An Analysis of Return Performance of Momentum Strategies on Taiwan Equity Funds

• Main Authors: Cheng-ying Chiu, 邱長盈
• Other Authors: Y.ANGELA LIU
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/47206194746055227995

碩士 === 國立中正大學 === 企業管理所 === 96 === The objective of this study is to investigate the trading performance of momentum strategies on Taiwan Equity Funds of the R.O.C in short,intermediate, and long horizons. Inspired by Lee& Swaminathan (2000), the validity of the momentum life cycle hypothesis is examined. We explore monthly data of the equity funds from June 2000 to February 2008. The main empirical findings are summarized as follows: 1. Past winners of equity funds still outperform past losers over short horizons. 2. The turnover momentum exists in Taiwan equity funds. Buying past high turnover funds and selling low turnover funds result in significant positive returns in funds of short, intermediate and long horizons. 3. There is a significant negative relationship between future returns and fund sizes. The size effect exists in Taiwan equity funds. Buying past small-sized f funds and selling big-sized funds obtain significant positive returns in funds of short, intermediate and long horizons. 4. Late stage momentum strategy outperforms early stage momentum strategy and simple price momentum strategy.