| Summary: | 碩士 === 國立雲林科技大學 === 企業管理系碩士班 === 99 === Lottery-type stocks have speculative characteristics. This study according to
Kumar (2008) definition of lottery-type stocks : (1) idiosyncratic volatility, (2)
idiosyncratic skewness, and (3) stock price. Then we use Fama-French
four-factory model and Harvey and Siddique’s two-factory model for the identify
lottery and non-lottery type stock criteria to Taiwan stock market from 2005 to
2009. And we combine those type stocks with mispricing effect. The purpose of
this paper is investigating the four type stocks which will perform momentum
effect in short-term or reverse in long-term, and figure out if investor can earn
abnormal returns or not.
The empirical result shows that momentum strategy for lottery type stocks
performance is more significant than non-lottery stocks, so take the zero-cost
strategy to buy lottery type stocks which is undervalued and selling non-lottery
type stocks which is overvalued can earn abnormal returns, especially holding this
strategy returns is more significant in twelve month. The robust test results show
that returns of the momentum strategy we find aren’t affected by business cycle
and January effect. The study results shows that Taiwan stock market is exist
momentum effect in long-term underreaction.
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