摘要(英) |
This paper investigates the profitability of three trading strategies, namely price momentum, 52-week highs, and five-year-low in the Taiwan stock market. By using a sample of all common stocks in Taiwan from1981 January to December 2010, we also compare the relative strength among the three momentum strategies. Following George and Hwang’s (2004) regression model, we conduct a composite analysis of the three momentum strategies, and the empirical results show that price momentum in the Taiwan market and 52-week high momentum strategy are not profitable. A contrarian strategy based on 5-year low that buys 5-year low loser and sells five-year low winner earns excess returns. And after three risk factors adjustment, there are still significant abnormal returns, and found in the Taiwan market strategy in order to form a five-year low winner portfolio inversion phenomenon does not exist long-term return reversals, while the loser portfolio inversion phenomenon, there are long-term return reversals. |
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