Efficacy Analysis of the Residual Short-term Reversal Strategy in Taiwan Stock Market

• Main Authors: Hsiang-Mei Li, 李香玫
• Other Authors: Shyh-Weir Tzang
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/40236808912471121035

碩士 === 亞洲大學 === 國際企業學系碩士在職專班 === 101 === The previous studies on momentum and reversal strategy mostly adopt rate of return on stocks to construct portfolios. By following the residual strategy proposed by Blitz, Huij, Lansdorp and Verbeek (2011), this paper tries to explore whether their strategy works in emerging market like Taiwan. Empirical results show that the performance of residual reversal strategy is four times as large as that of traditional reversal strategy, a result consistent with Blitz et al. (2011). However, the residual reversal portfolio is found to underperform the smallest residual quintile portfolio, of which the return is twice as large as that of the residual reversal portfolio. The calendar month effects are also examined but the results are mixed among various portfolio strategies.