<p>This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). Our results are not coherent with previous studies conducted on the U.S market or theworld market, instead our results indicate that the Swedish stock exchange’s sector indices experience acontrarian effect over the intermediate time period. The results are adjusted for systematic risk and aresignificant on the 5%-level. Our result show that the weak form of the efficient market hypothesis isviolated and we therefore believe that a demand exists for easy and convenient investment vehicles withsector specific exposure, which could have a positive effect on the efficiency of the market.</p>

This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). Our results are not coherent with previous studies conducted on the U.S market or theworld market, instead our results indicate that the Swedish stock exchange’s sector indices experience acontrarian effect over the intermediate time period. The results are adjusted for systematic risk and aresignificant on the 5%-level. Our result show that the weak form of the efficient market hypothesis isviolated and we therefore believe that a demand exists for easy and convenient investment vehicles withsector specific exposure, which could have a positive effect on the efficiency of the market.

大約自1980年代初期開始，效率市場理論漸漸受到許多經由實證發現的市場異象(Anomalies)之挑戰，其中最具代表性的就是規模效應與價值效應(淨值市價比現象)。受到這些實證發現的啟示，如何針對股票市場中不同區隔的股票進行風格投資(Style Investing)早已經成為資產管理中的核心議題。學術界與實務界並開始逐漸針對多重風格(Multi-Style)投資組合進行研究，期望能發掘更多投資機會與策略意涵。 本研究採用1993年10月至2002年間台灣證券交易所非金融類上市普通股為研究對象，參考Ahmed、Lockwood and Nanda(2002)的分類與模擬方式，探討根據規模與價值雙重分類所形成的各種單一風格投資組合與多重風格投資組合之報酬率差異情形，並進行各風格投資組合之投資終值模擬。為了驗證輪動策略的價值，本研究更進一步以不同風格投資組合配對進行完美預見(Perfect Forecasting)輪動模擬。 根據實證結果顯示，台灣股市中價值類投資組合(價值股、大型價值股、小型價值股)報酬率顯著高於成長類投資組合(成長股、大型成長股、小型成長股)，而大型類投資組合與小型類投資組合間沒有產生顯著的報酬差異，但大型類與小型類間的報酬差變動有助於提升輪動策略的績效。 經由不同風格投資組合配對之完美預見(Perfect Forecasting)輪動模擬，顯示出輪動策略確實具有相當的潛在投資價值，且以多重風格投資組合進行輪動策略可以獲得更佳的模擬結果。

此篇論文利用馬可夫狀態轉換模型實證出在歐元區的股票市場中，以規模溢酬、價值溢酬以及市場溢酬建構的投資組合存在兩個不同的情境狀態。以歐元區市場溢酬和規模溢酬建構的投資組合(SMB portfolios)在牛市存在較高的平均報酬，另一方面以價值溢酬建構的投資組合(HML portfolios)則在熊市有較高的平均報酬。而以規模溢酬、價值溢酬以及歐元區市場溢酬建構的投資組合，其報酬率變異數在熊市皆比牛市來得高。由於此篇論文實證出不論在樣本內或樣本外的測試中，以規模溢酬以及價值溢酬建構的投資組合，其特色反轉投資策略皆優於買入並持有的投資策略，因此本篇論文建議，在歐元區以規模因素（size factor）及帳面價值與市價比因素（book-to-market factor）為考量建構投資組合時，考慮規模溢酬以及價值溢酬在不同情境狀態下的反轉異常現象是重要且不可忽視的課題。 / This paper documents the presence of two regimes in the joint distribution of stock returns on European market premium portfolio and portfolios tracking size- and value effects in the Euro area. The mean returns of the EMU market portfolio and SMB portfolios are higher in the bull state while the mean return of the HML portfolio is larger in the bear state. Volatilities of the EMU market portfolio, SMB portfolio and the HML portfolio are all larger in the bear state compared to the bull state. This paper uses the Markov regime-switching model to generate the switching signal of market, size and value portfolios in the stock market and reallocates the market, size and value portfolios in the stock market by the mean-variance approach. Since both in the in-sample and out-sample test, the performance of the style rotation strategy outperforms style consistent strategy of the SMB portfolio and HML portfolio, this paper proposes that when analyzing investments in returns of size and value portfolios in the European market, it is important for us to account for anomalies for size and value effects in European market under different regimes. In the regime-switching VAR(1) model to account for the net capital flow predictability on the stock returns of EMU market, SMB and HML portfolios and the interrelationships among these variables. The result shows that adding the European Union net capital flow in relation to the economy's size as the predictor variable to the regime switching VAR(1) model, it improves the asset allocation outcomes both in the in-sample and out-sample test. Furthermore, this paper has found that both in the bull and bear states, the impulse response function shows that a shock of one standard deviation of net capital inflows last month will reduce the EMU market return up to near three months. Besides, the net capital inflow shock in European stock market will generates appreciation of companies with low book-to-market ratios (growth stocks) and large-sized firms in the bull state, while it generates appreciation of companies with high book-to-market ratios (value stocks) in the bear state.