An Empirical Study on Momentum Strategies
| Autor: | Jhih-Siang Chen, 陳志祥 |
|---|---|
| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 According to weekly information of the public traded companies, collected in Taiwan Economic Journal from January 1, 1990 to December 31, 2010, this study is to evaluate the possibility of price momentum and volume momentum in Taiwan Stock Market, as well as the way how four different investment profolios function under the Volume-Based Price Momentum Strategy The method, called T-test and regression analysis, is mainly about analyzing weekly average ROI before risk adjustments are adopted and afterward. Also, Fama-French Three Factors Model is greatly used to rate ROI and estimate how risk adjustments work. As the outcome shows, first, in high-volume and low-volume investment profolios, the price momentum is commonly seen, except the holding period which is long enough. Second, Taiwan stock market is without the effects of volume momentum if the loser and winner are fixed in the investment profolio. Third, the ROI is almost identical before or after the risk adjustments are made. Under this circumstance, the profits of high-volume loser and high-volume winner are more that those of low-volume loser. The worst ROI comes to the low-volume loser, whose value of investment profolio drops in the 2th to 24th weeks until the forty-eighth week brings slight profits. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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