Autor:	Yueh-Tse Yu, 余岳澤
Rok vydání:	2009
Druh dokumentu:	學位論文 ; thesis
Popis:	97 This paper examines the profitability of momentum strategies documented in Jegadeesh and Titman (2001) for different formation and holding period in Taiwan stock market. Referring to Chordia and Shivakumar (2002) study, this paper further investigates the impact of macroeconomic and investor sentiment on momentum strategies. The empirical results reveal that there are no significant momentum profits. However, we found January effect and Chinese Lunar New Year effect exist in the momentum strategies. The evidence also shows that in the short term, the macroeconomic and investor sentiment may explain the profitability of momentum strategies.
Databáze:	Networked Digital Library of Theses & Dissertations
Externí odkaz:	http://ndltd.ncl.edu.tw/handle/bu2ch5 Zobrazit plný text záznamu