A Study on the Momentum Strategies Using Public Informations about Foreign Investors

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 92 === The object of the paper is to study whether the momentum strategies using public information about long or short positions, and the ratio of stock holding of foreign investors could produce significant profitability. The empirical results support the strategies...

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Bibliographic Details
Main Authors:	Huei-Jhu Lyu, 呂惠珠
Other Authors:	Jin-Jou Dai
Format:	Others
Language:	zh-TW
Published:	2004
Online Access:	http://ndltd.ncl.edu.tw/handle/84136226468670918114

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spelling	ndltd-TW-092CYUT53040022016-01-04T04:08:53Z http://ndltd.ncl.edu.tw/handle/84136226468670918114 A Study on the Momentum Strategies Using Public Informations about Foreign Investors 利用外資的公開資訊採行動量策略之研究 Huei-Jhu Lyu 呂惠珠碩士朝陽科技大學財務金融系碩士班 92 The object of the paper is to study whether the momentum strategies using public information about long or short positions, and the ratio of stock holding of foreign investors could produce significant profitability. The empirical results support the strategies were successful to yield abnormal returns; however, the results depend on how close in time the information used to constitute the portfolio. The average daily return was the largest if the portfolio is made of the strategy of holding for one day. Jin-Jou Dai 戴錦周 2004 學位論文 ; thesis 66 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 朝陽科技大學 === 財務金融系碩士班 === 92 === The object of the paper is to study whether the momentum strategies using public information about long or short positions, and the ratio of stock holding of foreign investors could produce significant profitability. The empirical results support the strategies were successful to yield abnormal returns; however, the results depend on how close in time the information used to constitute the portfolio. The average daily return was the largest if the portfolio is made of the strategy of holding for one day.
author2	Jin-Jou Dai
author_facet	Jin-Jou Dai Huei-Jhu Lyu 呂惠珠
author	Huei-Jhu Lyu 呂惠珠
spellingShingle	Huei-Jhu Lyu 呂惠珠 A Study on the Momentum Strategies Using Public Informations about Foreign Investors
author_sort	Huei-Jhu Lyu
title	A Study on the Momentum Strategies Using Public Informations about Foreign Investors
title_short	A Study on the Momentum Strategies Using Public Informations about Foreign Investors
title_full	A Study on the Momentum Strategies Using Public Informations about Foreign Investors
title_fullStr	A Study on the Momentum Strategies Using Public Informations about Foreign Investors
title_full_unstemmed	A Study on the Momentum Strategies Using Public Informations about Foreign Investors
title_sort	study on the momentum strategies using public informations about foreign investors
publishDate	2004
url	http://ndltd.ncl.edu.tw/handle/84136226468670918114
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A Study on the Momentum Strategies Using Public Informations about Foreign Investors

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