Investigate the Impact of Institutional Investors’ Momentum Effect by Monthly Effect and Credit Rating

• Main Author: 高振維
• Other Authors: 陳信憲
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/06734362928445958904

碩士 === 國立彰化師範大學 === 商業教育學系 === 96 === The domestic institutional investors choose the decision of market timing and stock can affect stock momentum returns, the investment portfolios or volumes are usually the individual investor constructing basis of the investment portfolios. Besides, institutional investors contribute to the seasonality of momentum profits by windows dressing. They would buy winners and sell losers at quarter-end months. This study discusses the momentum strategies used by institutional investors in each month. The results found that momentum profits are more outstanding on quarter-end months(March, June, September, December) Momentum January Effect and momentum Chinese Lunar New Year Effect have negative influences on momentum profits. This study also allows for institutional investor volume and company credit rating variables. Stocks with high levels of institutional volume will have greater momentum profits. The company credit risk responds to the company operation condition. We can analyze stock price by credit rating. This study finds that different momentum strategies have different momentum profits at each credit rating.