Style Momentum Strategies: Evidence from Taiwan Stock Market
碩士 === 國立中央大學 === 財務金融學系 === 102 === The study examines the performance of style momentum strategies used in Taiwan stock market by delving into the data of listed companies from 1993 to 2013. We segmented the sample into ten portfolios by market value of equity, book-to-market ratio, and dividend y...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/12055594850074808749 |
| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 102 === The study examines the performance of style momentum strategies used in Taiwan stock market by delving into the data of listed companies from 1993 to 2013. We segmented the sample into ten portfolios by market value of equity, book-to-market ratio, and dividend yield. The result shows that the returns of the arbitrage portfolio are positive and statistically significant based on the past 9 and 12 month returns. Moreover, winners in general are small-cap stocks and losers are mostly no-dividend stocks. Meanwhile style momentum profits are more significant with an adjustment for price momentum, but not with an adjustment for industry momentum.
|
|---|