Profitability of long-short strategies based on Entropy comovement measure and the characteristics of size, value and momentum in the Taiwan stock market
碩士 === 逢甲大學 === 金融碩士在職學位學程 === 107 === We investigate whether executing the long-short investment strategy by using the Entropy comovement measure can earn excess return in the Taiwan stock market. The research period is from December 31, 2008 to December 31, 2018. The empirical analysis shows that...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/j8y992 |