| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士班 === 94 === Base on the “Momentum Life Cycle” proposed by Lee & Swaminathan（2000）, this study try to recognize the state of a stock , and to invest by the stock state. In this study , TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index ) is the most important sample; this study covers periods from January,1990 to June,2005.
The result on recognizing stock state is acceptable, because the changing of stock state is stable and ordered. This is very important because the state can’t be used if the changing of state is unstable.
Furthermore, this study try to invest base on the recognized state, but the result seems unqualified. Because any invoked parameter wouldn’t make a stable profit and beat the market.
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