| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 101 === Momentum strategies, which buy past winners and sell past losers, generate significant positive average returns over 3- to 12-month holding periods. This is the first study to investigate the relationship between individual stock momentum and industry momentum based on unexpected sales in the Taiwan stock market. The results show that there are significant sales momentum effects of individual stock and industry. Sales momentum effects of individual stock persist after controlling industrial sales momentum. However, industrial sales momentum strategies are significantly less profitable once we control for sales momentum of individual stock and, for the most part, are statistically insignificant.
These results show that while industrial sales momentum is almost entirely explained by sales momentum of individual stock, the converse is not true. After controlling for industries, price momentum, earnings momentum, market state and systematic risk we can also get a similar conclusion.
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