| Summary: | 碩士 === 國立臺灣大學 === 財務金融學系研究所 === 86 === This study examines whether mutual funds in Taiwan use momentum strategy.
Our example contains thirty-eight mutual funds from January 1995 to December
1997 . Funds portfolio holdings were used to analyze the extent to which mutua
l funds purchase stocks based on their past returns, and whether the momentu
m strategy has positive contribution to fund performance. By using the marke
t return to divide stocks into past winners and past losers, We find that most
mutual fund managers persistently buy stocks that were winners in the past. O
n the other hand, it is not obvious that fund managers sell past losers. We al
so find that funds buying winners in previous month have better returns and J
ensen''s alphas than other funds.
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