| dc.contributor | 金融系 | |
| dc.creator (作者) | 羅秉政 | |
| dc.creator (作者) | KendroVincent | |
| dc.creator (作者) | Chen, Yi-ting | |
| dc.date (日期) | 2016-01 | |
| dc.date.accessioned | 6-Jul-2022 09:59:51 (UTC+8) | - |
| dc.date.available | 6-Jul-2022 09:59:51 (UTC+8) | - |
| dc.date.issued (上傳時間) | 6-Jul-2022 09:59:51 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/140797 | - |
| dc.description.abstract (摘要) | This article examines the role of market momentum, investor sentiment, and economic fundamentals in forecasting bear stock market. We find strong evidence that bear stock market is predictable by market momentum and investor sentiment in full-sample and out-of-sample analyses. Most economic fundamental variables lose their out-of-sample significance once we control for market momentum and investor sentiment. However, the inclusion of economic fundamentals can improve the economic value of the forecasting model in our trading experiments. | |
| dc.format.extent | 96 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Forecasting, Vol.35, No.6, pp.504-527 | |
| dc.title (題名) | The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1002/for.2392 | |
| dc.doi.uri (DOI) | https://doi.org/10.1002/for.2392 | |
