Investor Sentment and Momentun Investment Strategy for Investment Portfolio Analysis
碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 104 === Using monthly data on Taiwanese public-listed firms in TSE from Janauary 1991 to December 2015, this thesis empirically investigate the umpacts of investor’s sentiment states on the portfolios of moementum starategies. The empirical findings indicate that...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/81873545811571673550 |
| Summary: | 碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 104 === Using monthly data on Taiwanese public-listed firms in TSE from Janauary 1991 to December 2015, this thesis empirically investigate the umpacts of investor’s sentiment states on the portfolios of moementum starategies. The empirical findings indicate that price momentum in all periods show significantly positive returns at announcement date (t=0), the winer-losser potfolios present the significantly positive returns. During the pesemistic period of investor’s sentiment, all potifolio at anouncement date show significantly positive returns in the short-term, while kepping the significance in the long-run of 5-6 and 8-9 months.
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