This paper examines the momentum profits for stocks listed on the Taiwan Stock
Exchange over the ten-year sample period from 1997 to 2006. The empirical results indicate a
positive momentum profit for short-run formation periods but negative momentum profits
for long-run formation periods. Moreover, momentum profits are more likely to occur for the
upward portfolio than for the downward portfolio.
The more frequent price reversals for the downward portfolio indicate that traders
appear to react asymmetrically for stocks with upward and downward price trends. This
pattern is consistent with the notion that investors react to bad news more quickly than to
good news (see, for example, Fabozzi et al., 1995). The results are also consistent with the
finding of significant long-term price reversals following down states of markets (see, for
example, Antonios and Patricia, 2006).
Journal of Statistics & Management Systems 13(1):59-75