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題名:英國暨台灣的動能投資策略獲利能力
作者:朱曉洪
作者(外文):Hsiao-HungChu
校院名稱:國立成功大學
系所名稱:企業管理學系碩博士班
指導教授:江明憲
學位類別:博士
出版日期:2010
主題關鍵詞:momentumcontrarianinstitutional investorsindividual investorslead-lag effectindustry momentumindividual momentumholding periodformation periodvalue stocksgrowth stocks
原始連結:連回原系統網址new window
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In a developing country such as Taiwan in which the majority investors are individuals, the stock market is a contrarian one. In a developed country such as the UK in which the majority investors are institutions, the stock market is a momentum one. Furthermore, the industry factor is important in explaining the momentum phenomena, with different effects in momentum and contrarian countries. In momentum countries, it is more efficient investment strategy for investors to combine the individual momentum with the industry momentum than in contrarian countries. The driving force of the industry momentum and the individual momentum seems different. Especially the industry momentum is stronger than the individual momentum in short term- one month to change the contrarian phenomenon into the momentum phenomenon. The investment portfolios presented in this work are developed by buying individual stocks which are part of a winning industry in a contrarian country, and individual stocks which are part of a median industry in a momentum country, thus earning more profits with the formation periods plus the holding periods less than twelve months. At last, the value stocks outperform the growth stocks in momentum countries and the growth stocks outperform value stocks in contrarian countries.
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