動態跌幅門檻效果研究

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參考文獻

一、逆向投資與行為財務學

AAII. (2024). AAII investor sentiment survey. American Association of Individual Investors. https://www.aaii.com/sentimentsurvey

Allan Gray. (2023). Your guide to contrarian investing. Allan Gray Australia. https://www.allangray.com.au/wp-content/uploads/GuideToContrarianInvesting.pdf

Alves, P., & Carvalho, L. (2020). Recent evidence on international stock markets overreaction. MPRA Paper No. 97983. https://ideas.repec.org/p/pra/mprapa/97983.html

Balvers, R., & Wu, Y. (2006). Momentum and mean reversion across national equity markets. Journal of Empirical Finance, 13(1), 24-48. https://doi.org/10.1016/j.jempfin.2005.05.001

Balvers, R., Wu, Y., & Gilliland, E. (2000). Mean reversion across national stock markets and parametric contrarian investment strategies. The Journal of Finance, 55(2), 745-772.

Barberis, N., Shleifer, A., & Vishny, R. W. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343. https://doi.org/10.1016/S0304-405X(98)00027-0

Bordalo, P., Gennaioli, N., La Porta, R., & Shleifer, A. (2024). Belief overreaction and stock market puzzles. Journal of Political Economy. https://scholar.harvard.edu/sites/scholar.harvard.edu/files/shleifer/files/bgls_june16.pdf

Boussaidi, R., & AlSaggaf, M. I. (2020). Contrarian profits and representativeness heuristic in the MENA stock markets. Journal of Behavioral and Experimental Finance, 28, 100410.

Campbell, K., & Limmack, R. J. (1997). Long-term over-reaction in the UK stock market and size adjustments. Applied Financial Economics, 7(5), 537-548.

Chen, H. L., De Bondt, W., & Jegadeesh, N. (2006). Test of the contrarian investment strategy: Evidence from the Taiwan stock markets. Proceedings of the Joint Conference on Information Sciences. https://www.atlantis-press.com/proceedings/jcis-06/190

Cooper, M. J., Gutierrez, R. C., & Hameed, A. (2004). Market states and momentum. The Journal of Finance, 59(3), 1345-1365. https://doi.org/10.1111/j.1540-6261.2004.00665.x

da Costa, N. C. A. (1994). Overreaction in the Brazilian stock market. Journal of Banking & Finance, 18(4), 633-642.

Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. The Journal of Finance, 53(6), 1839-1885. https://doi.org/10.1111/0022-1082.00077

De Bondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793-805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x

De Bondt, W. F. M., & Thaler, R. (1987). Further evidence on investor overreaction and stock market seasonality. The Journal of Finance, 42(3), 557-581.

De Bondt, W. F. M., & Thaler, R. (1990). Do security analysts overreact? The American Economic Review, 80(2), 52-57.

Dreman, D. (1982). The new contrarian investment strategy. Random House.

Dreman, D. (2012). Contrarian investment strategies: The psychological edge. Free Press.

Fung, A. K. W. (1999). Overreaction in the Hong Kong stock market. Global Finance Journal, 10(2), 223-230.

Grobys, K. (2024). Does contrarian investing beat the conventional strategies and the index? SSRN Working Paper. https://www.researchgate.net/publication/381888229

Hong, H., & Stein, J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. The Journal of Finance, 54(6), 2143-2184. https://doi.org/10.1111/0022-1082.00184

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Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541-1578. https://doi.org/10.1111/j.1540-6261.1994.tb04772.x

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Lo, A. W., & MacKinlay, A. C. (1990). When are contrarian profits due to stock market overreaction? The Review of Financial Studies, 3(2), 175-205. https://doi.org/10.1093/rfs/3.2.175

Mun, J. C., Vasconcellos, G. M., & Kish, R. (1999). Tests of the contrarian investment strategy: Evidence from the French and German stock markets. International Review of Financial Analysis, 8(3), 215-234. https://doi.org/10.1016/S1057-5219(99)00016-2

Munir, A. F., Sukor, M. E. A., & Shaharuddin, S. S. (2022). Adaptive market hypothesis and time-varying contrarian effect: Evidence from emerging stock markets of South Asia. SAGE Open, 12(1). https://doi.org/10.1177/21582440211068490

Quddoos, M. U., Rafique, A., Kalim, U., & Kanwal, S. (2024). Impact of behavioral biases on investment decisions and the moderation effect of financial literacy. Finance Research Letters, 66, 105546. https://doi.org/10.1016/j.frl.2024.105546

Rasheed, M. H., Rafique, A., Zahid, T., & Akhtar, M. W. (2018). Factors influencing investor's decision making in Pakistan: Moderating the role of locus of control. Review of Behavioral Finance, 10(1), 70-87.

Research Affiliates. (2013). The psychology of contrarian investing. https://www.researchaffiliates.com/publications/articles/c_2013_12_psychology_contrarian_investing

Richards, A. J. (1995). Comovements in national stock market returns: Evidence of predictability, but not cointegration. Journal of Monetary Economics, 36(3), 631-654.

Sheybani, M., & Taleblou, R. (2024). Stock price overreaction: Evidence from bull and bear markets. Review of Behavioral Finance. https://doi.org/10.1108/RBF-03-2024-0088

Stock, D. (1990). Winner and loser anomalies in the German stock market. Journal of Institutional and Theoretical Economics, 146(3), 518-529.

Swallow, S., & Fox, M. A. (1998). Overreaction in the New Zealand share market. Pacific Accounting Review, 10(2), 82-96.

Zakamulin, V. (2024). Stock price overreaction: Evidence from bull and bear markets. Review of Behavioral Finance. https://doi.org/10.1108/RBF-03-2024-0088

二、市場效率與資產定價

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. The Journal of Finance, 61(1), 259-299. https://doi.org/10.1111/j.1540-6261.2006.00836.x

Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.

Fama, E. F. (1998). Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics, 49(3), 283-306. https://doi.org/10.1016/S0304-405X(98)00026-9

Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427-465.

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.

Pagan, A. R., & Sossounov, K. A. (2003). A simple framework for analysing bull and bear markets. Journal of Applied Econometrics, 18(1), 23-46.

三、投資策略與績效評估

Antoons, W. (2020). Market timing: Opportunities and risks. CAIA Association. https://caia.org/sites/default/files/market_timing_open.pdf

Britannica Money. (n.d.). Bear market: Definition, attributes, & trading strategies. https://www.britannica.com/money/bear-market-trading

CFA Institute. (2024). Measures of risk-adjusted return. https://rpc.cfainstitute.org/sites/default/files/-/media/documents/code/gips/measures-risk-adjusted-return.pdf

DeMiguel, V., Martín-Utrera, A., Nogales, F. J., & Uppal, R. (2020). A transaction-cost perspective on the multitude of firm characteristics. The Review of Financial Studies, 33(5), 2180-2222.

Dubil, R. (2004). Optimal dollar-cost-averaging. Journal of Asset Management, 4(6), 391-407.

Felix, B. (2020). Dollar cost averaging vs. lump sum investing. PWL Capital. https://pwlcapital.com/wp-content/uploads/2024/08/Dollar-Cost-Averaging-vs-Lump-Sum-Investing.pdf

FINRA. (n.d.). Key terms for tough times: The vocabulary of stressed markets. https://www.finra.org/investors/insights/key-terms-tough-times-vocabulary-stressed-markets

Frazzini, A., Israel, R., & Moskowitz, T. J. (2018). Trading costs of asset pricing anomalies. Fama-Miller Working Paper. https://alphaarchitect.com/wp-content/uploads/2021/08/Factor_Investing_and_Trading_Costs.pdf

Goodwin, T. H. (1998). The information ratio. Financial Analysts Journal, 54(4), 34-43.

Grinold, R. C., & Kahn, R. N. (2000). Active portfolio management: A quantitative approach for producing superior returns and controlling risk (2nd ed.). McGraw-Hill.

Hayley, S. (2012). Dollar cost averaging: The role of cognitive error. Cass Business School Working Paper.

Li, F., Chow, T. M., Pickard, A., & Garg, Y. (2019). Transaction costs of factor-investing strategies. Financial Analysts Journal, 75(2), 62-78. https://doi.org/10.1080/0015198X.2019.1567190

Magdon-Ismail, M., & Atiya, A. F. (2004). Maximum drawdown. Risk, 17(10), 99-102.

Marek, P., & Šedivá, B. (2017). Effectiveness of trading strategy based on RSI. European Financial Systems 2017, 381-388.

Morgan Stanley. (2024). Dollar-cost averaging vs. lump-sum investing. https://www.morganstanley.com/articles/dollar-cost-averaging-lump-sum-investing

Northwestern Mutual. (n.d.). Is dollar cost averaging better than lump sum investing? https://www.northwesternmutual.com/life-and-money/is-dollar-cost-averaging-better-than-lump-sum-investing/

Novy-Marx, R., & Velikov, M. (2016). A taxonomy of anomalies and their trading costs. The Review of Financial Studies, 29(1), 104-147.

Panigrahi, A. K. (2021). Trend identification with the relative strength index (RSI) technical indicator: A conceptual study. SSRN Working Paper. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3986000

PWL Capital. (2020). Dollar cost averaging vs. lump sum investing. https://pwlcapital.com/wp-content/uploads/2024/08/Dollar-Cost-Averaging-vs-Lump-Sum-Investing.pdf

Sharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1), 119-138.

Sharpe, W. F. (1994). The Sharpe ratio. The Journal of Portfolio Management, 21(1), 49-58. https://web.stanford.edu/~wfsharpe/art/sr/sr.htm

Sortino, F. A., & van der Meer, R. (1991). Downside risk. The Journal of Portfolio Management, 17(4), 27-31.

Statman, M. (1995). A behavioral framework for dollar-cost averaging. The Journal of Portfolio Management, 22(1), 70-78.

Vanguard. (2023). Lump-sum investing versus cost averaging: Which is better? https://investor.vanguard.com/investor-resources-education/news/lump-sum-investing-versus-cost-averaging-which-is-better

Vanguard Research. (2012). Dollar-cost averaging just means taking risk later. The Vanguard Group.

Wilder, J. W. (1978). New concepts in technical trading systems. Trend Research.

Wong, W. K., Manzur, M., & Chew, B. K. (2003). How rewarding is technical analysis? Evidence from Singapore stock market. Applied Financial Economics, 13(7), 543-551.

四、動態門檻與量化方法

ArXiv. (2024). Optimizing quantile-based trading strategies in electricity arbitrage. arXiv preprint. https://arxiv.org/html/2406.13851v1

Caporale, G. M., Gil-Alana, L., & Plastun, A. (2020). Improving many volatility forecasts using cross-sectional volatility clusters. Journal of Risk and Financial Management, 13(4), 64. https://doi.org/10.3390/jrfm13040064

DZone. (2024). Setting thresholds with quantiles. https://dzone.com/articles/setting-thresholds-with-quantiles

García-Feijóo, L., Cascos, I., Vargas-Castrillón, A., & Gento, A. M. (2023). A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series. Computational Management Science, 20, Article 28. https://doi.org/10.1007/s10287-023-00488-6

Huang, C. S., & Lin, C. W. (2017). Pair trading based on quantile forecasting of smooth transition GARCH models. North American Journal of Economics and Finance, 39, 38-55. https://doi.org/10.1016/j.najef.2016.12.002

Li, X., Zhang, Y., & Wang, J. (2025). An automated adaptive trading system for enhanced performance of emerging market portfolios. Financial Innovation, 11, Article 54. https://doi.org/10.1186/s40854-025-00754-3

Medium. (2024). Dynamic ATR trailing stop trading strategy: Market volatility adaptive system. https://medium.com/@redsword_23261/dynamic-atr-trailing-stop-trading-strategy-market-volatility-adaptive-system-2c2df9f778f2

Traders Log. (2024). A quantile approach to money flow. https://www.traderslog.com/money-flow

TradingView. (2024). Quantile DEMA trend indicator. https://www.tradingview.com/script/CvRWMQu5-Quantile-DEMA-Trend-QuantEdgeB/

五、Walk-Forward 驗證與回測方法

Arnott, R., Harvey, C. R., & Markowitz, H. M. (2019). A backtesting protocol in the era of machine learning. The Journal of Financial Data Science, 1(1), 64-74.

Build Alpha. (2024). Robustness tests and checks for algorithmic trading strategies: Complete guide. https://www.buildalpha.com/robustness-testing-guide/

Harris, M. (2020). Look-ahead bias in backtests and how to detect it. Medium. https://mikeharrisny.medium.com/look-ahead-bias-in-backtests-and-how-to-detect-it-ad5e42d97879

Interactive Brokers. (2023). The future of backtesting: A deep dive into walk forward analysis. IBKR Quant News. https://www.interactivebrokers.com/campus/ibkr-quant-news/the-future-of-backtesting-a-deep-dive-into-walk-forward-analysis/

López de Prado, M. (2018). Advances in financial machine learning. John Wiley & Sons.

Palomar, D. P. (2023). Backtesting portfolios. MAFS5310 Lecture Notes. https://palomar.home.ece.ust.hk/MAFS5310_lectures/slides_backtesting.pdf

Pardo, R. (1992). Design, testing, and optimization of trading systems. John Wiley & Sons.

Pardo, R. (2008). The evaluation and optimization of trading strategies (2nd ed.). Wiley Trading.

QuantConnect. (2024). Walk forward optimization. https://www.quantconnect.com/docs/v2/writing-algorithms/optimization/walk-forward-optimization

QuantInsti. (2023). Walk-forward optimization: How it works, its limitations, and backtesting implementation. https://blog.quantinsti.com/walk-forward-optimization-introduction/

Runbot. (n.d.). Understanding walk forward optimization: A key technique for reducing overfitting in backtests. https://runbot.io/understanding-walk-forward-optimization-a-key-technique-for-reducing-overfitting-in-backtests/

The Robust Trader. (2024). Walk forward analysis and optimization. https://therobusttrader.com/walk-forward-analysis-testing-optimization-wfa/

The Robust Trader. (2024). Parameter stability. https://therobusttrader.com/parameter-stability/

TradingTact. (2024). Do you know your strategy's optimization profile? https://tradingtact.com/strategy-optimization-profile/

White, H. (2000). A reality check for data snooping. Econometrica, 68(5), 1097-1126.

六、統計分析方法

American Psychological Association. (2020). Publication manual of the American Psychological Association (7th ed.). American Psychological Association.

Benjamini, Y., & Hochberg, Y. (1995). Controlling the false discovery rate: A practical and powerful approach to multiple testing. Journal of the Royal Statistical Society: Series B, 57(1), 289-300.

Cohen, J. (1988). Statistical power analysis for the behavioral sciences (2nd ed.). Lawrence Erlbaum Associates.

Dunn, O. J. (1961). Multiple comparisons among means. Journal of the American Statistical Association, 56(293), 52-64.

Dunnett, C. W. (1955). A multiple comparison procedure for comparing several treatments with a control. Journal of the American Statistical Association, 50(272), 1096-1121.

Efron, B., & Tibshirani, R. J. (1993). An introduction to the bootstrap. Chapman and Hall.

Faul, F., Erdfelder, E., Lang, A.-G., & Buchner, A. (2007). G*Power 3: A flexible statistical power analysis program for the social, behavioral, and biomedical sciences. Behavior Research Methods, 39(2), 175-191.

Fisher, R. A. (1925). Statistical methods for research workers. Oliver and Boyd.

Kirk, R. E. (2013). Experimental design: Procedures for the behavioral sciences (4th ed.). SAGE Publications.

Levene, H. (1960). Robust tests for equality of variances. In I. Olkin (Ed.), Contributions to probability and statistics: Essays in honor of Harold Hotelling (pp. 278-292). Stanford University Press.

Pearson, K. (1896). Mathematical contributions to the theory of evolution. III. Regression, heredity, and panmixia. Philosophical Transactions of the Royal Society of London. Series A, 187, 253-318.

Shapiro, S. S., & Wilk, M. B. (1965). An analysis of variance test for normality (complete samples). Biometrika, 52(3-4), 591-611.

Tukey, J. W. (1949). Comparing individual means in the analysis of variance. Biometrics, 5(2), 99-114.

Welch, B. L. (1951). On the comparison of several mean values: An alternative approach. Biometrika, 38(3-4), 330-336.

七、研究方法與學術品質

Behavioral Finance Preprint. (2025). Psychological biases in investment decisions: A behavioral finance approach. Preprints.org. https://www.preprints.org/manuscript/202502.2000/v1

BSIC - Bocconi Students Investment Club. (2023). Modelling transaction costs and market impact. https://bsic.it/modelling-transaction-costs-and-market-impact/

Dewasiri, N. J., Weerakoon, Y. K. B., & Azeez, A. A. (2018). Mixed methods in finance research: The rationale and research designs. International Journal of Qualitative Methods, 17(1), 1-13. https://doi.org/10.1177/1609406918801730

Jiang, J., Liu, B., & Yang, J. (2022). Methodological variation in empirical corporate finance. The Review of Financial Studies, 35(2), 527-579. https://doi.org/10.1093/rfs/hhab038

八、資料來源

Financial Modeling Prep. (2024). Stock market API. https://financialmodelingprep.com/

FinMind. (2024). 台灣金融資料 API. https://finmindtrade.com/

台灣證券交易所. (2024). 公開資訊觀測站. https://mops.twse.com.tw/