| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === This study adopts 555 stocks in TWSE as the empirical sample, which Monthly return adjusted for dividends are obtained from TEJ over the period 1 January 2003 to 31 December 2008. This thesis has three purposes as follows. First, this study test momentum portfolios return in Taiwan market base on the underreaction theory. Second, the study examines the time-varying unsystematic risk of the winner and loser portfolios and the impact that it may have on momentum profits. We analyze the performance of momentum portfolios within the CAPM and Fama and French Models and then through different specifications of the GARCH(1,1) model. Third, we analyze the impact of recent news, old news and bad news on the volatility of the winners and losers.
Referring to Li et al. (2008), the empirical results are as follows. First, the momentum strategy reveals an insignificant positive return in the formation period during three and six months, but significantly negative during twelve months. This fact indicates that the contrarian strategy may yield profits in the long term. Second, the Fama and French model can well explain the momentum return, which is positively related with systematic risk and size. However book-to-market has insignificant effect to momentum return. Third, the volatility for the winners is more sensitive to recent news than losers. Conversely, the volatility of the losers is more sensitive to distant news and asymmetric response to good and bad news than winners.
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