| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 100 === Abstract
This study explores investing style in the frame of momentum strategy proposed by Fama and French(1992) and Jegadeesh and Tittman(1993). The relations between portfolio performance and five indexes including market-book ratio, momentum strategy, cash dividend yield, price/earning ratio, The sample comprises firms listed on the TSEC from May,2003 to April,2011, Month data including stock return, market-book ratio, and marker value are derived from TEJ database. The empirical results show market-to-book ratio and high cash dividend yield had better portfolio performance. The portfolio of the high cash dividend gains the best performance. According to results of that Cross-sectional regression analysis, we find a positive correlation between cash dividend yield and return on investment. That means that the cash dividend yield can be a reference index when investors need to choose stocks more easily and efficiently in short-term and long-term.
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