The momentum of specialists'' recommendation.
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 89 === This study documents that strategies which buy winner portfolios that have performed well in the past and sell loser portfolios that have performed poorly in the past generate significant positive returns over five to twelve week holding periods. We find that th...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2001
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| Online Access: | http://ndltd.ncl.edu.tw/handle/84127841882959732824 |
| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 89 === This study documents that strategies which buy winner portfolios that have performed well in the past and sell loser portfolios that have performed poorly in the past generate significant positive returns over five to twelve week holding periods. We find that the profitability of these strategies are due to their systematic risk or do delayed stock reactions to common factors. Empirical results suggests that Taiwan stock market may not an efficient market. Finally, this study analyzes portfolio strategies based on the Momentum Life cycle by Lee and Swaminathan（2000）past trading volume does not predicts both the magnitude and persistence of price momentum.
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