請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38650
標題: | Momentum Strategies Comparison in Taiwan |
作者: | Yung-Yu Tsai 蔡詠裕 |
指導教授: | 邱顯比 |
關鍵字: | 動量策略,投資策略, Momentum Strategy,Investment strategy, |
出版年 : | 2005 |
學位: | 碩士 |
摘要: | 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. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38650 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融學系 |
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