English  |  正體中文  |  简体中文  |  Items with full text/Total items : 90074/105197 (86%)
Visitors : 7157798      Online Users : 91
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/9921

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/9921

    Title: Relative strength and momentum profits
    Authors: Wang, Kuei-yuan;Cheng-Yi Chien;Yen-Sheng Huang
    Contributors: 財務金融學系
    Keywords: Contrarian strategy;momentum strategy;Taiwan stock market
    Date: 2010
    Issue Date: 2010-06-08 13:53:37 (UTC+8)
    Publisher: Asia University
    Abstract: 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).
    Relation: Journal of Statistics & Management Systems 13(1):59-75
    Appears in Collections:[財務金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    310904400-9921.doc31KbMicrosoft Word407View/Open

    All items in ASIAIR are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback