| Summary: | 碩士 === 輔仁大學 === 管理學研究所 === 95 === The purpose of this study is to investigate the performance of momentum investment strategy under different market conditions by various measures of returns. At first, we apply different kinds of forming period and holding period to investigate how momentum strategy perform in bull or bear market and different business cycles. Next, implementing a momentum strategy based on their cumulative excess return, the study tried to investigate the relations between the return of momentum strategies and other company characteristic factors, such as size factor, book-to-market ratio, under bull or bear market and business cycles.
The major empirical results are as follows: 1.The shorter forming period and holding period are, the better the performance of the momentum strategy is. 2.The performance of short-run momentum strategy is better in the bull market than that in the bear market. 3.The book-to-market ratio is the major factor to explain the return of momentum strategy. It has negative correlation with the return of momentum strategy in short run and has positive correlation in long run.
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