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TitleRetrieving almost stochastic Dominance momentum in Taiwan stock market
Creator江彌修
Chiang, Mi-Hsiu;Chiu, Hsin-Yu;Hsu, Yu-Chin
Contributor金融系
Key WordsAlmost stochastic dominance; Momentum strategies; Asset pricing
Date2024-02
Date Issued29-Apr-2024 13:41:24 (UTC+8)
SummaryWe propose new momentum strategies based on the Almost Stochastic Dominance rules. Relative to classic momentum, our novel strategy achieves better risk-adjusted performance, and exhibits lower volatility and reduced negative skewness in returns. The abnormal returns are statistically and economically significant when testing against alternative common risk factors. Most interestingly, the strategy's ability to generate excess returns is particularly pronounced when using shorter-term ranking and holding periods. Notable improvements in computational efficiency suggest that practical implementability of the strategy shall prevail in cases where a large span of assets is considered. In empirical studies, we apply the new momentum strategies to the Taiwan stock market and compare them with some existing momentum strategies.
RelationPacific-Basin Finance Journal, Vol.83, No.1, 102268
Typearticle
DOI https://doi.org/10.1016/j.pacfin.2024.102268
dc.contributor 金融系-
dc.creator (作者) 江彌修-
dc.creator (作者) Chiang, Mi-Hsiu;Chiu, Hsin-Yu;Hsu, Yu-Chin-
dc.date (日期) 2024-02-
dc.date.accessioned 29-Apr-2024 13:41:24 (UTC+8)-
dc.date.available 29-Apr-2024 13:41:24 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2024 13:41:24 (UTC+8)-
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/150964-
dc.description.abstract (摘要) We propose new momentum strategies based on the Almost Stochastic Dominance rules. Relative to classic momentum, our novel strategy achieves better risk-adjusted performance, and exhibits lower volatility and reduced negative skewness in returns. The abnormal returns are statistically and economically significant when testing against alternative common risk factors. Most interestingly, the strategy's ability to generate excess returns is particularly pronounced when using shorter-term ranking and holding periods. Notable improvements in computational efficiency suggest that practical implementability of the strategy shall prevail in cases where a large span of assets is considered. In empirical studies, we apply the new momentum strategies to the Taiwan stock market and compare them with some existing momentum strategies.-
dc.format.extent 108 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Pacific-Basin Finance Journal, Vol.83, No.1, 102268-
dc.subject (關鍵詞) Almost stochastic dominance; Momentum strategies; Asset pricing-
dc.title (題名) Retrieving almost stochastic Dominance momentum in Taiwan stock market-
dc.type (資料類型) article-
dc.identifier.doi (DOI) 10.1016/j.pacfin.2024.102268-
dc.doi.uri (DOI) https://doi.org/10.1016/j.pacfin.2024.102268-