| Summary: | 碩士 === 輔仁大學 === 管理學研究所 === 87 === Abstract
This thesis is about the research of returns of the relative strength strategy and the contrarian strategy with each investment period in common stock market in Taiwan, and compares returns of the two strategies with return of the buy and hold strategy. And explore the returns of these strategies in 8 bull and bear market subperiods. The sample period is January 1983 to December 1998.
The empirical results of this study are as follows:
(1) With long investment period (about 3 years), the contrarian strategy generates significant positive returns.
(2) With short investment period (about 1 month), the contrarian strategy almost generates negative returns, but do not significant.
(3) With medium-term investment period (during 3 to 12 months), the relative strength strategy almost generates positive returns.
(4) In the bull market subperiod, the relative strength strategy has higher probability to generate positive returns; but in the bear market subperiod, the contrarian strategy has higher probability to generate positive returns.
After controlling firm size and β(the systematic risk), results of this study are not affected. There are no certain relationship between returns of the buy and hold strategy and the other two strategies.
|
|---|
