Investor Sentiment and Momentum Profits
碩士 === 國立中央大學 === 財務金融研究所 === 96 === This study examines the relationship between sentiment indices and zero-cost momentum profits. We use the slope of implied volatility curve to calculate the IV-Sentiment index and principal component analysis to extract the BW-Sentiment index. Based on pre-rankin...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/76813378807921929359 |