Momentum Profits and Idiosyncratic Risk：Evidences on Hong Kong, Taiwan and China
博士 === 國立高雄第一科技大學 === 財務金融學院博士班 === 106 === This paper examines the existence of momentum profits from 1993 to 2014 and uses the GJR-GARCH (1,1)-M model to examine the sources of momentum profits. Empirical evidence shows that there are momentum profits in Hong Kong, Taiwan and China. Idiosyncratic...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/6b9qf5 |