Firm-specific Attributes and the Cross-section of Momentum in Taiwan Stock Market

• Main Authors: Chia-fu Chen, 陳佳阜
• Other Authors: Jai-jen Wang
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/81902920400690938573

碩士 === 逢甲大學 === 財務金融學所 === 96 === Studies confirm the profitability of momentum strategy (buying winner and selling loser) including empirical results in Taiwan. Following Sagi and Seasholes (2007), this thesis refines the traditional momentum investing. Six firm-specific parameters, a newly double-sort momentum strategy, transaction frictions in Taiwan stock market and different share-holding methods (value-weighted, price-weighted, and equal money-weighted) are taken into consideration. Through these setting, we can learn how fast stock prices reflect firms’ fair values after quarter operations, how non- and overlapping methods affect portfolio returns. Then, we compare results with market benchmark, and re-examine their profitability under frictions of Taiwan stock market. The empirical results show that most of the momentum investing strategies creates positive profits. However, they perform worse than the whole market. Specifically, price-weighted portfolios obtain generally positive returns. It can be found that negative returns among loser portfolios in our model can be attributed to the short-selling regulation, and it results in insignificant or even negative returns of total portfolios. In addition, the non-overlapping method might generate under- or over-estimated returns because of the formation’s selecting bias. Finally, stock price reflect firms’ fair values a quarter late after the end of each season operation