Momentum and Contrarian Profits Corresponding to the Coincident Economic Indicator on the Taiwan Stock Market

被引：8
|
作者：
Wang, Ching-Ping [2 ]
Huang, Hung-Hsi [1 ]
Huang, Chi-Chung [3 ]
机构：
[1] Natl Chiayi Univ, Dept Banking & Finance, Chiayi City, Taiwan
[2] Natl Kaohsiung Univ Appl Sci, Grad Inst Finance Econ & Business Decis, Kaohsiung 807, Taiwan
[3] Natl Pingtung Univ Sci & Technol, Grad Inst Finance, Pingtung, Taiwan
来源：
EMERGING MARKETS FINANCE AND TRADE | 2012年 / 48卷
关键词：
business cycle; CAPM; coincident economic indicator; contrarian strategy; Fama-French model; momentum strategy; BUSINESS-CYCLE; RETURNS; RISK;
D O I：
10.2753/REE1540-496X4801S103
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study investigates the momentum and contrarian profits corresponding to the coincident economic indicator on the Taiwan stock market. The empirical findings are as follows. First, neither momentum nor contrarian profits are statistically significant on average. Second, winners and losers have positive excess returns on average, adjusted by the capital assert pricing model (CAPM) and the Fama-French model. Third, the selected portfolio size plays an important role in portfolio returns. Fourth, winner and loser profits are positively related to the size factor in the Fama-French model. Finally, the coincident economic indicator is positively correlated with long-term momentum.
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页码：29 / 40
页数：12
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