從訊息面看台灣股市週報酬的動量現象; Momentum in weekly return from information diffusion in the Taiwan stock market

NCUIR > School of Management at National Central University > Graduate Institute of Business Administration > Electronic Thesis & Dissertation > Item 987654321/12021

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12021

Title:	從訊息面看台灣股市週報酬的動量現象;Momentum in weekly return from information diffusion in the Taiwan stock market
Authors:	蔡知倫;Chih-Lun Tsai
Contributors:	企業管理研究所
Keywords:	投資策略;訊息;反應不足;動量;investment strategies;momentum;under-reactions;information
Date:	2008-06-06
Issue Date:	2009-09-22 14:37:35 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究以週報酬形成的動量策略檢視台灣股票市場在持有期一年內是否存在動量現象，實證結果發現：在持有期一年內有持續向上的動量現象，且極短期並未出現反轉現象。這樣的結果在加入訊息發佈這個因子後，持續的動量現象仍然存在，即無論有無明確公開訊息發佈或是從訊息本身的不確定性程度高低來觀察，動量投資策略仍然奏效，因此推論投資人在一年內對於訊息存在反應不足的現象，所以利用週報酬形成的動量策略可以獲利。 This paper focuses on the existence of price momentum in weekly return over 52 weeks in the Taiwan stock market. The finding reveals price momentum in returns is up to one year and initial reversal never happens. The result is the same that momentum continuation following information diffusion over one year holding period. No matter how explicit the news release and uncertain the information itself is, the momentum strategies are effective. It is concluded that momentum profits in weekly return are attributed to investors’ under-reaction to information.
Appears in Collections:	[Graduate Institute of Business Administration] Electronic Thesis & Dissertation

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