The Momentum in Taiwan's Stock Mutual Funds
| Autor: | An-Pang Wen, 文安邦 |
|---|---|
| Rok vydání: | 2015 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 103 Following Jegadeesh and Titman (1993), construct a momentum portfolio by buying the winner and selling the loser. The portfolio can be proved positive average profits, signification. The Carhart (1997) added the momentum in Fama & French (1993) multifactors model, form to four factors model. The abnormal positive average return will be increased, if their delay one or two months to form the momentum portfolio, we also find the other middle-term price reversed pattern within the twelve months, just after the price momentum period. According to the result, the investors can generate abnormal return using the middle-term price momentum strategies. To interpret these anomalies, this study demonstrates model of the Carhart (1997) four factors model, could not be an adequate one in describing price behaviors of Taiwan’s mutual fund market. We also explain that the Behavioral Finance model of Daniel, et al.(1998) is more successful than the Barberis, et al.(1998) and the Hong and Stein(1999) models for explaining the momentum strategies in Taiwan's mutual funds market. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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