| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 101 === In the academic research about momentum phenomenon, the behavioral finance is the major viewpoint, and information factor plays and important role. This thesis uses information uncertainty and information asymmetry to proxy the information factor, and investigates whether momentum effect can be explained by information factor. The sample data include all listed companies in the Taiwan Stock Exchange, covering the period from August 2003 through December 2011, with a total 101 months. Using the JT (6.1) strategy proposed by Jegadeesh and Titman (1993) to form momentum portfolios, this thesis examines the momentum effect in Taiwan stock market. Adopting the approach of portfolio analysis and Fama & French three factors model (Fama and French, 1993), thesis tests whether information uncertainty and information asymmetry can explain momentum phenomenon in Taiwan stock market. Empirical results show that there exists mid-term momentum in Taiwan stock market, and that information uncertainty and information asymmetry can individually explain such momentum phenomenon. However, after controlling the information asymmetry, information uncertainty cannot explain the momentum phenomenon anymore. After controlling information uncertainty, information asymmetry still can explain the momentum phenomenon in Taiwan stock market. These results suggest that information asymmetry is the major factor that explains momentum phenomenon in Taiwan stock market.
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