動能 (金融)

動能（英語：momentum）是金融領域的術語，即觀察上漲或下跌的資產價格或投資報酬有繼續上漲或下跌的趨勢。研究顯示過去表現強勁的股票，在下一個期間通常繼續優於過去表現較差的股票，提供平均每月約1%的超額回報。^[1]^[2]金融分析師會在其買賣建議中使用動能訊號（例如52週高點）作為參考。^[3]

動能的存在是金融理論難以解釋的市場異常現象，其困難在於理論上資產價格上漲本身並不應該引起進一步的上漲。根據效率市場假說，僅有在供需變動或有新資訊出現時（參見基本分析）才能保證這樣的上漲。大多數金融經濟學學者將動能的出現歸因於認知偏誤，認為其屬於行為經濟學的範疇，原因是行為經濟學認為投資者是不理性的^[4]^[5]，他們對新資訊的反應不足，未能將新聞即時的考量進交易價格中。然而，有其他研究主張，如同價格泡沫的發生，即使在交易者完全理性的情況下，也可以觀察到動能。^[6]

參見

Carhart四因子模型
動能投資
技術分析

外部連結

動能投資和交易信號權威指南（頁面存檔備份，存於網際網路檔案館）（英語）

參考資料

^ Jegadeesh, N; Titman S. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. NBER Working Paper. 1999, (7159).
^ Jegadeesh, N; Titman S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance. 1993, 48 (48): 65–91. S2CID 13713547. doi:10.1111/j.1540-6261.1993.tb04702.x.
^ Low, R.K.Y.; Tan, E. The Role of Analysts' Forecasts in the Momentum Effect (PDF). International Review of Financial Analysis. 2016, 48: 67–84. doi:10.1016/j.irfa.2016.09.007.
^ Daniel, K; Hirschleifer D; Subrahmanyam A. A Theory of Overconfidence, Self-Attribution, and Security Market Under and Over-reactions. Journal of Finance. 1998, (53). S2CID 155014440. doi:10.2139/ssrn.2017. hdl:2027.42/35542  .
^ Barberis, N; Shleifer A; Vishny R. A Model of Investor Sentiment. Journal of Financial Economics. 1998, 49 (49): 307–343. S2CID 17623242. doi:10.1016/S0304-405X(98)00027-0.
^ Crombez, J. Momentum, Rational Agents and Efficient Markets. The Journal of Psychology and Financial Markets. 2001, 2 (2): 190–200. S2CID 155049349. doi:10.1207/S15327760JPFM0204_3.

[1] Jegadeesh, N; Titman S. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. NBER Working Paper. 1999, (7159).

[2] Jegadeesh, N; Titman S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance. 1993, 48 (48): 65–91. S2CID 13713547. doi:10.1111/j.1540-6261.1993.tb04702.x.

[3] Low, R.K.Y.; Tan, E. The Role of Analysts' Forecasts in the Momentum Effect (PDF). International Review of Financial Analysis. 2016, 48: 67–84. doi:10.1016/j.irfa.2016.09.007.

[4] Daniel, K; Hirschleifer D; Subrahmanyam A. A Theory of Overconfidence, Self-Attribution, and Security Market Under and Over-reactions. Journal of Finance. 1998, (53). S2CID 155014440. doi:10.2139/ssrn.2017. hdl:2027.42/35542  .

[5] Barberis, N; Shleifer A; Vishny R. A Model of Investor Sentiment. Journal of Financial Economics. 1998, 49 (49): 307–343. S2CID 17623242. doi:10.1016/S0304-405X(98)00027-0.

[6] Crombez, J. Momentum, Rational Agents and Efficient Markets. The Journal of Psychology and Financial Markets. 2001, 2 (2): 190–200. S2CID 155049349. doi:10.1207/S15327760JPFM0204_3.

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