| Summary: | 碩士 === 銘傳大學 === 國際企業管理研究所 === 88 === The thesis is exploring about：
1. During 3 to 12 months investment period in Taiwan stock market, if firm-specific information diffuses differently, including good news and bad news, can investing public use momentum strategy to get excess return？
2. Does the different number of firm-specific news generate different momentum return？
The sample period is from January 1987 to December 1999. We use two kinds of variables, the firm size and the number of firm-specific news, in substitution for the rate of information diffusion. We try to find if the different firm size and the number of firm-specific news will generate different momentum strategy return and if the different number of firm-specific news will generate different rate of stock return.
The empirical results of this study are as follows：
1. There are positive relations between the two proxies for the rate of information flow, the firm size and the number of firm-specific news. It means that the firm size is bigger, the number of firm-specific news is more.
2. Cuts on the firm size, the momentum strategy almost generates negative return, but that is not significant.
3. Cuts on the residual number of firm-specific news, under the different grouping and test period, the momentum strategy almost generates negative return, but that is not significant.
4. The more the number of firm-specific news is, the lower the rate of stock return is. That is, no news is good news. It is possible that the number of good news is more than the bad ones or the bad news transmits faster. Besides, there are negative relations between the number of past firm-specific news and current return. It means that investing public can take advantage of the different information transmitting speed, including good news and bad news, to choose the stocks which have fewer number of past firm-specific news to get more return.
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