| 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 | - |
