20(ӆ୍ֻ7௹,72006(ሹֻ313௹)ཬϲᆣಊሧࠎࣁਈࢌၞྛູ֥ࣜဒ࣮ྷࢮभᅋေ:Ч໓ൌᆣဒਔᇏݓᆣಊሧࠎࣁਈࢌၞྛູbࢲݔіૼ,ࠎࣁሹุѩ҂іགྷູਈࢌၞᆀ,ఃࡹҝࠇઙದൈіགྷູਈࢌၞᆀ,طౢҝࠇછԛൈіགྷّູሇࢌၞᆀb҂ڄ۬ࠎࣁܼٗҐႨਈّࠣሇࢌၞҦ,ѩࠎࣁሧࠃሹุࡆਔ۱ܢࡎᆴؿགྷݖӱbܱՍ:ᆣಊሧࠎࣁ;ਈࢌၞ;ّሇࢌၞ;ྛູࣁವᇏٳোݼ.:F83091໓ངѓ്:A໓ᅣщݼ:1uXٗ-72ᄅ6१lຣ)o7၂113၂roࠎࣁ൞ڎ൞oሔᅨ೪יp֥ᆞّঌࢌၞ(ਈࢌၞ)ᆀ?ቔູᇏݓܢ൧ᇶ৯ሧࠏܒ,ࠎࣁ֥ࢌၞྛູࠣఃؓᆣಊࡎ֥۬႕ཙᇔ൞൧ӆܱᇿ֥ࢊׄbຐkonis,hokShleiferބVishny(1992)ؿགྷᄝૅݓܢ൧,အࠎࣁ(pensionfunsd)թᄝѩ҂ཁᇷ֥ᆞّঌࢌၞࠣရಕྛູ,Gr,inblatTimanބWeermrs(1995)ؿགྷ܋ࠎࣁ(mutualfunsd)ܼٗҐႨਈࢌၞҦ,Weremb(199)ၧؿགྷোරࢲݔbNofsingerބSias(199)ᄵؿགྷࠏܒሧᆀཌྷؓ۱ದሧᆀіགྷԛ۷఼ਛ֥ᆞّঌࢌၞྛູ,طBaࠌinathބWahሩ(2002)ؿགྷࠏܒሧᆀઙೆܢௐൈіགྷູਈࢌၞᆀطછԛܢௐൈіགྷّູሇࢌၞᆀbݓଽ༢ྟ࣮ࠎࣁਈࢌၞྛູ໓ངᇀࣂࢠູഒbЧ໓ၛ1998୍6ᄅᇀ20(ᆺ୍6ᄅᇏݓܢ൧ᆣಊሧࠎࣁ࠱БᇗҝܢቆކູဢЧ,༢ֹॉҳਔࠎࣁ֥ਈࢌၞྛູbЧ໓ᇶေ܊ངᄝႿ:၂ࡼࠎࣁࢌၞࠃٳູࡹҝaౢҝaӻҝטᆜၛࠣઙದaછԛ֩5ᇕো,ൌᆣؿགྷࠎࣁᄝࡹҝ(ࠇઙದ)ൈіགྷູਈࢌၞᆀطౢҝ(ࠇછԛ)ൈіགྷّູሇࢌၞᆀ;ؽ.ࡼࠎࣁοሧڄ۬߃ٳູࠒࠞӮӉa໗ࡲӮӉ֩4ᇕো,ൌᆣؿགྷ҂ڄ۬ࠎࣁܼٗҐႨਈّࠣሇࢌၞҦ,ಖطࡎᆴࠎࣁࢠӮӉࠎࣁіགྷԛ۷ૼཁ֥ਈࢌၞྛູ;.ؓࠎࣁࡹҝࠣౢҝ۱ܢหᆘٳ༅іૼ,ࠎࣁሧࠃႵᇹႿࡆ۱ܢ֥ࡎᆴؿགྷݖӱ,ّ႘ԛࠎࣁཌྷؓఃሧᆀॖିऎႵ၂קྐ༏Ⴊ൝bՎຓ,Ч໓ᆌؓဢЧหׄഡ࠹ਔԷྍྟ࣮ٚمࣉྛਔਗ਼Ͽྟဒb໓ᇏᇶေൌᆣࢲݔनႮSASೈࡱщӱ࠹ෘ֤֞bЧ໓ࢲܒνஆೂ༯:ֻ၂҆ٳູ໓ང߭ܤ;ֻؽ҆ٳູဢЧඔऌ࣮ࠣٚم;ֻ҆ٳູൌᆣࢲݔࠣٳ༅,ఃᇏЇওਗ਼Ͽྟဒ֩ଽಸ;ֻඹ҆ٳູಆ໓ࢲંb൬۠ರ௹:2Էຉ၂03၂16ቔᆀࡥࢺ:ྷࢮ(1971၂,)ૅݓڠࠝୄ۽ᇜ৫ն࿐(VirginiaTech)ࣁವѰൖള,฿ࣃҍࣜն࿐࡙ᆯ࢝൱,܂ᆯႿᇏݓളၿྛഈݚٳྛݓ࠽ြༀ҆;भ(1972၂,)࠶ն࿐Ѱൖ,ࡾ༆ҍࣜն࿐ࣁವ࿐ჽڬ࢝൱b113
114ࣂϲၫሹֻ313௹၂໓ང߭ܤDeӋngetal(l99())ᄝఃᆞّঌࢌၞଆᇏࡼᆞّঌࢌၞᆀ(positivefee౷acktrade,rࠧਈࢌၞᆀ)૭ඍູ൝ሔᇯᆀ,ࠧ֒ܢࡎഈᅨൈઙࣉ༯יൈછԛ,ѩᆷԛᆞّঌࢌၞྛູॖିႄఏࡎ۬ਈbH,ongStein(199)ྐ༏ᇯࡶঔଆၧႄದਔਈࢌၞᆀ(momentumtra,der)ѩหљᆷԛࠏܒሧᆀ֥ਈࢌၞbӋ,konishokShleiferބVishny(192)ၛ1985ᇀ1989୍အࠎࣁ֥࠱؇ӻܢቆކູဢЧ,ؿགྷࠎࣁ֥ࣜᆞّঌࢌၞࠣရಕྛູࣇթᄝႿཬ൧ᆴ۱ܢᇏ,ѩಪູᆃোࢌၞྛູѩ҂၂קႵ൧ӆིੱbn-Gri,blatTimaބweermIns(195)ဒਔ274ࡅ܋ࠎࣁ֥࠱؇ӻܢቆކ,ؿགྷჿ7%֥ࠎࣁҐႨਈࢌၞҦ,ᇶေіགྷູઙೆݖಀ֥႓ࡅط٤છԛൻࡅ,ಖط҂ڄ۬ࠎࣁ֥ਈࢌၞྛູթᄝࢠնҵၳ,ࣉ၂҄ؿགྷіૼҐႨਈࢌၞҦ֥ࠎࣁіགྷႪႿఃࠎࣁbwermers(199)ၛ1975ᇀ194୍܋ࠎࣁ࠱؇ӻҝູဢЧ,ؿགྷӮӉࠎࣁᄝཬ൧ᆴ۱ܢࢌၞᇏթᄝ۷఼ਛ֥ᆞّঌࢌၞࠣရಕྛູbNofsingerބSias(1999)ၛ1977ᇀ1996୍ࠏܒሧᆀ୍؇ӻҝቆކູဢЧ,ؿགྷࠏܒሧᆀཌྷؓႿ۱ದሧᆀթᄝ۷ཁᇷ֥௹ଽ(i၂ntraperiod)ਈࢌၞࠣရಕྛູ,ѩಪູᆃ၂ࢲݔژކࠏܒሧᆀཌྷؓ۱ದሧᆀऎႵྐ༏Ⴊ൝֥ࡌഡbBadrinathބWahal(202)Ϝࠏܒሧᆀࢌၞࠃٳູࡹҝ-(ent೩a)ౢҝ(exit)ބӻҝטᆜ(adjustmentstoonࠧingholdings)3ᇕো,ॉҳਔ12(X)ࡅࠏܒሧᆀᄝ1987ᇀ1995୍֥࠱؇ӻҝቆކ,ؿགྷࠏܒሧᆀࡹҝൈіགྷູਈࢌၞᆀ,ౢҝၛࠣӻҝטᆜൈіགྷّູሇࢌၞᆀ,ѩࡹҝaౢҝᇶေᆌؓཬ൧ᆴ۱ܢطӻҝטᆜᇶေᆌؓն൧ᆴ۱ܢbૌߎؿགྷ҂োބ҂ڄ۬ࠏܒሧᆀສສҐႨ҂ࢌၞҦ,ೂӮӉڄ۬ࠏܒሧᆀౠཟႿਈࢌၞᆀطࡎᆴڄ۬ሧᆀౠཟႿّሇࢌၞᆀbYang(202)ؿགྷຓݓࠏܒሧᆀᄝຖܢ൧ౠཟႿҐ౼ّሇࢌၞҦ,Kaminsky,LyonsandSchmukler(2(X॓)ၛ13ࡅঘૅ܋ࠎࣁ࠱؇ӻҝቆކູဢЧ,ؿགྷ܋ࠎࣁᄝঘૅྍྖ൧ӆഈіགྷԛ఼ਛ֥ਈࢌၞྛູbݓଽ༢ֹ࣮ᆣಊሧࠎࣁਈࢌၞ֥ཌྷܱ໓ངᇀࣂࢠູഒbؽ.ဢЧ࣮ࠣٚم(၂)ဢЧඔऌ૭ඍݓᆣಊሧࠎࣁԛགྷႿ1998୍4ᄅ,ᇀ20(એ୍6ᄅٿоൔބष٢ൔࠎࣁሹࡅඔၘӑݖϤჅࡅ,ܢௐሧܿଆӑݖతၡჭbሱ1998୍2࠱؇ष,ࠎࣁૄ࠱ྶ܄҃࠱؇ሧቆކ,ᇶေЇও࠱ଌᅝ࣪ᆴб২భ10ᇗҝܢӫa൧ᆴaඔਈaᅝ࣪ᆴб২ၛࠣܢௐaᅏಊሧܿଆ֩ྐ༏bՎຓ,ሱ2၎K)୍ఏ,ࠎࣁૄ୍ߎྶ܄҃϶୍Б୍ࠣБ,ა࠱Б҂֥൞,϶୍Б୍ࠣБ܄҃ਔ௹ଌࠎࣁӻႵ෮Ⴕܢௐૼ༥bЧ໓ၛ1998୍2࠱؇ᇀ2uX୍2࠱؇(܋25࠱)෮Ⴕᆣಊሧࠎࣁ࠱ଌӻႵ֥ᅝ࣪ᆴб২భ10ᇗҝܢູဢЧ,ؓဢЧඔऌࣉ၂҄ԩೂ༯:l)ัԢᅏಊࠎࣁ;2)ᆷඔࠎࣁ࠱؇ቆކัԢᆷඔሧ҆ٳ,ᆺЌࠒࠞࠇᄹ఼ሧ҆ٳ;3)ัԢࠎࣁ࠱؇ӻ
2ၛె୍ֻ7௹ᆣಊሧࠎࣁtࢌၞྛູ֥ࣜဒ࣮1ెܢቆކᇏണܓ֥ໃഈ൧ྍܢbࠎࣁ࠱Бၛࠣ϶୍Бa୍БඔऌটჷႿഈݚऊჷ(JYFX)ඔऌ९ٳ༅༢bᇗҝܢࢌၞࠣҍༀඔऌটჷႿഈݚຣ֣(wlND)ሧඔऌ९༢,ఃᇏ۱ܢࡎ۬ඔऌၛഈ൧ರູࠎׄཟުگಃ,ॉ੮ਔٳޣaෂࠣᄹؿ֩ؓܢࡎ֥႕ཙ,ᄝൈࡗഈऎႵॖбྟބ၂ᇁྟbі1БۡਔԢᅏಊࠎࣁຓ,ཌྷႋ۲࠱ၘ܄҃࠱Б֥ࠎࣁࡅඔࠣܢௐሧܿଆ֩ଽಸ,і2БۡਔԢᅏಊࠎࣁބᆷඔࠎࣁຓ,ཌྷႋ۲࠱ࠎࣁᇗҝܢ൧ᆴᅝ֒࠱ܢௐሧ൧ᆴб২֥ࢩ૫नᆴ(ࠢᇏ؇,)ཁൕࠎࣁᇗҝܢᄝޓնӱ؇ഈսіਔࠎࣁሹุሧࠃbі1ࠎࣁ૭ඍྟ࠹࠱؇ࠎࣁࡅඔࠎࣁܢௐሧܿଆनܢௐሧб২(ຣჭ)(%)...98022248164585948...9902l0236()7(X)958068ߋᇝ॓.81266784...0102364647491186364...0202545770543146585...0302757125739766071...040210512125787746542і2ࠎࣁҝܢሧࠢᇏ؇࠱؇భ3ᆺ۱ܢࠢᇏ؇భ5ᆺ۱ܢࠢᇏ؇భ10ᆺ۱ܢࠢᇏ؇(%)(%)(%)....9802358350456957....9902269638895652....00233894721667..0102330146136732....0202199327924325....0302272039306024....0402245235905651..Aver(25࠱)28864046590ᇿ:Averᆴູ25۱࠱؇֥नᆴb(ؽ)࣮ٚمЧ໓ҐႨᄝGnribla,ttTimanބWeerSrm(1995)ࠎԤഈࣉྛਔڿࣉ֥Badrinathބ,wahal(202)ਈҩ؇ITMmj(kl)টॉҳࠎࣁ֥ਈࢌၞྛູ,ITM,jt(kl=)ၜ(ᓾ,၂w၂,,)(R;Ѿ*၂Rሃ,Ѿm(1)
116ࣂϲѳሹֻ313௹ؽൃHo_m.ఃᇏ:wb=༯၂(2)ၜൃbُၛഈ(1၂)(2)ൔᇏ:wljtіൕࠎࣁjᄝt࠱ଌӻႵܢௐi֥ಃᇗ,.pіൕ௹ଌܢௐࡎ۬,ُіൕ௹ଌӻܢඔਈ,ؽᆀӰࠒູ௹ଌ൧ᆴ,Nູቆކᇏ۱ܢඔଢ(Ч໓ᇝ,ॖᆰࢤႮ۱ܢ௹ଌ൧ᆴԢၛ௹ଌܢௐሹ൧ᆴ֤֞,);nϖ(kl)ख़߃ਔࠎࣁҝ໊טᆜაᇌު൬ၭᆭࡗ֥ܱ༢,іൕt࠱ࠎࣁj֥ਈҩ؇,ھᆴཁᇷնႿ0іૼھࠎࣁҐ౼ਈࢌၞҦ,ཁᇷཬႿ0іૼھࠎࣁҐ౼ّሇࢌၞҦ;Rm,:၂*іൕ۱ܢiᇌުk۱࠱؇֥ӻႵ௹߭Б,Rb,Ѿ*ᄵіൕ൧ӆቆކ֥ӻႵ௹߭Б,kіൕᇌު࠱؇ඔ,lіൕಃᇗэ߄ҩ؇ࡗۯ࠱؇ඔ,Ч໓lؽb1ູਔ۷ሙಒّ႘ࠎࣁҝ໊э߄,х૧ႄದФਈ(pass,ivemomentum)Ч໓ߎႄದਔHRatio,ᆷѓ:ᇳؽᄅದaວmؽ.io=ؽᆶ3๒ླྀ၂()l(3)ൔᇏH,іൕࠎࣁjᄝt௹ଌӻႵܢௐiඔਈ,HRatib,ّ႘ཌྷਣ2࠱ӻܢඔਈэ߄,HRၛio,>,1іൕᄹҝࢌၞ,<1ᄵіൕࡨҝࢌၞbაBadrinathandWahal(202)၂ᇁ,ૌϜt௹ࠎࣁࢌၞྛູٳູၛ༯3ᇕো:l)ࡹҝ,ࠧw၂,,=O,HatRio,=m;2)ౢҝ,్ࠧit=,0HatRio,=o;3)ӻҝטᆜ,ࠧw,ႃؽb၂,,ႃoHatRio,ႃl;Վຓ,ູဒࠎࣁሹุઙದࠣછԛࢌၞྛູ,ૌᄝ,GrtinblatTimaބWeoers(l95)ࠣBadrinathބwahal(2002)ࠎԤഈቔਔࣉ၂҄ڿࣉ,ࡼࠎࣁࢌၞྛູٳູၛ༯2ো:1)ઙದ,Їওࡹҝࠣᄹҝ,ࠧa၂1,<్,,HRatiojJ,ؽaOࠇHRatioijt>l;2)છԛ,Їওౢҝࠣࡨҝ,ࠧwbz:<wijt၂,,HaRtio,=0ࠇHaRtiob<1:ླေᆷԛ֥൞,ૌؓႿࡹҝაౢҝ֥ק၇ऌཌྷਣ2࠱ӻܢؓб,ႮႿ൳֞ࠎࣁ࠱БቆކᆺЇও10ᆺᇗҝܢཋᇅ,ၹطᄝ۱љ࠱؇ॖିԛགྷ၂ק༂ҵ,бೂଖ࠱ଖᆺ۱ܢෙԛࠎࣁ10նᇗҝܢྛਙ,ಯಖॖିФഒਈӻႵ,ၹط֝ᇁھ࠱ؓౢҝ֥ҩ؇Ⴕொཟഈbູ࣐ਈࡨཬॖିႮՎᄯӮ֥༂ҵ,Ч໓ߎ০Ⴈ϶୍Б୍ࠣБࠎࣁӻܢૼ༥ඔऌؓࡹҝࠣౢҝࢌၞҩ؇ࣉྛਔྩᆞbՎຓ,ᄝਗ਼Ͽྟဒᇏ,ૌࡼഡ࠹٤ӈЌ൯֥ٚمࣉ၂҄ဒᆃো༂ҵॖିؓЧ໓ࢲં֥႕ཙb.ൌᆣࢲݔࠣٳ༅(၂)ࠎࣁਈࢌၞҩ؇і3Бۡਔཌྷႋ۲࠱ࠎࣁ࠱Бᇗҝܢቆކᇏࡹҝ/ౢҝन۱ܢࡅඔaࡹҝაౢҝ۱ܢ۲ᅝ࣪ᆴб২֥ࢩ૫नᆴ,ࢲݔཁൕࡹҝࠣౢҝࢌၞᄝࠎࣁᇗҝܢࢌၞࠃᇏᅝऌᇗေֹ໊,࠱؇नࡹҝ(ౢҝ)۱ܢࡅඔղ֞.359ᆺ,࠱؇न൧ᆴᅝ࣪ᆴб২ղ֞10%
2ၛຉ୍ֻ7௹ᆣಊሧࠎࣁtࢌၞྛູ֥ࣜဒ࣮117ቐႷbі3ࡹҝ/ౢҝࢌၞ૭ඍྟ࠹࠱؇ࡹҝ/ౢҝन۱ܢࡅඔࡹҝ۱ܢᅝ࣪ᆴб২ౢҝ۱ܢᅝ࣪ᆴб২....99025171910971....002250792835....0102288775934...020250612591108..0302471ె..491198ݱ....0234710241186...Aver(24࠱)3591047955ᇿ:Avreᆴູ24۱࠱؇֥नᆴbૌ࠹ෘਔૄࡅࠎࣁૄ࠱,,ITMϷ(kl)ఃᇏ,,k=012ٳљؓႋ֒࠱൬ၭaᇌު1࠱൬ၭࠣᇌު6۱ᄅ൬ၭ,൧ӆቆކ࿊Ⴈਔ൧ᆴಃᇗ൧ӆቆކ(ູဒਈҩ؇֥໗ࡲྟ,ૌߎ࿊Ⴈਔ֩ಃᇗ൧ӆቆކ,ࢲݔোර,ၹږ෮ཋ,҂ᄜሕඍb)і4ٳљਙԛਔࠎࣁሹุࢌၞaࡹҝaౢҝၛࠣӻҝטᆜਈҩ؇֥नᆴaᇏᆴaοᅶFama၂Macbeth(1973)ٚم֤֥֞t࠹ਈၛࠣਈҩ؇ᇏᆞᆴ෮ᅝб২bі5ᄵБۡਔࠎࣁઙದaછԛࢌၞਈҩ؇ཌྷႋᆴbაBadrinathandWahal(2002)၂ᇁ,ູх૧ದູॱնਈҩ؇ᆴ,ૌัԢਔ۲ࠎࣁ൮Ց࠱Бඔऌ(ၛ༯োb)Grinbla,ttTimanބWeremrs(1995)ಪູITՖശ,(01)ّ႘ਔ௹ଽ(intra၂period)ਈࢌၞ,ಖطNofsinઅrބSias(199)ࠣBadrinathބWahal(202)֩ᆷԛ,,ITMmj(ol)ၧॖିّ႘ࠎࣁရಕྛູؓ௹ଽ൬ၭ֥Ԋࠌ,ၹՎЧ໓ᇗܱׄᇿ,ITjӬm,(1l)ࠣITMᆸ(21)෮,սі֥ਈҩ؇bі4ࠣі5ࢲݔཁൕ:l)ࠎࣁሹุѩ҂іགྷູਈࢌၞᆀbI֞Ӭm,(1l)ࠣI֞Ӭm,(2l)नᆴࢥཬႿ,oन҂ཁᇷbაᆃ၂ؿགྷྙӮ༷ૼؓб֥൞,Grinblatt,TimanބWeremrs(1995)ؿགྷ܋ࠎࣁሹุіགྷູਈࢌၞᆀ,BadrinathބWahal(202)ၧؿགྷࠏܒሧᆀሹุіགྷԛ၂ק֥ਈࢌၞหᆘb2)ࠎࣁࡹҝaౢҝࠣӻҝטᆜіགྷԛࢩಖ҂֥ࢌၞଆൔ:ࠎࣁࡹҝൈіགྷԛཁᇷ֥ਈࢌၞหᆘ,I֞Ӭm,a(01)I֗Ӭm,(1l)ࠣI֞ᅳm,(2l)नᆴࢥնႿoनᄝ5%࠹ඣഈۚ؇ཁᇷ,ఃᇏIମӬm,(1l)नᆴղ֞%,,IࢸӬ©(2l)नᆴղ֞.118%,ѩनط7%(82%)֥ࠎࣁ۴ऌഈ1࠱(2࠱)۱ܢ൬ၭіགྷҐ౼ਈࢌၞҦ;ࠎࣁౢҝൈіགྷԛཁᇷّ֥ሇࢌၞྛູ,nӬ.,m,(1l)ࠣnnMj(2l)नᆴࢥູڵᆴनᄝ5%ඣഈۚ؇ཁᇷ,ѩनطჿ7%(82%)֥ࠎࣁ۴ऌഈ1࠱(2࠱)۱ܢ൬ၭіགྷҐ౼ّሇࢌၞҦ;აBadrinathބwahal(202)҂֥൞,ࠎࣁӻҝטᆜѩໃіགྷཁᇷّ֥ሇࢌၞྛູ,ITMm,j(1l)नᆴࢤ࣍Ⴟ,0Iମݧm,(2l)नᆴෙཬႿoधؓᆴޓཬ҂ཁᇷbՎຓ,ૌؿགྷࠎࣁᄹҝ(ࡨҝ)ൈіགྷԛ၂ק֥ਈ(ّሇ)ࢌၞหᆘ(ၹږ෮ཋ,ᆃ၂ࢲݔໃਙԛb)3)ࠎࣁઙದაછԛࢌၞྛູဢթᄝޓնҵၳ:აࡹҝࢌၞোර,ࠎࣁઙದܢௐൈ
115ཬٹરሹֻ3m3௹іགྷູਈࢌၞᆀ,ཌྷႋ.,aITjتm(ll)ITᓼ,(2l)नᆴٳљղ֞.106%ބ176%,ऎႵ࠹ཁᇷྟ;აౢҝࢌၞোර,ࠎࣁછԛܢௐൈіགྷّູሇࢌၞᆀ,ཌྷႋI֞Ӭٻ,a(11)Iགྷ,.(2l)नᆴٳљູ၂cc105%ࠣ၂221%,ऎႵ࠹ཁᇷྟ;ࣉ၂҄ٳ༅ؿགྷ,ઙದࢌၞაછԛࢌၞི֥࣪ݔ(ؽᆀᆭބ)֝ᇁࠎࣁሹุѩໃіགྷູਈࢌၞᆀbഈඍؿགྷіૼ,ࠎࣁሹุࢌၞྛູѩ٤ೂ൧ӆ၂Ϯಪູ֥෮໌oሔᅨ೪יp,ఃࡹҝ(ࠇઙದ)ൈౠཟႿҐ౼ਈࢌၞҦ,ࠧoሔᅨp,طౢҝ(ࠇછԛ)ൈౠཟႿҐ౼ّሇࢌၞҦ,ࠧoڇۚછԛpbՎຓ,Ԣౢҝࠣછԛࢌၞຓ,ITMmj(O,l)नᆴࢥཁᇷ٤,0ཁൕࠎࣁॖିթᄝઙٚရಕྛູbі4:ሹุ/ࡹҝ/ౢҝ/ӻҝטᆜtҩ؇ሹุࡹҝౢҝטᆜMeanMedianMeanMedianMeanMedianMeallMediallഒౡЗ........,...(01)248205168097027040059045........(576)(084)(465)(086)(133)(052)(579)(076)ਔpగ....,..(ll)၂0090ၛ075047၂079၂..051000o(၂.......052)(052)(447)(077)(၂.379)(029)(005)(052)ਔ֗ᓼ...,.(2l)၂.067၂...045118082၂165၂.141၂.019၂006(၂......163)(049)(472)(082)(၂628)(018l)Ѿ၂c.,56)(052)ᇿ:іᇏਈҩ؇ູϤٳбඔ,M~іൕनᆴ,༯ٚওݼଽູF၂~M,beth(1973)t࠹ਈ,Medianіൕᇏᆴ,༯ٚওݼଽູᆞ֥ਈҩ؇෮ᅝб২bR.ູ܄ൔ(2)ᇏ൧ᆴಃᇗ൧ӆቆކ൬ၭb*іൕ5%֥࠹ཁᇷྟඣ,**іൕ10%֥࠹ཁᇷྟඣbі5:ઙೆ/છԛࢌၞ,ҧ؇ઙದછԛMeanMedianMeallMediaб,Ipӫ..,.,.(01)206141033068....(477)(088)(122)(053)ਔ٦ؽ.....(l,1)106069၂105၂.063...(482)(079)(၂.362)(027)ਔά...,.(2l)176126၂..221၂.175....(638)(086)(၂562)(018)ᇿ:іᇏਈҩ؇ູϤٳбඔ,Meanіൕनᆴ,༯ٚওݼଽູFanӆ၂ᦟഫbe,th(1973)࠹ਈ,Medianіൕᇏᆴ,༯ٚওݼଽູᆞ֥ਈҩ؇෮ᅝб২bR.ູ܄ൔ(2)ᇏ൧ᆴಃᇗ൧ӆቆކ൬ၭb,іൕ5%֥࠹ཁᇷྟඣ,**іൕ10%֥࠹ཁᇷྟඣb(ؽ)ࠎࣁڄ۬ބࢌၞҦ۴ऌࠎࣁ֥ሧଢѓࠣሧٓຶ,ૌϜ෮Ⴕܢௐࠣொܢࠎࣁ߃ٳູ5ᇕڄ۬:ࠒࠞӮӉ(aၹᗲessivegrowtha)໗ࡲӮӉa(឴bwath)ޙ(bdanced)ࡎᆴ(value)ࠣᆷඔb(index)і6Бۡਔཌྷႋ۲࠱܄҃࠱Б֥ڄ۬ࠎࣁࡅඔ,Ч໓ᇶေ࣮భ4ᇕڄ۬ࠎࣁࢌၞྛູbݕ6:ڄ۬മࣁ࢝,૭ඍྟ࠹࠱؇ಆ҆ࠒࠞӮӉ໗ࡲӮӉޙࡎᆴᆷඔ.98022ll
20(ຉ୍ֻ7௹ᆣಊሧࠎࣁ.ࢌณྛູ֥ࣜဒ࣮119࠱؇ಆ҆ࠒࠞӮӉ໗ࡲӮӉޙࡎᆴᆷඔ.ၛ.0210539l525l6l0іa7іa8і9ࠣі10ٳљБۡਔ۲ڄ۬ࠎࣁࡹҝaౢҝࢌၞࠃ֥ਈҩ؇(ၹږ෮ཋ,ૌໃਙԛ۲ڄ۬ࠎࣁઙದࠣછԛࢌၞਈҩ؇ᆴb)ࢲݔཁൕ:l)҂ڄ۬ࠎࣁܼٗҐႨਈၛّࠣሇࢌၞҦ,іགྷູ۲ڄ۬ࠎࣁࡹҝൈਈҩ؇,,ITMmj(l1)ਔ֞ت,(2l)नᆴࢥཁᇷູᆞ,طౢҝൈਈҩ؇ਔά؇(11)ਔά,(2l)नᆴཁᇷູڵ,ᆃ၂ؿགྷൈіૼਔЧ໓ࢲݔऎႵޓݺ֥໗ࡲྟb2)҂ڄ۬ࠎࣁࡗࢌၞྛູթᄝҵၳ:ࡹҝ(ઙದ)ൈ,ࠒࠞӮӉࠎࣁཌྷؓ໗ࡲӮӉࠣޙࠎࣁіགྷԛ۷఼ਛ֥ਈࢌၞྛູ,ಖطၩຓ֥൞ࡎᆴࠎࣁіགྷԛቋ఼ਛ֥ਈࢌၞྛູ,ఃཌྷႋਈҩ؇नᆴૼཁۚႿభ3ᆀ,ᆃაࡎᆴሧڄ۬ѩ҂ཌྷژ,іૼࡎᆴࠎࣁරެ۷ಣᇓႿoሔᅨp;ౢҝ(છԛ)ൈ,ࡎᆴڄ۬ࠎࣁіགྷԛቋ఼ਛّ֥ሇࢌၞྛູ,ఃཌྷႋਈҩ؇धؓᆴૼཁնႿఃࠎࣁ,ࠎЧّ႘ਔఃࡎᆴሧڄ۬,ၛ༯၇ՑູࠒࠞӮӉڄ۬ࠎࣁ,໗ࡲӮӉڄ۬ࠎࣁބޙڄ۬ࠎࣁbഈඍؿགྷіૼ,ਈّࠣሇࢌၞҦФ҂ڄ۬ࠎࣁܼٗҐႨ,ѩࡎᆴࠎࣁބӮӉࠎࣁࢌၞྛູթᄝ၂קҵၳ,ࡎᆴࠎࣁіགྷԛ۷఼ਛ֥ਈࢌၞྛູbі7:ڄ۬ࠎࣁࡹҝࢌၞtҩ؇ࡹҝࢌၞࠒࠞӮӉ໗ࡲӮӉޙࡎᆴMeanMedianMeanMedianMeanMedianMeanMedian....,.,nླྀྏ......(0l)191103167093128074210189......,.(402)(088)(419)(078)(46())(085)(384)(093)ԫᓼ...,.(ll)0810590ၛ........)033086042125092........(406)(076)(269)(072)(3(X))(081)(363)(087).ቁa.ࡊ......१17ᆩശ,(2l)14209011106012106243318.......(496)(083)(367)(075)(365)(087)(428)(098)ᇿ:іᇏਈҩ؇ູϤٳбඔ,Meanіൕनᆴ,༯ٚওݼଽູFama၂Macbe(1973)t࠹ਈ,Medianіൕᇏᆴ,༯ٚওݼଽູᆞ֥ਈҩ؇෮ᅝб২b*іൕ5%֥࠹ཁᇷྟඣ,**іൕ10%֥࠹ཁᇷྟඣbі8:ڄ۬ࠎࣁౢҝࢌၞ.ҩ؇ౢҝࢌၞࠒࠞӮӉ໗ࡲӮӉޙࡎᆴMeanMedianMeanMedianMeanMedianMeallMediallਔ֗ᔑ....,m....(0l)037ؽ.059013007031042၂049၂014........(187)(053)(046)(054)(180)(050)(၂10)(046)nᆔ,(1l)၂..097၂.065၂...058၂.023၂.06၂.034၂..108၂.077.(၂...367)(028)(၂.250)(033)(၂.308)(025)(၂..243)(022)
120ཬϲરሹֻ313௹ౢҝࢌၞ-ਔpᓼ,ᇏ(2l)၂.184၂.......124၂.134၂106၂155၂110၂213၂.192(၂......614)(020)(၂.423)(018)(၂.417)(018)(၂351)(005)ᇿ:іᇏਈҩ؇ູϤٳбඔ,Meanіൕनᆴ,༯ٚওݼଽູοᅶF၂~MaclᇝႲ(1973)t࠹ਈ,Medianіൕᇏᆴ,༯ٚওݼଽູᆞ֥ਈҩ؇෮ᅝб২b*іൕ5%֥࠹ཁᇷྟඣ,**іൕ10%֥࠹ཁᇷྟඣb()ࡹҝ/ౢҝࢌၞ۱ܢหᆘٳ༅і9Бۡਔࠎࣁࡹҝࠣౢҝࢌၞ۱ܢหᆘ,Їও൬ၭหᆘiᇌު1࠱ބ6۱ᄅӑح൬ၭ,ࡎᆴหᆘi۱ܢܿଆ(SIZE)֩ࠩaЧၭб(E/P)֩ࠩބ࣪൧ᆴбੱ(BM)֩ࠩ,ၛࠣໃট൬ၭіགྷi֒భ࠱؇aਵ༵1࠱ࠣਵ༵6۱ᄅӑح൬ၭbՎԩӑح൬ၭᆷཌྷؓ൧ᆴಃᇗ൧ӆቆކ֥ӑح൬ၭ,ܿଆaЧၭбࠣ࣪൧ᆴбੱ֩ࠩ߃ٳٚمೂ༯:൮༵ᄝх૧భ൪༂ҵ(lok၂aheadhias)֥ࠎԤഈ࠹ෘഈඍ۲ᆷѓ,ࠧT୍5ᄅᇀT+1୍4ᄅᆷѓ࠹ෘ۴ऌT၂1୍۱ܢҍༀඔऌ,طT୍1ᄅᇀ4ᄅᆷѓ࠹ෘ၇ऌT၂2୍ҍༀඔऌ;ಖުૄ࠱οᅶഈ࠱ଌ෮ႵAܢཌྷႋᆷѓՖ֮֞ۚࣉྛ5ٳ໊ٳቆbࢲݔཁൕ:l)ࠎࣁࡹҝࠣౢҝ۱ܢᇌު1࠱ࠣ6۱ᄅӑح൬ၭࢥູᆞᆴ,ࣉ၂҄ᆣൌਔࠎࣁᄝࡹҝൈҐ౼oሔᅨpҦ,طౢҝൈҐ౼oڇۚછԛpҦb2)ࠎࣁࢌၞᇶေࠢᇏႿն൧ᆴ۱ܢ(ᇗҝܢܿଆ֩ࠩनնႿ,4)ࣉ၂҄ٳ༅ཁൕࠎࣁࡹҝ۱ܢऎႵ၂ק֥oࡎᆴܢpหᆘ,طౢҝ۱ܢऎႵ၂ק֥oӮӉܢpหᆘ,ೂభᆀЧၭб֩ࠩ.(357)ૼཁۚႿުᆀ֥Чၭб֩ࠩ.,(285)ᆃ၂ؿགྷіૼࠎࣁౠཟႿઙࣉࡎᆴཌྷ֮ؓܙ۱ܢછԛࡎᆴཌྷؓۚܙ۱ܢ,ุགྷԛࠎࣁሧྛູऎႵ၂קྟหᆘb3)ࡹҝ۱ܢਵ༵l࠱ࠣ6۱ᄅ൬ၭनᅞ഻ਔ൧ӆቆކ,ѩૼཁۚႿౢҝ۱ܢཌྷႋ൬ၭ,২ೂࡹҝ۱ܢਵ༵6۱ᄅӑح൬ၭनղ֞.348%طౢҝ۱ܢཌྷႋӑح൬ၭᇏᆴࣇູ၂.095%,іૼनط,ࡹҝ۱ܢᄝໃট6۱ᄅіགྷԛࡎ۬ӻ࿃ྟ(ਈ,)طౢҝ۱ܢᄝໃট6۱ᄅіགྷԛ၂ק֥ࡎّ۬ሇ൝bՎຓ,ᆞೂNofsingerandSias(1999)ᆷԛ,ࡹҝ۱ܢ֒࠱ࢠն֥ӑح൬ၭॖିჷႿ௹ଽਈࢌၞၛࠣઙٚရಕྛູ֥܋ቔႨbഈඍࢲݔіૼ,ࠎࣁౠཟႿઙࣉࡎᆴཌྷ֮ؓܙછԛࡎᆴཌྷؓۚܙ֥ն൧ᆴ۱ܢ,ѩఃࡹҝ۱ܢᄝໃট6۱ᄅіགྷԛࡎ۬ਈ,ౢҝ۱ܢᄵіགྷԛ၂ק֥ࡎّ۬ሇ൝,ཁൕࠎࣁࢌၞࠃࡆਔ۱ܢࡎᆴؿགྷݖӱ,ၹطႵ০Ⴟิۚ൧ӆིੱbᆞೂNofsingerandsias(199)֩ᆷԛ,ഈඍؿགྷၧᆦӻਔࠎࣁཌྷؓఃሧᆀऎႵ၂קྐ༏Ⴊ൝֥ࡌഡbі9:ࡹҝ/ౢҝࢌၞ۱ܢหᆘٳ༅ࡹҝࢌၞౢҝࢌၞMeanMedianMeanMedianPanelA:۱ܢ൬ၭหᆘᇌު1࠱ӑح൬ၭ....492335438242ᇌު6۱ᄅӑح൬ၭ...843520992815Pa,IB:۱ܢࡎᆴหᆘܿଆ֩ࠩ....430434445446Чၭб֩ࠩ....35736285271࣪൧ᆴбੱ֩ࠩ....272276247236PaneIC:۱ܢໃট൬ၭіགྷ
2(Xຉ୍ֻ7௹ᆣಊሧࠎࣁ,ࢌၞྛູ֥ࣜဒ࣮121ࡹҝࢌၞౢҝࢌၞ֒భ࠱؇ӑح൬ၭ..994792၂..181၂304ਵ༵..1࠱ӑح൬ၭ.2261290170ၛਵ༵6۱ᄅӑح൬ၭ...348251023၂.095ᇿ:M~іൕनᆴ,Mediؽіൕᇏᆴb(ඹ)ਗ਼Ͽྟဒૌᄝഈ໓࣮ٚمᇏิ֞ႮႿဢЧཋᇅ,҂ିປಆஆԢ۱љ࠱؇ࡹҝაౢҝҩ؇Ⴕொཟഈ,ႵႿՎ,ૌഡ࠹ਔೂ༯Էྍྟٚمটࣉ၂҄ॉҳЧ໓ࢲં֥໗ࡲྟ:l)ઙದ:mb၂,=mmin၂,,,HRat,>b1ఃᇏamᕣ၂,ູഈ1࠱ࠎࣁj܄ۡӻႵ֥ᇗҝܢ֥ቋ֮ሧಃᇗ,ࠧંഈ1࠱ࠎࣁjӻႵ۱ܢiඔਈູbࠇఃӻႵಃᇗໃࣉದభ10ᇗҝܢᆭਙ,i֥ಃᇗनႮamib၂,,սูb2)છԛ:m,ؽm၂n,,HRat,<b1ఃᇏwmin,ູЧ࠱ࠎࣁj܄ۡӻႵ֥ᇗҝܢ֥ቋ֮ሧಃᇗ,ࠧંЧ࠱ࠎࣁjӻႵ۱ܢiඔਈູOࠇఃӻႵಃᇗໃࣉದభ10ᇗҝܢᆭਙ,i֥ಃᇗनႮؽminսูbഈඍ࣮ഡ࠹ݸၐ໙ࡼཁᇷ֮ܙਈҩ؇ඔᆴ,ಖطႵᇹႿૌ٤ӈЌ൯ֹॉҳЧ໓ࢲં֥໗ࡲྟbі10Бۡਔοഈඍٚم࠹ෘ֥ઙದࠣછԛࢌၞਈҩ؇,ࢲݔіૼ:࣐ܵაі5ؓбཌྷႋਈҩ؇नૼཁࡨཬ,ಖطઙದਈҩ؇ਔ֗ᓼ,a(01)Iάb,(ll)ࠣITjتm,(2I)नᆴᄝ5%֥࠹ඣഈཁᇷູᆞ,છԛਈҩ؇I֞Ӭm,(1l)ࠣITM,(2l)नᆴᄵᄝ5%֥࠹ඣഈཁᇷູڵ,Վຓഈඍਈҩ؇नᆴधؓᆴಯಖնႿ,GrinblattTimanandWeremrs(1995)ࠣBadrinarhandWahal(2002)ཌྷႋᆴ,ၹطࣉ၂҄ᆣൌਔЧ໓ࢲં֥໗ࡲྟbі10:.ϿྟဒઙದࢌၞછԛࢌၞMeanMedianMeanMedian..ன,.TM(0l)117077022033,....(437)(086)(141)(054).I,ܭ..TMj(l,l)0630॓၂.059၂.035..(478)(079)(၂.2%.)(029).I,ᗃ.TMm.,j(2l)103091၂125၂.082....(743)(088)(၂417)(019)ᇿ:іᇏਈҩ؇ູϤٳбඔ,M~іൕनᆴ,༯ٚওݼଽູF၂M~acбth(1973)t࠹ਈ,Medianіൕᇏᆴ,༯ٚওݼଽູᆞ֥ਈҩ؇෮ᅝб২b,іൕ5%֥࠹ཁᇷྟඣ,**іൕ10%֥࠹ཁᇷྟඣbඹ.ࢲંЧ໓ၛࠎࣁ࠱БᇗҝܢູဢЧॉҳਔࠎࣁ֥ਈࢌၞྛູ,ؿགྷა൧ӆ၂Ϯყ௹҂,ࠎࣁሹุഈѩ҂іགྷູoሔᅨ೪יp֥ᆞّঌࢌၞᆀ,ఃࡹҝࠇઙದൈіགྷູਈࢌၞᆀ,طౢҝࠇછԛൈіགྷّູሇࢌၞᆀb҂ሧڄ۬ࠎࣁܼٗҐႨਈّࠣሇࢌၞҦ,ಖطࡎᆴࠎࣁࢠӮӉࠎࣁіགྷԛ۷఼ਛ֥ਈࢌၞྛູbࣉ၂҄ٳ༅іૼ,ࠎࣁౠཟႿઙದࡎᆴཌྷ֮ؓܙ۱ܢ,છԛࡎᆴཌྷؓۚܙ۱ܢ,ѩఃࡹҝ۱ܢᄝໃট6۱ᄅ
122ཬϲሹֻ313௹іགྷԛࡎ۬ӻ࿃ྟ,(ਈ)طౢҝ۱ܢіགྷԛ၂ק֥ࡎّ۬ሇ൝,ཁൕࠎࣁሧࠃႵᇹႿࡆ۱ܢ֥ࡎᆴؿགྷݖӱ,ᆦӻࠎࣁऎႵཌྷؓྐ༏Ⴊ൝֥ࡌഡbؓႿሧᆀط,Ч໓ؓࠎࣁࢌၞҦ֥ٳ༅ູఃᇅקཌྷႋሧҦิ܂ਔႵၭ֥ҕॉ,ऎႵࢠݺ֥ൌႨࡎᆴbؓႿࡓܵ֒अط,Ч໓Ⴕܱࠎࣁࢌၞྛູ൧ӆིႋູ֥࣮ն৯ؿᅚᆣಊሧࠎࣁ֥ᆟҦิ܂ਔႵ৯֥ᆦӻbҕॉ໓ང.,[lrGrinblatM.,SheridழTitman,andRwene१,Momentuminvesntmetstraee,tegies,ࠧط110rfonaandher-din..g:As:tuࢧofmutuଢᦟdbehaviorAc~anEcoc~Rev,iew,195Vol851੩8၂105ಥ2rWeؽers,Mutualfundhe࠺,inanee,19992:581၂622ಥ.3rNofsinઅrandRichaJᄅ.WSias,HൈiᓻandfeedbacktradingbyinstitutionalૼdindividualinvesJoumtooalofr-inanee,,:199962263၂229514rBalᇜnathandWahal,Menomruؽ,,2(X)26:249၂2478߸,NandSheെdanTitma,nRetumstobuyingwinnersasndelinglosers:ທPlieationsforskmarketefi-eienע.Joum܄OfFinࠧee,,193Vol46:65၂91ಥ6۽,Jegadeesh,NૼdTi၂,S,Pmfitabiltyofmolnentum~eglb:AnevaluationofၧemativeexPIࠧೂ~܄.ofFinanee,2(X)la,Vol56:6၂9720.,[7rӋkonsihok,Josef,Anϰ1eShliferૼdRol᧹riVishny,Theiගaetofinshtuെonaltഎ࠭ingmsऴkprieesJOunlalofF,.inaneialEeones,onu192VOI32:23၂43ಥ8rHong,H,amsonandJerଧ.CStein,AuniledtheoהOfundtion,tngeandov~ᦟ,malofFinapce,1999Vol:5421၂432184rasum֥dimoaӌ9xHong,Hରson,TeaeeU,mandje,,BadNewsvTraelsSlowly:Size,AnalystCovel༝,andtheطfiѾabilityofMomentumStratౡ.,2(ߘ,Vol55;265၂295.[10rJegades,hNandSheridmTit,manRetusrntobungࢼnnersandsellinglosers:ImplieationsforstocknြketሩගalofFinanee.,,193VOI:4665၂91ಥ11xJegadeӋh,N.ૼdTitma,nS,ProfitabilityOfmomesntumlralegies:,na2(X)la,Vol56:6၂[12r1֗e,CharleandBSwna,atxmhanطcemenomtumandtra(,2ၛಫ.,Vol55:2017-2070q..,13rDeӋngJB,Andre,iSh~eiferӋࠏeneeHSu,.andRobertJWರdn,rbsnuerman1itvielၰ,xbackinvelਔnentႮԫegiesaoddestabiliऴ9rationalࠧ..eculationJalOfFouinrnૼee,199()b,Vol45:379၂395q14xKallonsky,LyonsandSchmukler,Mૼageb,investors,anderises:mutualᦟd,tطes,ZIXଫ,VolM,113၂134q15rYᓾg,Theinfoࡆationᓽiloverbetweenstockؽtumsandinstituെonalinves,torstradi٦ທhaviorinᆩ.wanທtema-tionalReviewOfFinaialAcରysis,,200211:533၂547Abstract:Thisstudytestsmomentumtradingbehaviorӆ:(1)thefundsmtasmomentumtraerdwhentheyenterorbע,tocksbutaseontrarlanttraderwhࠧthסexito:sellstocks;(2)momentumandeontrariantstဝteesagiaredoptedwidelybythefundsစthdiferentinvesetmntstyles;(3)tradiՉpractieesӆࡆndssped,փkprieetowardstheirintrinsie၂ౡ0ԫs:euritiesInvestmentFun,dmenomtumtradin,geont~anttradin,gbehaviorfinanee(หჿщࠠ:ᆅ)(ؓ:HA)
