| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 103 === Abstract
Title of thesis: The Performance of A Trading Strategy - Stock Price Hit A Record High
Department of Finance and International Business (Master’s Program in Finance)
Fu Jen University
Student: Wang, Sheng-Han
Advisor: Yang, Ya-Wei
Total pages: 50
Key Words: Momentum strategy, Trading strategy, Excess return
Abstract:
In this paper, we examine the performance of the momentum strategy based on the Taiwanese listed stocks during 2007-2014. We find that the momentum strategy outperform the market index for the whole sample period based on our results of simple and risk-adjusted stock returns (Treynor ratio, Sharpe ratio, and Jensen Alpha). In addition, our results hold even if we separate the whole period into two subperiods (Jan. 2009- Dec. 2014 and Oct. 2007- Dec. 2009).
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