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並列摘要
Some finance literatures document that momentum profits depend on the state of the market. We try to reconfirm if momentum profits are sensitive to market states, especially the intermediate horizon past performance. Our results reveal that momentum profits based on market states generate positive returns, and strategies in down-market create higher return than strategies in up-market. Moreover, the profits of intermediate horizon past performance are always higher than recent past performance.
參考文獻
Geert, 1998, International Momentum Strategies, Journal of Finance 53, 267-284.
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Jegadeesh and Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65-91.
Jegadeesh and Titman, 2001, Profitability of Momentum Strategies: An Evaluation of Alternative Explanations, Journal of Finance 56, 699-720.
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延伸閱讀
- Chen, H. Y. (2003). 全球動能策略之研究分析 [master's thesis, Yuan Ze University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0009-0112200611334052
- Lin, H. W. (2016). 動能策略研究 [doctoral dissertation, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU201600149
- 楊朝榮（2013）。淺談目前集中市場動能問題。證交資料，(613)，6-7。https://www.airitilibrary.com/Article/Detail?DocID=P20150803001-201305-201508040019-201508040019-6-7
- 林奕全（2017）。隨機優越框架下之動能投資策略〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU201702394
- 洪茂蔚、林宜勉、劉志諒（2007）。The Profitability anti the Determinants of Momentum Investment Strategy。中山管理評論，15(3)，515-546。https://doi.org/10.6160/2007.09.01