Underreaction, Trading Volume, and Momentum Profits in Taiwan Stock Market_

:::

詳目顯示

第 1 筆 / 總合 1 筆

/1頁

來源文獻資料
外文摘要
引文資料

題名：	Underreaction, Trading Volume, and Momentum Profits in Taiwan Stock Market
書刊名：	Asia Pacific Management Review
作者：	Lin, Mei-chen
出版日期：	2004
卷期：	9:6
頁次：	頁1115-1142
主題關鍵詞：	Momentum；Size；Book-to-market；Industry
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:5 點閱:25

This paper uses a very short period to reexamine the momentum effect in Taiwan stock market, focusing on trading volume, size, and book-to-market factors. It is shown that price momentum exists in Taiwan stock market. In addition, trading volume predicts both the magnitude and the persistence of future price momentum. Specifically, the momentum strategy from buying past low-volume winners and selling past high-volume losers have better performance than the momentum strategy from buying past winners and selling past losers. Though Fama and French [27] three factors can partially explain the momentum profits, the momentum effect cannot be subsumed by the difference in risk factors. The profitability of the momentum strategy also cannot be completely explained as a reward for bearing the exposure to industry factors. The more prolonged accumulation of returns and lack of any observable return reversal support delayed reaction as a better explanation for the momentum returns. Besides, momentums in size and industry portfolios are as strong as individual stocks.

以文找文

期刊論文
1.	Kim, C. J.、Nelson, C. R.、Startz, R.(1998)。Testing for mean reversion in heteroscedastic data based on Gibbs sampling augmented randomization。Journal of Empirical Finance，5(2)，131-154。
2.	Bremer, M. A.、Sweeney, R. J.(1991)。The Reversal of Large Stock-Price Decreases。Journal of Finance，46，747-757。
3.	Hameed, A.、Kusnadi, Y.(2002)。Momentum Strategies: Evidence from the Pacific Basin Stock Markets。Journal of Financial Research，25(3)，383-397。
4.	Datar, V.、Naik, N.、Radcliffe, R.(1998)。Liquidity and Asset Returns: An Alternative Test。Journal of Financial Market，1，203-219。
5.	Shanken, Jay、Kothari, S. P.、Ball, Ray(1995)。Problems in Measuring Portfolio Performance An Application to Contrarian Investment Strategies。Journal of Financial Economics，38，79-107。
6.	Chan, Kakeung C.(1988)。On the Contrarian Investment Strategy。The Journal of Business，61(2)，147-163。
7.	Conrad, J. S.、Hameed, A.、Niden, C.(1994)。Volume and Autocovariances in Short-Horizon Individual Security Returns。The Journal of Finance，49(4)，1305-1330。
8.	Rhee, G. S.、Chang, R. P.(1992)。The Microstructure of Asian Equity Markets。Journal of Financial Services Research，6，437-454。
9.	林楚雄(20000900)。亞洲金融危機對我國股市條件波動結構之影響。亞太管理評論，5(3)，315-330。延伸查詢
10.	Fama, Eugene F.、French, K. R.(1998)。Market Efficiency, Long-Term Returns, and Behavioral Finance。Journal of Financial Economics，49(3)，283-306。
11.	Brown, K. C.、Van Harlow, W.(1988)。Market Overreaction: Magnitude and Intensity-- Surprising Asymmetries Exist in Both Direction and Time。The Journal of Portfolio Management，14(2)，6-13。
12.	Conrad, Jennifer、Kaul, Gautam(1993)。Long-term Market Overreaction or Biases in Computed Returns?。The Journal of Finance，48(1)，39-63。
13.	Harvey, C. R.(1995)。Predictable risk and returns in emerging markets。Review of Financial Studies，8(3)，773-816。
14.	Hansen, Lars Peter(1982)。Large Sample Properties of Generalized Method of Moments Estimators。Econometrica: Journal of the Econometric Society，50(4)，1029-1054。
15.	Lewellen, Jonathan、Shanken, Jay(2002)。Learning, asset-pricing tests, and market efficiency。Journal of Finance，57(3)，1113-1146。
16.	Fama, Eugene F.、French, Kenneth R.(1995)。Size and Book-to-Market Factors in Earnings and Returns。The Journal of Finance，50(1)，131-155。
17.	Lee, Charles M. C.、Swaminathan, Bhaskaran(2000)。Price Momentum and Trading Volume。The Journal of Finance，55(5)，2017-2069。
18.	Moskowitz, Tobias J.、Grinblatt, Mark(1999)。Do Industries Explain Momentum?。The Journal of Finance，54(4)，1249-1290。
19.	Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics，49(3)，307-343。
20.	Campbell, John Y.、Grossman, Sanford J.、Wang, Jiang(1993)。Trading volume and serial correlation in stock returns。The Quarterly Journal of Economics，108(4)，905-939。
21.	Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance，51(1)，55-84。
22.	Stambaugh, Robert F.、Blume, Marshall E.(1983)。Biases in Computed Returns: An Application to the Size Effect。Journal of Financial Economics，12(3)，387-404。
23.	Chan, Louis K. C.、Jegadeesh, Narasimhan、Lakonishok, Josef(1996)。Momentum Strategies。Journal of Finance，51(5)，1681-1713。
24.	Chopra, Navin、Lakonishok, Josef、Ritter, Jay R.(1992)。Measuring Abnormal Performance: Do Stocks Overreact?。Journal of Financial Economics，31(2)，235-268。
25.	De Bondt, Werner F. M.、Thaler, Richard H.(1987)。Further Evidence on Investor Overreaction and Stock Market Seasonality。The Journal of Finance，42(3)，557-581。
26.	Rouwenhorst, K. Geert(1998)。International Momentum Strategies。The Journal of Finance，53(1)，267-284。
27.	Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics，33(1)，3-56。
28.	Hsing, Han-min(20040200)。Leading Indicators of Asian Currency Crisis--The Weighted Signal Approach。Asia Pacific Management Review，9(1)，119-136。
29.	Chui, Andy C. W.、Wei, K. C. John(1998)。Book-to-market, Firm Size, and the Turn-of-the-year Effect: Evidence from Pacific-Basin Emerging Markets。Pacific-Basin Finance Journal，6(3/4)，275-293。
30.	Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance，48(1)，65-91。
31.	Daniel, Kent D.、Hirshleifer, David A.、Subrahmanyam, Avanidhar(1998)。Investor Psychology and Security Market under- and Overreactions。The Journal of Finance，53(6)，1839-1885。
32.	De Bondt, Werner F. M.、Thaler, Richard H.(1985)。Does the Stock Market Overreact?。The Journal of Finance，40(3)，793-805。
33.	Poterba, James M.、Summers, Lawrence H.(1988)。Mean Reversion in Stock Prices: Evidence and Implications。Journal of Financial Economics，22(1)，27-59。
34.	Fama, Eugene F.、French, Kenneth R.(1998)。Value Versus Growth: The International Evidence。The Journal of Finance，53(6)，1975-1999。
35.	Grundy, Bruce D.、Martin, J. Spencer(2001)。Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing。The Review of Financial Studies，14(1)，29-78。
36.	Hong, Harrison、Stein, Jeremy C.(1999)。A Unified Theory of Underreaction, Momentum Trading, and Overreacton in Asset Markets。Journal of Finance，54(6)，2143-2184。
37.	Lehmann, Bruce N.(1990)。Fads, Martingales, and Market Efficiency。The Quarterly Journal of Economics，105(1)，1-28。
38.	Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。
39.	Ross, Stephen A.、Ibbotson, Roger G.、Goetzmann, William、Brown, Stephen J.(1992)。Survivorship Bias in Performance Studies。Review of Financial Studies，5(4)，553-580。
40.	Howe, J. S.(1986)。Evidence of Stock Market Overreaction。Financial Analysts Journal，42，74-77。
41.	Richards, Anthony J.(1996)。Winner-loser Reversals in National Stock Market Indices: Can They Be Explained?。The Journal of Finance，52(5)，2129-2144。
42.	趙雅儀、許溪南(2000)。金融風暴及央行干預對亞洲國家匯率影響之實證研究--介入模式之應用。亞太管理評論，5(1)，1-14。延伸查詢
43.	Kim, M. J.、Nelson, C. R.、Startz, R.(1988)。Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence。The Review of Economic Studies，58，551-528。
44.	羅偉忠、馮鴻璣、陳紹寬、賴志仁(1993)。Dependency in Pacific Basin stock returns。International Review of Financial Analysis，3，199-210。延伸查詢
45.	Amihud, H.、Mendelson, H.(1986)。Asset pricing and bid-ask spread。The Journal of Finance，17，223-249。
46.	Daniel, D. K.(1996)。The power and size of asset pricing tests。Journal of Empirical Finance，8，493-535。
47.	馮鴻璣、Leung, Wai K.、Patterson, G. A.(1999)。Do trading rules based upon winners and losers work across markets? Evidence from the Pacific Basin and U. S. markets。Multinational Finance Journal，3，41-70。

研究報告
1.	Asness, C. S.、Porter, R. B.、Stevens, R. L.(2000)。Predicting stock returns using industry-relative firm characteristics。University of Florida。
2.	Asness, C. S.(1995)。The power of past stock returns to explain future stock returns。沒有紀錄。
3.	Carml, J. P.、Young, M.(1997)。Long horizon mean reversion in the stockmarket: The postwar years。沒有紀錄。

圖書論文
1.	Bailey, W.、Stultz, R. M.、Yen, S.(1990)。Properties of daily stock returns from the Pacific Basin stock markets: Evidence and implications。Pacific-Basin Capital Markets Research。New York, NY。

推文
推薦
引用網址
引用嵌入語法
轉寄

top

:::

相關期刊
相關論文
相關專書
相關著作
熱門點閱

1.	空間訊息與鄰近效果：臺灣總統選舉的配適與預測分析
2.	總統大選對股票市場之動態衝擊分析：美國與臺灣之比較
3.	The Demand for Life Insurance Policy Loans in Korea in the Wake of the 1997 Economic Crisis
4.	個股波動不對稱性之實證研究：以臺灣股票市場為例
5.	Leading Indicators of Asian Currency Crisis--The Weighted Signal Approach
6.	亞洲金融危機對我國股市條件波動結構之影響
7.	金融風暴及央行干預對亞洲國家匯率影響之實證研究--介入模式之應用

無相關博士論文

無相關書籍

無相關著作

無相關點閱

QR Code

臺灣人文及社會科學引文索引資料庫系統

詳目顯示

臺灣人文及社會科學引文索引資料庫