题名

SHORT-TERM MOMENTUM AND INVESTING STRATEGIES IN DAILY RETURNS: EVIDENCE FROM TAIWAN

DOI

10.6291/AIAPM.2016.07.06

作者

Ming-Chang Wang;Hung-Chih Wang;Ya-Chiu Angela Liu

关键词

Momentum Strategies ; Investor Sentiment ; Fancy Stocks ; Short- Term Stock Performance

期刊名称

Advances in Investment Analysis and Portfolio Management

卷期/出版年月

7期(2016 / 03 / 01)

页次

121 - 141

内容语文

英文

英文摘要

The purpose of this study was to verify short-term investment performance in Taiwan stock market by using daily returns and zero investment portfolios. According to relevant legal constraints, transaction costs were deducted, stocks at their rising or falling limit were excluded, and the establishment of momentum strategies was delayed for one week to verify. We observed a price momentum phenomenon and investigated investor sentiment regarding the stock market turnover rate and the ratio of the margin purchase balance to short-sale cause of that. Furthermore, we identified operations that facilitate increasing returns on investments by simulating short-term momentum investment portfolios.

主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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