Investigation of the Momentum Strategy in the Real Estate-Related Stocks in Taiwan

• Main Authors: Kai-hung Chuang, 莊鎧鴻
• Other Authors: Jui-chen Chang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/18908812357051744991

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 98 === 　　This study investigated the impact of stock price fluctuation and firm size of real estate industry on momentum effect of construction, cement and steel sectors in Taiwan. The effect of market risk, firm size and book-to-market ratio changes on the real estate-related stock returns was also examined. The empirical results demonstrated that the time period for real estate stock returns to reach its peak is usually within one year. Only the cement sector''s high price stock return rate surpasses the low price stock. However, most of the low-priced stock return exceeded the high-priced stock return by more than 1% in steel and construction sector. Therefore, adopting the momentum strategies that suggested investors to buy expensive stocks and to sell cheaper shares will always cause losses. The price momentum effect of the study is inconsistent with the momentum strategies proposed by Jegadeesh and Titman (1993). Moreover, the empirical result of scale momentum effect also showed that monthly returns of steel and construction stocks of smaller firms were at least 0.5% and better than that of large firm portfolio. Hence, this study suggested using scale momentum strategies for better stock returns in real estate industry. The Fama and French three-factor model explained the factor of market risk in the cement portfolio better, while company size and book-to-market ratio had better explanatory power in the steel sector. In construction portfolio, market risk and firm size were the best explanatory factors. Therefore, using scale factors to explain the real estate stocks is not only the most appropriate method, but also consistent with the results of scale momentum strategies.