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| Title | Technical, fundamental, and combined information for separating winners from losers |
| Creator | 陳鴻毅 Chen, Hong-Yi;Lee, Cheng-Few;Shih, Wei K. |
| Contributor | 財管系 |
| Key Words | BOS ratio; Combined investment strategy; Financial statement analysis; Fundamental analysis; Momentum strategies; Technical analysis; Trading volume |
| Date | 2016-09 |
| Date Issued | 17-Jan-2017 16:49:05 (UTC+8) |
| Summary | This study examines how fundamental accounting information can be used to supplement technical information to separate momentum winners from losers. We first introduce a ratio of liquidity buy volume to liquidity sell volume (BOS ratio) to proxy the level of information asymmetry for stocks and show that the BOS momentum strategy can enhance the profits of momentum strategy. We further propose a unified framework, produced by incorporating two fundamental indicators—the FSCORE (Piotroski, 2000) and the GSCORE (Mohanram, 2005)—into momentum strategy. The empirical results show that the combined investment strategy includes stocks with a larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns. |
| Relation | Pacific-Basin Finance Journal, 39, 224-242 |
| Type | article |
| DOI | http://dx.doi.org/10.1016/j.pacfin.2016.06.008 |
| dc.contributor | 財管系 | |
| dc.creator (作者) | 陳鴻毅 | zh_TW |
| dc.creator (作者) | Chen, Hong-Yi;Lee, Cheng-Few;Shih, Wei K. | |
| dc.date (日期) | 2016-09 | |
| dc.date.accessioned | 17-Jan-2017 16:49:05 (UTC+8) | - |
| dc.date.available | 17-Jan-2017 16:49:05 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Jan-2017 16:49:05 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/105858 | - |
| dc.description.abstract (摘要) | This study examines how fundamental accounting information can be used to supplement technical information to separate momentum winners from losers. We first introduce a ratio of liquidity buy volume to liquidity sell volume (BOS ratio) to proxy the level of information asymmetry for stocks and show that the BOS momentum strategy can enhance the profits of momentum strategy. We further propose a unified framework, produced by incorporating two fundamental indicators—the FSCORE (Piotroski, 2000) and the GSCORE (Mohanram, 2005)—into momentum strategy. The empirical results show that the combined investment strategy includes stocks with a larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns. | |
| dc.format.extent | 110 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Pacific-Basin Finance Journal, 39, 224-242 | |
| dc.subject (關鍵詞) | BOS ratio; Combined investment strategy; Financial statement analysis; Fundamental analysis; Momentum strategies; Technical analysis; Trading volume | |
| dc.title (題名) | Technical, fundamental, and combined information for separating winners from losers | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1016/j.pacfin.2016.06.008 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.pacfin.2016.06.008 |