The performance of Earnings Momentum and Price Momentum Strategies in the Different Market State

• Main Authors: Ming-Lin Wu, 吳銘霖
• Other Authors: Keng-Hsin Lo
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/21171615095331263487

碩士 === 國立中央大學 === 企業管理研究所 === 96 === It’s been a focus of research for many foreign and domestic scholars after Jegadeesh and Tittman(1993) develop the “momentum strategy” theory. Moreover there are many researchers desire to obtain more reasonable explanation for this strategy. Therefore, the main purpose of this research, take the stock market of Taiwan for example, is in order to find out the effect between the market state and the performance of price (earnings) momentum strategy. The finding that the continuous effect of price momentum strategy (R6) is not exists when we consider all the period. Only as market state “UP”, the price momentum strategy can gain the statistically significant profit over one-year period. Conversely, as market state “Down”, we have better use contrarian strategy over six-month period. In other hand, the market state is difficult to affect the performance of earnings momentum strategy. It still exist the continuous effect during in the complete period. Especially, SUE earnings momentum strategy is a better choice when we hold the portfolio for long time period (over 3 years). If deciding to do short-term investment (below 3 months), we can use ABR earnings momentum strategy and reference KD pattern to get the statistically significant profit. Besides, according to Cooper, Gutierrez and Hameed’s (2004) method, we find that there is the overreacting phenomenon in the price momentum (R6) and ABR earnings momentum. It means profits continue to increase as market state improves until the peak is reached. In the end, it will diminish and course reversion because the overreacting phenomenon exists.