The Study On The Momentum Profits Of Taiwan Listed Companies
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 96 === By utilizing the past-return momentum strategies of Jegadeesh and Titman (1993), and the 52-week high and low momentum strategies of George and Hwang (2004), this paper aims to investigate whether these strategies can generate positive profits for Taiwan list...
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ndltd-TW-096KUAS02130452016-05-16T04:10:15Z http://ndltd.ncl.edu.tw/handle/03580688614024999869 The Study On The Momentum Profits Of Taiwan Listed Companies 台灣上市公司動能策略績效之研究 Pei-Rong Chen 陳姵蓉 碩士 國立高雄應用科技大學 金融資訊研究所 96 By utilizing the past-return momentum strategies of Jegadeesh and Titman (1993), and the 52-week high and low momentum strategies of George and Hwang (2004), this paper aims to investigate whether these strategies can generate positive profits for Taiwan listed companies from June 1987 through September 2007. Moreover, we compare the performance among these three momentum strategies, and test if there exists the January effect. At last, the firm-level characteristics of winner and loser portfolios are examined. The empirical results show that for the “full-sample”(all listed companies) the holding period returns (buying past winning stocks and selling past losing stocks), in general, are significantly negative by using JT’s strategy. This means there is return-reversal instead of momentum effect in Taiwan stock market. However, for electronic stocks JT’s strategy produces momentum profits in the short-run (when forming portfolios based on past one to six-month) and this momentum effect disappears in the long run. The empirical findings of 52-week high strategy are similar to those of JT’s strategy. Besides the momentum profits (for electronic stocks) are larger by adopting JT’s strategy as compared to the 52-week high strategy. As to the 52-week low strategy, we document a very different phenomenon: 52-week low momentum investment strategy is significantly profitable for all listed companies as well as for electronic stocks. As a result, we suggest that investors should use 52-week low strategy if they want to make momentum investing in Taiwan stock market. The test of January effect shows that the holding period returns are significantly impacted by the inclusion of January. By excluding the holding period return in January, it reveals that contrary to the aforementioned findings the three momentum strategies, overall, generate positive profits. In addition, Taiwan stock market has the so-called January effect as we find that the returns in January are larger than returns in other months. Finally, we find that the winner portfolios formed on JT’s strategy have bigger firm size, higher P/E ratio and beta, and lower book-to-market equity ratio as compared to the loser portfolios. This indicates that the size effect and book-to-market equity effect might contribute to the return-reversal found. By the same reasoning we guess that the higher returns of loser portfolios formed on 52-week high strategy might in part reflect the influence of size effect, and the higher returns of winner portfolios formed on 52-week low strategy might reflect the impact of betas. Yu-Hsiu Lin 林育秀 2008 學位論文 ; thesis 118 zh-TW |
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碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 96 === By utilizing the past-return momentum strategies of Jegadeesh and Titman (1993), and the 52-week high and low momentum strategies of George and Hwang (2004), this paper aims to investigate whether these strategies can generate positive profits for Taiwan listed companies from June 1987 through September 2007. Moreover, we compare the performance among these three momentum strategies, and test if there exists the January effect. At last, the firm-level characteristics of winner and loser portfolios are examined.
The empirical results show that for the “full-sample”(all listed companies) the holding period returns (buying past winning stocks and selling past losing stocks), in general, are significantly negative by using JT’s strategy. This means there is return-reversal instead of momentum effect in Taiwan stock market. However, for electronic stocks JT’s strategy produces momentum profits in the short-run (when forming portfolios based on past one to six-month) and this momentum effect disappears in the long run. The empirical findings of 52-week high strategy are similar to those of JT’s strategy. Besides the momentum profits (for electronic stocks) are larger by adopting JT’s strategy as compared to the 52-week high strategy. As to the 52-week low strategy, we document a very different phenomenon: 52-week low momentum investment strategy is significantly profitable for all listed companies as well as for electronic stocks. As a result, we suggest that investors should use 52-week low strategy if they want to make momentum investing in Taiwan stock market.
The test of January effect shows that the holding period returns are significantly impacted by the inclusion of January. By excluding the holding period return in January, it reveals that contrary to the aforementioned findings the three momentum strategies, overall, generate positive profits. In addition, Taiwan stock market has the so-called January effect as we find that the returns in January are larger than returns in other months.
Finally, we find that the winner portfolios formed on JT’s strategy have bigger firm size, higher P/E ratio and beta, and lower book-to-market equity ratio as compared to the loser portfolios. This indicates that the size effect and book-to-market equity effect might contribute to the return-reversal found. By the same reasoning we guess that the higher returns of loser portfolios formed on 52-week high strategy might in part reflect the influence of size effect, and the higher returns of winner portfolios formed on 52-week low strategy might reflect the impact of betas.
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author2 |
Yu-Hsiu Lin |
author_facet |
Yu-Hsiu Lin Pei-Rong Chen 陳姵蓉 |
author |
Pei-Rong Chen 陳姵蓉 |
spellingShingle |
Pei-Rong Chen 陳姵蓉 The Study On The Momentum Profits Of Taiwan Listed Companies |
author_sort |
Pei-Rong Chen |
title |
The Study On The Momentum Profits Of Taiwan Listed Companies |
title_short |
The Study On The Momentum Profits Of Taiwan Listed Companies |
title_full |
The Study On The Momentum Profits Of Taiwan Listed Companies |
title_fullStr |
The Study On The Momentum Profits Of Taiwan Listed Companies |
title_full_unstemmed |
The Study On The Momentum Profits Of Taiwan Listed Companies |
title_sort |
study on the momentum profits of taiwan listed companies |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/03580688614024999869 |
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