| dc.contributor | 會計系 | en_US |
| dc.creator (作者) | 李怡宗 | zh_TW |
| dc.date (日期) | 2008.10 | en_US |
| dc.date.accessioned | 18-Feb-2014 14:56:36 (UTC+8) | - |
| dc.date.available | 18-Feb-2014 14:56:36 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Feb-2014 14:56:36 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/63942 | - |
| dc.description.abstract (摘要) | Recent research documents the existence of momentum effects in stock returns in most of the Western countries. Recently, Hvidkjaer（2006）provides the first/only evidence that momentum effects are partly from the slowly underreaction of small traders to past returns, using transaction data. In contrast, there is no evidence that large traders react to past returns. A unique dataset from the Taiwan stock exchange allows us to address the momentum behaviors, by examining the order flow data for types of investors directly. Contrary to Hvidkjaer (2006), our paper document momentum behaviors for both institutional and individual orders from foreign investors. Domestic investors (including institutions and individuals, big and small traders) do not tend to sluggish reaction to past returns, and they do have significant impact on moving prices in the same direction. Interestingly, foreign investors tend to react to past returns significantly, while domestic investors only show slightly reaction on past return. Besides, small domestic individuals tend to be more contrarian than big domestic individuals. Therefore, it is still a puzzle about the rationales that may explain momentums. | - |
| dc.format.extent | 366947 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 國科會 | en_US |
| dc.relation (關聯) | 計畫編號： NSC 95-2416-H-004-026-MY2 | en_US |
| dc.subject (關鍵詞) | 動能交易;心理因素;文化差異 | en_US |
| dc.subject (關鍵詞) | momentum effects;cultural differences;Taiwan | en_US |
| dc.title (題名) | Culture Difference and Return of Momentum Strategy: From Chinese Culture (2/2) | en_US |
| dc.title.alternative (其他題名) | 文化差異與動能投資報酬：由中國文化談起(第2 年) | en_US |
| dc.type (資料類型) | article | en |
