| Summary: | 碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === This study investigates the profitability of contrarian strategies on the Taiwan stock market. We examine whether the contrarian strategies can create significant profits under different ranking horizons and holding horizons. The empirical results show that overall contrarian strategies are unprofitable on the Taiwan stock market, but There are only three significant profitable momentum strategies, including the (15,5) strategy, the (15,10) strategy and the (15,20) strategy.
In addition, we address three regression models including single factor model, Fama and French model, Fama and French and turnover factor model. We find that Fama and French and turnover factor model’s average ability to explain is the best through regression analysis. But, its factors are not all remarkable for the explanation of excess returns.
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