Value and Momentum Strategies：Evidence from Taiwan Stock Market
碩士 === 東海大學 === 財務金融學系 === 101 === This study examines how the interaction of momentum strategy and value strategy can impact return in Taiwan stock market. Empirically, despite that the momentum strategy does not generate statistically significant excess return, it enhances he return profit from...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/twwx2y |
| Summary: | 碩士 === 東海大學 === 財務金融學系 === 101 === This study examines how the interaction of momentum strategy and value strategy can impact return in Taiwan stock market. Empirically, despite that the momentum strategy does not generate statistically significant excess return, it enhances he return profit from value strategy. We find that excess returns from value strategy are boosted the most for the winner portfolio. Further, we find that the momentum-value strategy can still generate the excess risk-adjusted returns from the four factor asset pricing model. These results suggest that investors may possibly profit from holding value-winners selling growth-losers.
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