This dissertation consists of three essays on investments. The first essay examines the incidence, determinants, and consequences of hedge fund share restriction changes. This paper finds that nearly one in five hedge funds change their share restrictions (e.g., lockup) over the period of 2007-2012. Share restriction changes are not random. Fund’s asset illiquidity, liquidity risk, and performance are related to share restriction changes. A hazard model indicates that funds who actively manage liquidity concerns live longer by adjusting share restrictions. The paper examines whether changes in share restrictions create an endogeneity bias in the share illiquidity premium (Aragon, 2007) and find that 18% of the premium can be explained by the dynamic nature of contract changes. The second essay examines why mutual funds appear to underperform hedge funds. Utilizing a unique panel of mutual fund contracts changes, this paper explores several possible channels, including: alternative investment practices (e.g., short sales and leverage), performance-based compensation, and the ability to restrict the funding risk of fund flows. This paper documents that over our sample period, mutual funds were more likely to shift their contracting environment closer to that of hedge funds. However, this shift provided no benefit to mutual funds and the paper finds no causal link between these contract changes and improvements in performance. Rather, this paper casts doubt on the binding nature of investment restrictions in the mutual fund industry. The third essay examines whether the 52-week high effect (George and Hwang, 2004) can be explained by risk factors. The paper finds that it is more consistent with investor underreaction caused by anchoring bias: the presumably more sophisticated institutional investors suffer less from this bias and buy (sell) stocks close to (far from) their 52-week highs. Further, the effect is mainly driven by investor underreaction to industry instead of firm-specific information. The 52-week high strategy works best among stocks whose values are more affected by industry factors. The 52-week high strategy based on industry measurement is more profitable than the one based on idiosyncratic measurement.

This thesis extends the 52-week high momentum literature, which was first published by George and Hwang in 2004, by stressing the parameters of the trading strategy to investigate its robustness. George and Hwang, in their seminal paper, find that the ratio of a stock’s close price to its 52-week high price is a good predictor of future returns. The thesis stresses various parameters of the strategy - such as the percent of total stocks bought and sold each period – and applies the strategy over different time periods – such as bull and bear markets. The study finds that the strategy is more profitable over the later half of the data set due to underperformance in bear markets such as the 1929 market crash and subsequent Great Depression. The results also show a significant difference in profitability between bull and bear market periods. The second half of the thesis looks at a new area in momentum, the absolute 52-week high. The strategy buys stocks whose price has increased over the previous six months, and who also close to their 52-week high price. Stocks are only bought (sold) if their price has increased (decreased) over the past six months and is close to (far from) the 52-week high price. The aim is to cut out stocks that are considered to be underperforming in the 52-week high momentum strategy, leaving only true winner and loser stocks. This strategy was found to increase the strength of the 52-week high momentum strategy, and the results show that there is no longer a significant difference between bull and bear market returns.

本研究以台灣證券交易所1995年2月至2008年所有上市公司的資料為樣本，比較Jegadeesh and Titman (1993)提出的價格動能策略、Moskowitz and Grinblatt (1999)提出的產業動能策略以及George and Hwang (2004)的52週高價動能策略之間的獲利能力。研究分別進行了月平均報酬比較、元月效果檢視、配對比較、迴歸分析以及加入定錨效果的強韌性檢視。 / 結果發現，在持有期為6個月下，只有52週高價動能策略的獲利能力為顯著且報酬率最佳，月平均報酬率達1.12%，且其對報酬率的解釋能力無法被價格動能策略或產業動能策略給替代，然而52週高價動能策略卻能部分替代價格及產業動能策略的解釋能力，顯示52週高價動能策略相較於價格及產業動能策略而言有優勢性。本研究也發現動能策略投資組合的報酬率存在元月效應，無論是哪一種動能策略的贏家或輸家，在一月份的報酬皆大幅顯著的高於其他11個月份，顯示元月效應的確存在且會影響分析的結果。 / 而最後在迴歸分析裡，結果顯示在控制了公司市值、前一期報酬率、各動能投資策略的影響後，無論是全樣本或一月份除外，依然只有52週高價動能策略的獲利能力是顯著的。然而在經過F-F三因子模型風險調整後，各動能策略投資組合的報酬率皆下降，其中價格動能策略投資組合有顯著的負報酬率，而產業動能策略與52週動能策略投資組合則有不顯著的負報酬率，顯示動能投資策略可能暴露在市場風險下，投資人在採用動能投資策略進行投資決策時應謹慎對待。而強韌性的結果顯示加入定錨效果指標後，其對本研究之結果無顯著的改變。

在選定樣本期間1975-2009年下，動能操作策略在日本股市無法獲得顯著正報酬。在三個子樣本期間：1975年-1989年、1990年-1999年以及2000年-2009年下也獲得相同結論，顯示日本股市不存在動能效應。 動能操作策略中的贏家、輸家排序，與公司的財務特性有關。整體而言，輸家股票在平均成交量、平均市值上皆小於贏家股票。另外，動能操作策略在日本股市的月報酬並沒有明顯季節性變化。 本論文比較文獻上提出的三種不同動能操作策略：歷史報酬率法、52週高點法與移動平均比率法在日本股市的績效表現。三者在日本股市皆無法獲得顯著報酬。最後，進行動能操作策略的形成期間分析。在持有期間第11個月至第18個月內，日本股市出現價格反轉情形。根據形成期間歷史報酬率高低，採用前17個月至前12個月的六個月累積歷史報酬率作為選股依據，採取反向操作策略，發現日本股市存在價格反轉現象。 / Momentum strategies do not yield significant positive returns in the Japanese stock market in the sample period (1975 to 2009). In the three sub-periods, 1975 to 1989, 1990 to 1999 and 2000 to 2009, it demonstrates the same conclusion. Momentum effect does not exist in the Japanese stock market. This study shows that the ranking order of winners and losers is associated with financial characteristics of firm. Overall, average trading volume and average market value of losers stocks are both smaller than those of winners stocks. In addition, the monthly return of momentum strategies has no significant seasonal pattern in the Japanese stock market. In this study, we compare the performance of three different momentum strategies: JT’s individual stock momentum, the 52-week high and the moving average ratio in the Japanese stock market. All of three strategies in the Japanese stock market cannot receive significant profits. Final section tests the periodical analysis of momentum strategies. When extending the holding period, we can find that Japanese stock market experiences price reversal from the 11th to 18th months. According to the historical return in formation period, we choose six-month accumulated historical return (17 to 12 months prior to portfolio formation) as the stock selection principle. Under this contrarian strategy, we find that the Japanese stock market has phenomenon of price reversal.