Buying Winners and Selling Losers:Under Framework of Stochastic Dominance

• Main Authors: Yi-Chuan Lin, 林奕全
• Other Authors: Larry Tzeng
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/8jau9q

碩士 === 國立臺灣大學 === 財務金融學研究所 === 105 === In the field of stock investment, momentum strategy is an important approach which belongs to a part of technical analysis. The advantage of momentum strategy lies in its simplicity of computation. What this method needs is only to sort asset return in portfolio formation period, and then construct portfolio according to the result. This study follows the idea of momentum strategy. We use five criteria: FSD,AFSD,SSD,ASSD,and GASSD to construct zero-cost, equal amount portfolio by relative strength strategy. The result shows that the portfolio using SSD and ASSD can generate excess return in parts of months in holding period. Finally, this study intends to explain excess return in the view of asset pricing factor model and overreaction. The results show that asset pricing factor model can explain half variation of excess return. In SSD, systemic risk factor, momentum factor can explain more than half variation of excess return; in ASSD, almost half variation of excess return can be explained by only momentum factor. Moreover, investor’s overreaction can’t explain the variation of excess return