| Summary: | 碩士 === 國立彰化師範大學 === 企業管理學系國際企業經營管理 === 96 === ABSTRACT
This paper examines whether momentum or contrarian phenomena exist in Taiwan stock market and applies stock momentum strategies in Taiwanese convertible bond market for the period during 2005 – 2007. Samples are listed companies which issue convertible bond in Taiwan.
Based on monthly data, it is found that momentum strategy can not make significant profit in stocks. However, if investors put convertible into consideration, the previous winner portfolio can generate significant positive returns in convertible bond market. Buying winner/selling loser strategy works better when convertible bonds are involved.
It is suggested that investors should consider convertible bonds as one of their investments when momentum strategy is applied.
Keyword：Momentum, Overreaction, Contrarian Strategy, Convertible Bond
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