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| Title | Revisiting the momentum effect in Taiwan: The role of persistency |
| Creator | 陳鴻毅 Chen, Hong-Yi;Hsieh, Chia-Hsun;Lee, Cheng-Few |
| Contributor | 財管系 |
| Key Words | Momentum persistency; Underreaction; Heterogeneous beliefs; Taiwan stock market |
| Date | 2023-04 |
| Date Issued | 29-Jan-2024 09:12:00 (UTC+8) |
| Summary | The Taiwan stock market has been widely documented as a remarkable exception to the momentum phenomenon. We show evidence that a high turnover rate exists for winner and loser portfolios, which in turn attenuates momentum profits in this market. Nevertheless, a persistency-based momentum strategy that involves buying persistent winners and short-selling persistent losers generates significant profits in the intermediate term, and thus claims a momentum effect for this market. Further analysis indicates that momentum persistency is positively associated with investors' heterogeneous beliefs. Finally, the persistency-based momentum strategy is robustly profitable for international markets, especially those without the momentum effect. |
| Relation | Pacific-Basin Finance Journal, Vol.78, 101943 |
| Type | article |
| DOI | https://doi.org/10.1016/j.pacfin.2023.101943 |
| dc.contributor | 財管系 | |
| dc.creator (作者) | 陳鴻毅 | |
| dc.creator (作者) | Chen, Hong-Yi;Hsieh, Chia-Hsun;Lee, Cheng-Few | |
| dc.date (日期) | 2023-04 | |
| dc.date.accessioned | 29-Jan-2024 09:12:00 (UTC+8) | - |
| dc.date.available | 29-Jan-2024 09:12:00 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Jan-2024 09:12:00 (UTC+8) | - |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/149411 | - |
| dc.description.abstract (摘要) | The Taiwan stock market has been widely documented as a remarkable exception to the momentum phenomenon. We show evidence that a high turnover rate exists for winner and loser portfolios, which in turn attenuates momentum profits in this market. Nevertheless, a persistency-based momentum strategy that involves buying persistent winners and short-selling persistent losers generates significant profits in the intermediate term, and thus claims a momentum effect for this market. Further analysis indicates that momentum persistency is positively associated with investors' heterogeneous beliefs. Finally, the persistency-based momentum strategy is robustly profitable for international markets, especially those without the momentum effect. | |
| dc.format.extent | 108 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Pacific-Basin Finance Journal, Vol.78, 101943 | |
| dc.subject (關鍵詞) | Momentum persistency; Underreaction; Heterogeneous beliefs; Taiwan stock market | |
| dc.title (題名) | Revisiting the momentum effect in Taiwan: The role of persistency | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1016/j.pacfin.2023.101943 | |
| dc.doi.uri (DOI) | https://doi.org/10.1016/j.pacfin.2023.101943 |