Momentum Strategies and Firm Characteristics: Evidence from Taiwan's Stock Market
| Autor: | ShuJung Chang, 張書榮 |
|---|---|
| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 This paper examines the profitability of momentum strategies on the Taiwan stock market. Using stocks listing on the Taiwan Stock Exchanges (TWSE) over January 2000 to December 2011, this study investigates the profitability of six types of momentum strategies, including price momentum strategy [Jegadeesh and Titman (1993)], industry momentum strategy [Moskowitz, and Grinblatt (1999)], 52-week high momentum strategy [ George and Hwang (2004)], moving average ratio strategy [Park (2010)], the price-sales ratio strategies and turnover rate strategies. Based on the three-factor model developed by Fama and French (1996), the results show that only 52-week high momentum strategy can explain the excess return of portfolio. Finally, this study tried to provide some explanations about the differences between the empirical results and prior literature. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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