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系統識別號 U0026-0107201613353200
論文名稱(中文) 應用賽局理論和52週高價動能於全球宏觀策略:以洛克希德馬汀公司為例
論文名稱(英文) The Application of Game Theory and 52-Week High Momentum on Global Macro Strategy: A Case Study of Lockheed Martin
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 104
學期 2
出版年 105
研究生(中文) 游錦銘
研究生(英文) Chi-Ming Yu
學號 R87021016
學位類別 碩士
語文別 英文
論文頁數 32頁
口試委員 口試委員-王澤世
指導教授-顏盟峯
口試委員-王凱立
口試委員-許英麟
中文關鍵字 全球宏觀策略  賽局理論  52週高價動能策略 
英文關鍵字 Global Macro Strategy  Game Theory  52-Weekly High Momentum Strategy 
學科別分類
中文摘要 摘要
2008年金融海嘯後,國際秩序因地緣政治因素而改變,故美國政府於2012年1月首次宣布重返亞太政策。隨後國際緊張局勢於2012年9月中日釣島主權爭議中達到高點。如同雷根政府在1980年代宣布星戰計劃後,導致美蘇軍備競賽; 歐巴馬政府的重返亞太政策,也開啟了新一輪的軍備競賽。本研究學生於2012年12月即已將研究方向寫於入學申請時之研究計畫中,今以賽局理論及52週高價動能來檢視樣本期間賽局理論之預測能力及報酬與動能關係。

研究期間包含雷根政府星戰計畫,自1981年1月20日至1984年1月20日止及歐巴馬重返亞太,自2012年9月7日至2015年9月4日止。研究發現不需傳統財報分析及計量方法,僅以賽局分析即能於預先精準預測。另洛克希德馬丁股價亦持續表現優於S&P500指數且也隨著大國間軍事角力日趨加劇,洛克希德馬丁動能一直仍然維持穩定不減。



關鍵字: 全球宏觀策略、 賽局理論、 52週高價動能策略
英文摘要 Abstract
In the wake of the global financial crisis of 2008, the international order has begun to change geopolitically. In January 2012 the Pivot to Asia policy was first introduced by the United States, and then intensive international relations culminated in the Sino-Japanese Diaoyutai Islands sovereignty dispute of September, 2012. Like Reagan’s announcement of Star Wars Program to trigger an arms race between U.S.A and Russian in 1980s, Obama’s Pivot to Asia Policy in 2012 has been sparked a new one between U.S.A, China and their allies respectively in 21st century. Welcome to the golden age of the Global Macro ---a superpowers’ policies-driven era. This research on Lockheed Martin was included in my study plan proposed for entry to Graduate Institute of Finance, National Cheng Kung University on 20 DEC, 2012. Now, Game Theory and the 52-Weekly High Momentum Strategy stand out as important methods for examining the forecasting ability of game theory, time-varying interrelationship between the return and duration of momentum of Lockheed Martin in the sample periods. The dissertation aims to help institutional investors deliver alpha and sovereignty wealth funds meet their strategical targets.

The study covers the periods from 20 January, 1981, to 20 January, 1984, for Reagan’s Star Wars Program; and 7 September, 2012, to 4 September, 2015, for Obama’s Pivot to Asia policy. During the sample periods, the study is characterized by the features below. First of all, without recourse to conventional financial report analysis and quantitative methods, but rather only through the strategic analysis of game theory it was able to precisely engender predictable outcomes in advance. Another is the return has continually outperformed the S & P 500 Index. Finally, because current major actors’ military competitions are intensifying, the duration of momentum is stable and unabated.




Key words: Global Macro Strategy; Game Theory; 52-Weekly High Momentum Strategy
論文目次 Contents
摘要 I
Abstract II
Acknowledgements III
Contents IV
List of Tables VI
List of Figures VII
Chapter 1 Introduction 1
1.1 Research Backgrounds and Motivations 1
1.2 Research Objectives 2
1.3 Research Contribution 2
1.4 Research Framework 3
Chapter 2 Literature Review 4
2.1 Global Macro Strategy: Definition, Types, Return and History 4
2.2 Game Theory 6
2.3 The 52-week High and Momentum Strategy 7
Chapter 3 Methodology and Model Specification 9
3.1 Arms Races and Prisoners’ Dilemma: 9
3.2 Dominant Strategies Equilibrium (D.S.E) 11
Chapter 4 Empirical results 12
4.1 Data 12
4.2 The Empirical Findings 12
Chapter 5 Conclusion 29
Chapter 6 References 31

參考文獻 Chapter 6 References

Ajay Bhootra, Jungshik Hur “The Timing of 52-Week High Price and Momentum” Journal of Banking & Finance 37(2013) 3773-3782

Anson, Chambers, Black, and Kazemi “Hedge Fund Returns and Asset Allocation (CAIA),” Second Edition, pp. 318, 2011.

Bornholt, G., & Malin, M. (2011). Is the 52-week high effect as strong as momentum? Evidence from developed and emerging market indices.
Applied Financial Economic 21(18) 1369-1379

George, T.J. and Hwang, C-Y.(2004). “The 52-Week High and momentum Investing”
The Journal of Finance 59(5): 2145-2176.

Grinblatt, M. and S. Titman, and R. Wermers (1995). “Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior.” American Economic Review 85(5): 1088-1105

Jegadeesh, N. and S.Titman (1993) “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” The journal of finance 56(2): 699-720

Li Haidong “American Study Quarterly Summer 2013.” Vol. 27, No.2.

Moskowitz and Grinblatt(1999) “Do Industries Explain Momentum?” 54(4): 1249–1290

Noel Amenc, Felic Goltz, and Lionel martellini “Hedge Funds from the Institutional Investor’s perspective”, John Wiley & Sons, Inc. pp.49,

Oskar Morgenstern and John von Neumann “The Theory of Games and Economic Behavior”, Princeton University Press, 1944

Prajit K. Dutta “Strategy and Games: Theory and Practice” Cambridge, Mass. : London : MIT Press, pp.11, 2000.

Sam Perlo-Freeman, Aude Fleurant, Pieter Wezeman and Siemon Wezeman, SIPRI Fact Sheet, TRENDS IN WORLD MILITARY EXPENDITURE, April 2016.
SIPRI (https://www.sipri.org/databases/milex)

Steven Drobny “Inside the House of Money”, Hoboken, N. J. Wiley & Sons, pp.5-7, 2006

Thomas J. George and Chuan-Yang Hwang “The 52-Week High and Momentum Investing” Journal of Finance VOL. LIX, NO5. October 2004

Thomas C. Schelling and Morton H. Halperin, “Strategy and Arms Control”, Washington : Pergamon-Brassey's, pp.37, 1985.

United Nations “Study on the Economic and Social Consequences of the Arms Race and Military Expenditures” United Nations, pp.9-13, 1989.
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