| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 92 === This paper evaluates the potential effects of institution-trading on
stocks price using the trading data fully quoted on the Taiwan Securities
Exchange Company (TSEC) from 1993 to 2004.We shows that price-persisting of
stocks refers to their holding-ratio by three institutions. The performance of
stocks with top 10% holding-ratio by institutions will still stay among
top-performing groups in the next periods. We suggest that holding-ratio by
institutions serve as another indicator in addition to past performance in
momentum life cycle model (Lee and Swaminathan,2000).
With MLC model, the feasible strategies are formed as follows: buying
past winner with high holding-ratio by institutions and selling past loser with
low holding-ratio by institutions at the early-stage (defined as ?type);
buying past winner with low holding-ratio by institutions and selling past loser
with high holding-ratio by institutions at the later-stage (defined as
β-type).
The empirical evidence shows that simple momentum strategy is not
necessarily profitable less than one year; however, the high holding-ratio
winner outperforms the simple momentum strategy. Holding-ratio by institutions
and past performance is helpful to determine future performance of the
stock-investing portfolio. For intermediate and short period, the high
holding-ratio portfolio outperforms low holding-ratio one. The main results are
as follows: the ?type momentum strategy profits most regardless of time-span.
Either ?type or β-type momentum strategy outperforms simple price-momentum
strategy in short and intermediate term; however, the results will reverse in
longer than one year.
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