Is the Contrarian Strategy Valid for America''s High-Tegh Industry?

• Main Authors: Yun-ching Mao, 毛韻晴
• Other Authors: Pai-lung Chou
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/66953018699329932915

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 97 === ABSTRACT This study applies momentum strategy, contrarian strategy, size momentum strategy, turnover ratio momentum strategy and momentum life cycle to investigate the profit and the suitable timing for America’s high-tech industry under short, intermediate and long horizons. This primary data sources contain the companies in U. S. high-tech industry for 1992 through 2007. Empirical results show that contrarian strategy has overreaction in all sample period and the bear market. Especially, both of the average returns and momentum profits of investment portfolios would increase progressively while formation and holding periods get longer. In the bull market, evidences demonstrate statistically significant profits for horizons of 3-, 9- and 12- month by using contrarian strategies, and above-average payoffs over horizons of 1- and 6- month while performing momentum strategies. Therefore, both the returns of the winner and loser are larger in the size effect over the horizons of 6-12 months, and similar evidence is verified by the turnover ratio effect. Finally, this article supports the existence of turnover ratio on momentum life cycle. The last-stage momentum strategy has significant profits more then early-stage momentum strategy in both bull market and bear market. As suggested above, the existence of overreaction could be consistent both with the turnover ratio on momentum life cycle and with one-dimension price momentum in America’s high-tech industry.