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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38650完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 邱顯比 | |
| dc.contributor.author | Yung-Yu Tsai | en |
| dc.contributor.author | 蔡詠裕 | zh_TW |
| dc.date.accessioned | 2021-06-13T16:40:34Z | - |
| dc.date.available | 2007-07-07 | |
| dc.date.copyright | 2005-07-07 | |
| dc.date.issued | 2005 | |
| dc.date.submitted | 2005-07-04 | |
| dc.identifier.citation | References
1. Barberis, N., A., Shleifer, and R., Vishny, 1998, A model of investor Sentiment, Journal of Financial Economics 49, 307-403. 2. Chan, L. K., C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum Strategies, Journal of Finance, 1681-1713. 3. Daniel, K., D. Hirshleifer, and A. Subrahmanyam, 1998, Investors, psychology and security market under- and overreactions, Journal of Finance 53, 1839-1885. 4. DeBondt, W., and R. Thaler, 1985, Does the stock market overreact？ Journal of Finance 40, 793-805. 5. Fama, E., 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance 25, 383-417. 6. Fama, E., and J. MacBeth, 1973, Risk, return and equilibrium：Empirical tests, Journal of Political Economy 81, 607-636. 7. Gan, Y. W., 2002, Momentum strategy and overreaction in Taiwan stock market, Master Degree Thesis, Department of Business Administration, National Chen-Kung University. 8. George, J. T. and C.Y. Hwang, 2004, The 52-week high and momentum investing, Journal of Finance 5, 2145-2176. 9. Grinblatt, M. and M. Keloharju, 2001, What makes investors trade？, Journal of Finance 51, 589-616. 10. Harrison, H., and J. C. Stein, 1999, A unified theory of underreaction, momentum trading, and overreaction in asset markets, Journal of Finance 54, 2143-2184. 11. Hong, H., and J. Stein, 1999, A unified theory of underreaction, momentum trading and overreaction in asset markets, Journal of Finance 54, 2143-2184. 12. Jagadeesh, N., and S. Titman, 1993, Returns to buying winners and selling losers: Implication for market efficiency, Journal of Finance 48, 65-91. 13. Jagadeesh, N., and S. Titman, 2001, Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699-718. 14. Lee, Charles M. C., and B. Swaminathan, 2000, Price momentum and trading volume, Journal of Finance 55, 2017-2069. 15. Moskowitz, T. and M. Grinblatt, 1999, Do industries explain momentum？ Journal of Finance 54, 1249-1290. 16. Xie, C. X., 1993, An empirical study on relative strength strategy, Master Degree Thesis, Department of Finance, National Taiwan University. 17. You, Y. C., 2000, The study of the relation between industry and price momentum strategies, Master Degree Thesis, Department of Finance, National Cheng-Chi University. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38650 | - |
| dc.description.abstract | Abstract
The purpose of this study is to examine and confirm the best strategies in the Taiwan Stock Market by comparing six different momentum strategies proposed by Jagadeesh and Titman (1993), Moskowitz and Grinblatt (1999), George and Hwang (2004) and another unique strategy in this study, GH Revised 52-week strategy. Compared with these six momentum strategies, we get some findings that GH Revised 52-week High and Low strategies could earn the most profits no matter January is included or excluded in the period of 1989 to 2003 in Taiwan Securities Exchange. Alternatively, GH Revised 52-week High and Low strategies are the best short-term investment strategies. But in long-term investment, using MG and GH Revised 52-week Low strategies are superior to sustain the profitability. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T16:40:34Z (GMT). No. of bitstreams: 1 ntu-94-R92723036-1.pdf: 204758 bytes, checksum: 5dae72801affe58374d75a107a619335 (MD5) Previous issue date: 2005 | en |
| dc.description.tableofcontents | Table of Contents
I、 INTRODUCTION 1 II、 DATA 5 III、 METHODOLOGY 8 A、 JAGADEESH AND TITMAN (1993) 8 B、 MOSKOWITZ AND GRINBLATT (1999) 8 C、 GEORGE AND HWANG (2004) 9 D、 REVISED GEORGE AND HWANG (2004) 10 IV、 PROFITABILITY TEST 11 V、 SUBPERIOD ANALYSIS 18 VI、 DOMINANCE TEST 22 VII、 LONG-TERM REVERSAL TEST 25 VIII、 CONCLUSION 33 IX、 SUGGESTION 36 X、 REFERENCES 37 | |
| dc.language.iso | en | |
| dc.title | Momentum Strategies Comparison in Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 93-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 李存修,許培基 | |
| dc.subject.keyword | 動量策略,投資策略, | zh_TW |
| dc.subject.keyword | Momentum Strategy,Investment strategy, | en |
| dc.relation.page | 38 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2005-07-04 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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