| Summary: | 碩士 === 國立中正大學 === 財務金融所 === 94 === An Empirical Study of investment strategies — Evidence
From the Taiwan Stock Market
This study attempts to analysze the pattern of investment returns among domestic industries by the following hypothesises: First, when stocks are grouped by industries I examine whether the excess returns can be obtained by using Jegadeesh and Titman (1993) momentum strategy in the short run and De Bondt and Thaler (1985) contrarian strategy in the long run. Second, I explore the investment performances of the momentum strategy and contrarian strategy. In other words, do the phenomenons of overreaction and underreaction exist in The Taiwan Stock Market? Third, I detect the impact of risky factors on returns of investment strategies. The risky factors are based on Fama and French three factor model and stock turnover rate.
The major conclusions are as follow：
First, the returns of Plastics, Chemicals, Steel & Iron, and Information & Electric Appliance industries support the studies of Jegadeesh & Titman (1993) and De Bondt& Thaler (1985), but the returns of Textiles and Finance & Insurance industries do not.
Second, the result reveals that there is significant evidence of overreaction in stocks grouped by industries, and underreactions exist only in some specify investment periods. Besides, the investment performances of the momentum strategy and the contrarian strategy are different during each investment period.
Third, the evidences show that the market risk and size factors do not influence the returns of the momentum strategy and the contrarian strategy, but book-to-market and stock turnover factors have important influence on investment strategies.
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