The Momentum Investment Strategy in the Taiwan Stock Market
碩士 === 大葉大學 === 事業經營研究所 === 95 === In this paper, following Jegadeesh and Titman（1993）. We select the top/bottom 10% as winner/loser investment portfolio. And we subtract the losers’ average return from win-ners’ as momentum investment return. We investigate the profitability of a momentum in-vestme...
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2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/69901525530331562257 |
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ndltd-TW-095DYU001630042016-05-25T04:14:04Z http://ndltd.ncl.edu.tw/handle/69901525530331562257 The Momentum Investment Strategy in the Taiwan Stock Market 動能理論在台灣股市之影響 Chen-Hsien Wang 王珍現 碩士 大葉大學 事業經營研究所 95 In this paper, following Jegadeesh and Titman（1993）. We select the top/bottom 10% as winner/loser investment portfolio. And we subtract the losers’ average return from win-ners’ as momentum investment return. We investigate the profitability of a momentum in-vestment strategy listed in the Taiwan Stock Market with various holding periods. Our evi-dence shows that the short holding period momentum effect does not exist, when stocks are ranked on the basis of past returns. The best holding periods are 6 and 9 month. Finally, in-dustrial momentum effect is higher than individual stock. Hua-Ching Jeng 鄭華清 2007 學位論文 ; thesis 59 zh-TW |
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NDLTD |
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zh-TW |
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Others
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NDLTD |
| description |
碩士 === 大葉大學 === 事業經營研究所 === 95 === In this paper, following Jegadeesh and Titman（1993）. We select the top/bottom 10% as winner/loser investment portfolio. And we subtract the losers’ average return from win-ners’ as momentum investment return. We investigate the profitability of a momentum in-vestment strategy listed in the Taiwan Stock Market with various holding periods. Our evi-dence shows that the short holding period momentum effect does not exist, when stocks are ranked on the basis of past returns. The best holding periods are 6 and 9 month. Finally, in-dustrial momentum effect is higher than individual stock.
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| author2 |
Hua-Ching Jeng |
| author_facet |
Hua-Ching Jeng Chen-Hsien Wang 王珍現 |
| author |
Chen-Hsien Wang 王珍現 |
| spellingShingle |
Chen-Hsien Wang 王珍現 The Momentum Investment Strategy in the Taiwan Stock Market |
| author_sort |
Chen-Hsien Wang |
| title |
The Momentum Investment Strategy in the Taiwan Stock Market |
| title_short |
The Momentum Investment Strategy in the Taiwan Stock Market |
| title_full |
The Momentum Investment Strategy in the Taiwan Stock Market |
| title_fullStr |
The Momentum Investment Strategy in the Taiwan Stock Market |
| title_full_unstemmed |
The Momentum Investment Strategy in the Taiwan Stock Market |
| title_sort |
momentum investment strategy in the taiwan stock market |
| publishDate |
2007 |
| url |
http://ndltd.ncl.edu.tw/handle/69901525530331562257 |
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