The Study of Momentum Strategy Based on Investor Attention

• Main Author: 蔡盈如
• Other Authors: 陳信憲
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/84668756312119991552

碩士 === 國立彰化師範大學 === 商業教育學系 === 96 === This paper investigates the investor’s attention on stock market and two kinds of momentum strategies－price momentum and earnings momentum. I find price momentum effect is related to investor overreaction and the profit of this strategy increases with high investor attention. By contrast, earnings momentum effect is caused by investor’s underreaction to earnings news, and the profit of this strategy increases with low investor attention. In the long run, the earnings momentum profits do not reverse. To the extent the market state, price momentum profits in up market are higher than down market, while earrings momentum profits are positive, even stronger in down market.