The Influence of Return, Trading Volume and R&D Expenditures on Price Momentum Strategy -An Empirical Study on TSE and OTC Information

碩士 === 國立交通大學 === 經營管理研究所 === 95 === In this study, we investigate the usefulness of past returns, trading volume and R&D expenditures in predicting cross-sectional returns for various momentum portfolios. The study is organized into three parts. In the first part, we only use one of the three f...

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Main Authors: Wen-Ling Lee, 李文琳
Other Authors: Cherng G. Ding
Format: Others
Language:zh-TW
Published: 2007
Online Access:http://ndltd.ncl.edu.tw/handle/29547950376334004444
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spelling ndltd-TW-095NCTU54570432015-10-13T13:59:36Z http://ndltd.ncl.edu.tw/handle/29547950376334004444 The Influence of Return, Trading Volume and R&D Expenditures on Price Momentum Strategy -An Empirical Study on TSE and OTC Information 報酬、交易量與研發費用對股價動能策略之影響探討-以臺灣上市櫃資訊電子業為例 Wen-Ling Lee 李文琳 碩士 國立交通大學 經營管理研究所 95 In this study, we investigate the usefulness of past returns, trading volume and R&D expenditures in predicting cross-sectional returns for various momentum portfolios. The study is organized into three parts. In the first part, we only use one of the three factors to form portfolios. In the second part, we use two of the three factors to form portfolios. In the three parts, we use all of the three factors to form portfolios. Similar to methodology of Lee and Swaminathan (2000), we analyze the data from TSE and OTC information and electronic firms in Taiwan during the period January 1998 to September 2006. Specifically, we discuss the influence of different sequence of forming portfolios rules by three factors on future returns. Our results can be summarized as follows. First, using simple return or R&D momentum strategy can’t capture correct stocks trend. Second, using simple trading volume momentum strategy can capture the stocks which were overreaction. Third, we found MLC hypothesis also exists in Taiwan information and electronic stock market. Fourth, Similar to MLC hypothesis, the relationship of past returns and R&D expenditures also can be showed by another momentum life cycle. Fifth, the performances of investing strategies using three factors are better than using only one or two factors. However the performances are influenced by different sequence of forming portfolios rules. Cherng G. Ding 丁承 2007 學位論文 ; thesis 112 zh-TW
collection NDLTD
language zh-TW
format Others
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description 碩士 === 國立交通大學 === 經營管理研究所 === 95 === In this study, we investigate the usefulness of past returns, trading volume and R&D expenditures in predicting cross-sectional returns for various momentum portfolios. The study is organized into three parts. In the first part, we only use one of the three factors to form portfolios. In the second part, we use two of the three factors to form portfolios. In the three parts, we use all of the three factors to form portfolios. Similar to methodology of Lee and Swaminathan (2000), we analyze the data from TSE and OTC information and electronic firms in Taiwan during the period January 1998 to September 2006. Specifically, we discuss the influence of different sequence of forming portfolios rules by three factors on future returns. Our results can be summarized as follows. First, using simple return or R&D momentum strategy can’t capture correct stocks trend. Second, using simple trading volume momentum strategy can capture the stocks which were overreaction. Third, we found MLC hypothesis also exists in Taiwan information and electronic stock market. Fourth, Similar to MLC hypothesis, the relationship of past returns and R&D expenditures also can be showed by another momentum life cycle. Fifth, the performances of investing strategies using three factors are better than using only one or two factors. However the performances are influenced by different sequence of forming portfolios rules.
author2 Cherng G. Ding
author_facet Cherng G. Ding
Wen-Ling Lee
李文琳
author Wen-Ling Lee
李文琳
spellingShingle Wen-Ling Lee
李文琳
The Influence of Return, Trading Volume and R&D Expenditures on Price Momentum Strategy -An Empirical Study on TSE and OTC Information
author_sort Wen-Ling Lee
title The Influence of Return, Trading Volume and R&D Expenditures on Price Momentum Strategy -An Empirical Study on TSE and OTC Information
title_short The Influence of Return, Trading Volume and R&D Expenditures on Price Momentum Strategy -An Empirical Study on TSE and OTC Information
title_full The Influence of Return, Trading Volume and R&D Expenditures on Price Momentum Strategy -An Empirical Study on TSE and OTC Information
title_fullStr The Influence of Return, Trading Volume and R&D Expenditures on Price Momentum Strategy -An Empirical Study on TSE and OTC Information
title_full_unstemmed The Influence of Return, Trading Volume and R&D Expenditures on Price Momentum Strategy -An Empirical Study on TSE and OTC Information
title_sort influence of return, trading volume and r&d expenditures on price momentum strategy -an empirical study on tse and otc information
publishDate 2007
url http://ndltd.ncl.edu.tw/handle/29547950376334004444
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