| Summary: | 碩士 === 嶺東科技大學 === 財務金融研究所 === 102 === This study explores investing style in the frame of momentum strategy proposed by Jegadeesh and Titman(1993). The sample comprises firms listed on the TSEC over 1 January, 2002 to 31 December, 2012. Daily data including stock return is derived from TEJ database. In addition,folling Novy-Marx(2012). Between the formation period and the holding period, were added at interval period.
Empirical results show use period interval way to build momentum portfolio, after the formation period of a 40 day interval of investment portfolio, Get up to 70% significant positive return. Compared to traditional momentum strategy only 45% of the investment portfolio to get positive returns.Not found in the traditional reverse momentum strategy strategy, when the formation period of a 180 day interval period of investment portfolio, Get up to 72% significant negative return. If you change the use of contrarian investment strategy, the empirical results show the contrarian strategy is stronger than momentum strategies.
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