學術產出-期刊論文
| 題名 | A Timing Momentum Strategy |
| 作者 | 周冠男 Chou, Robin K. Lin, Chaonan Yang, Nien-Tzu Ko, Kuan-Cheng |
| 貢獻者 | 財管系 |
| 關鍵詞 | Moving average;Momentum investing;Return predictability;Information uncertainty |
| 日期 | 2021-07 |
| 上傳時間 | 11-四月-2022 15:43:21 (UTC+8) |
| 摘要 | We propose a timing momentum strategy by incorporating moving-average signals in the price momentum and show that the proposed strategy substantially outperforms the buy-and-hold strategy. The performance of the timing momentum is better than that of Barroso and Santa-Clara’s (2015) constant-volatility momentum and is identical to that of Daniel and Moskowitz’s (2016) dynamic momentum. One advantage of the timing momentum is that its weights on winner and loser portfolios are lower than the other two strategies, thus leading to lower transaction costs. Further, we show that the profitability of the timing momentum is enhanced when information uncertainty is high. More importantly, the timing momentum has time-invariant profitability across various time-series predictors and during periods of momentum crashes. |
| 關聯 | Accounting and Finance, Vol.62, pp.1339-1379 |
| 資料類型 | article |
| DOI | https://doi.org/10.1111/acfi.12825 |
| dc.contributor | 財管系 | - |
| dc.creator (作者) | 周冠男 | - |
| dc.creator (作者) | Chou, Robin K. | - |
| dc.creator (作者) | Lin, Chaonan | - |
| dc.creator (作者) | Yang, Nien-Tzu | - |
| dc.creator (作者) | Ko, Kuan-Cheng | - |
| dc.date (日期) | 2021-07 | - |
| dc.date.accessioned | 11-四月-2022 15:43:21 (UTC+8) | - |
| dc.date.available | 11-四月-2022 15:43:21 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-四月-2022 15:43:21 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/139823 | - |
| dc.description.abstract (摘要) | We propose a timing momentum strategy by incorporating moving-average signals in the price momentum and show that the proposed strategy substantially outperforms the buy-and-hold strategy. The performance of the timing momentum is better than that of Barroso and Santa-Clara’s (2015) constant-volatility momentum and is identical to that of Daniel and Moskowitz’s (2016) dynamic momentum. One advantage of the timing momentum is that its weights on winner and loser portfolios are lower than the other two strategies, thus leading to lower transaction costs. Further, we show that the profitability of the timing momentum is enhanced when information uncertainty is high. More importantly, the timing momentum has time-invariant profitability across various time-series predictors and during periods of momentum crashes. | - |
| dc.format.extent | 310005 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Accounting and Finance, Vol.62, pp.1339-1379 | - |
| dc.subject (關鍵詞) | Moving average;Momentum investing;Return predictability;Information uncertainty | - |
| dc.title (題名) | A Timing Momentum Strategy | - |
| dc.type (資料類型) | article | - |
| dc.identifier.doi (DOI) | 10.1111/acfi.12825 | - |
| dc.doi.uri (DOI) | https://doi.org/10.1111/acfi.12825 | - |