Hybrid momentum effect: earnings momentum and price momentum
碩士 === 國立東華大學 === 財務金融學系 === 106 === This paper examines the profitability of a new hybrid momentum strategy, PCM, which is constructed from R6 price momentum strategy, SUE and CAR4 earnings momentum strategies via principle component analysis. The empirical results are as fallows. First, the PCM st...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
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| Online Access: | http://ndltd.ncl.edu.tw/handle/q62xnh |