Reinvestigating the Momentum Strategy Based on Conditional Value at Risk and Higher Order Moments in Taiwan Stock Market
碩士 === 國立臺北大學 === 企業管理學系 === 97 === The goals of this paper are enhance the ability, which we focus on the stock selection criteria and the size of winner and loser portfolios, of momentum to earn excess return in Taiwan stock market and explain the momentum payoffs by higher order moments. The data...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/51507653925727953611 |