| dc.contributor | 國貿系 | en_US |
| dc.creator (作者) | 林信助;張興華 | zh_TW |
| dc.creator (作者) | Ko, Kuan-Cheng ; Lin, Shinn-Juh ; Su, Hsiang-Ju ; Chang, Hsing-Hua | en_US |
| dc.date (日期) | 2014.01 | en_US |
| dc.date.accessioned | 6-Jan-2014 15:40:50 (UTC+8) | - |
| dc.date.available | 6-Jan-2014 15:40:50 (UTC+8) | - |
| dc.date.issued (上傳時間) | 6-Jan-2014 15:40:50 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/63305 | - |
| dc.description.abstract (摘要) | Unlike the U.S. and most developed countries, Taiwan stock market has been widely documented to have no value premium. Prior studies on the value premium typically adopt a conventional approach proposed by Fama and French (1992), which suggests a buy-and-hold strategy with annual rebalancing. We argue that a sophisticated investor can do better (obtain higher returns) than a simple buy-and-hold strategy by timing the market with the help of some technical analysis. Specifically, we show that an application of a moving average timing strategy to portfolios sorted by book-to-market (BM) ratios could generate higher returns than the buy-and-hold strategy. Using common stocks listed on the Taiwan Stock Exchange (TWSE), we confirm that the moving average timing strategy does substantially outperform the buy-and-hold strategy. Taking advantage of this observation, we propose a zero-cost portfolio constructed by buying the highest BM portfolio, and short-selling the lowest BM portfolio based on trading signals issued by the moving average rule, and demonstrate that such a new investment strategy can produce significantly positive returns. Robustness of results obtained in this paper is further verified and consolidated by extending the empirical study with a different currency, alternative lag lengths, transaction cost, subperiod analysis, business cycles and market timing. | - |
| dc.format.extent | 130 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Pacific-Basin Finance Journal,26,14-36 | en_US |
| dc.subject (關鍵詞) | Book-to-market effect; Value investing; Technical analysis; Moving average; Taiwan stock market | en_US |
| dc.title (題名) | Value Investing and Technical Analysis in Taiwan Stock Market | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.pacfin.2013.10.004 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.pacfin.2013.10.004 | en_US |
