交易量和報酬之關係與交易策略

Volume-return Relation and Trading Strategy

不同於Lee & Swaminathan（2000），本研究探討結合過去交易量與報酬率如何預測價格反向現象的程度與持續性。結果顯示，低交易量輸家組合與高交易量贏家組合具有較強的反轉力量，據此形成的強反向策略具有長短期的獲利績效，且普遍高於傳統的反向策略；而高交易量輸家組合與低交易量贏家組合之反轉力量則較小。如同Lee & Swaminathan（2000）所指出，股票交易量高（低）與投資人高（低）估其價值有關；因此，交易量高低意味著未來賣壓大小，以致具有未來價格變動的訊息。然而，Llorente et al.（2002）所提出之交易量與報酬動態關係則無法預測未來價格的變動。

In contrast to Lee & Swaminathan's research (2000), this study examines how past volume and return are predictors of the magnitude and persistence of price reversal. The findings indicate that low-volume losers and high-volume winners appear to a more significant degree within the context of price reversal. The hedging strategy formed by low-volume losers and high-volume winners elicits both short- and long-term investment profit, which is larger than that of the traditional contrarian strategy. On the contrary, high-volume losers and low-volume winners emerge with much less power in the price reversal context. Lee & Swaminathan (2000) point out that high (low) trading volume stocks tend to be over- (under-) valued by market, and this links the trading volume to the future price pressure. Trading volume is therefore quite helpful in terms of its ability to predict the change in price. Nevertheless, the volume-return dynamic relation proposed by Llorente et al. (2002) cannot predict any changes in the future price.