The Difference in the Momentum Effects of Overperforming versus Underperforming Stock Returns Using Quantile Regression

• Main Authors: Shu-ping Chang, 張淑萍
• Other Authors: Jian-xing Lee
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/53003322421013862803

碩士 === 義守大學 === 財務金融學系碩士班 === 96 === Past empirical research on the momentum effect concerned with momentum portfolio that was constructed under portfolio and the samples having high and low return stocks. This study investigates the difference of individual stock momentum effect between high (over-performing) and low (underperforming) returns by using quantile regression method. This study observes Taiwanese stock market during the period of 1985 to 2006. We find that momentum effect of over-performing stocks reveals a positive effect while it happens to be the opposite result for the underperforming stocks. The meanings of the evidence are as follows: First of all, past research that aggregating over-performing and underperforming stocks may lead to an inaccurate result in existing non-stable momentum effect in worldwide markets. Furthermore, we find that EPS of over-performing stocks with positive momentum effect are higher than underperforming stocks with negative momentum effect. Consequently, being different from Jegadeesh and Titman’s (1993, 2001) strategies, we suggest investors to study not only the technical analysis but also to analyze the fundamental performance of over-performing and underperforming dealing.