| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 107 === This research will be on the shares of companies listed in Taiwan. The research analyzed daily data for a total of 2,474 days from 2009 to 2018. It is based on the stock price return rate of the past J days (formation period). Then the strategic investment of value or momentum strategy with zero transaction cost and continue for K days (holding period) to calculate strategic compensation, the category of industry as an analysis facet, to analyze the performance of long-term value stocks and short-term momentum investing strategy portfolios by T verification.
The research results show that investors have different preferences for various industries, so they will use different investment strategies, In terms of industry categories, for example, Biotechnology, Building Materials, Electrical Machinery, Computer Peripherals, Electronic Components, etc., whether it is long-term or short-term investment, investors can use the reverse operation strategy to obtain positive compensation. Other various stocks such as: Textile, Steel, Chemical, Communications, Optoelectronics, Semiconductor, other electronics, etc., investors have different investment opinions on long-term value stocks and short-term momentum investing strategy in terms of holding private information or analyzing financial statements.
|
|---|
