Momentum Profits and Idiosyncratic Risk：Evidences on Hong Kong, Taiwan and China
| Autor: | HUANG,CHI-HUA, 黃祈華 |
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| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 This paper examines the existence of momentum profits from 1993 to 2014 and uses the GJR-GARCH (1,1)-M model to examine the sources of momentum profits. Empirical evidence shows that there are momentum profits in Hong Kong, Taiwan and China. Idiosyncratic risk is the main source of momentum profits. After controlling Turnover, the idiosyncratic risk could still explain the momentum profits. This paper also finds that the momentum profits of Hong Kong, Taiwan and China have a significant correlation with their Turnover. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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