Title page for 91438021


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Student Number 91438021
Author Yao-Yu Kao(高耀宇)
Author's Email Address No Public.
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Department Executive Master of Finance Management
Year 2005
Semester 1
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title A Study of the Contrarian Profits
in the Taiwan Stock Market
Date of Defense 2006-01-12
Page Count 35
Keyword
  • Contrarian Strategy
  • Holding Period
  • Momentum Strategy
  • Ranking Period
  • Abstract   This study investigates the profitability of contrarian strategies on the Taiwan stock market. We examine whether the contrarian strategies can create significant profits under different ranking horizons and holding horizons. Three robustness checks are performed by skipping one month between the ranking and the holding periods, excluding firms with extreme past returns, and partitioning the whole sample period into the bull market and the bear market.
      The empirical results show that overall contrarian strategies are unprofitable on the Taiwan stock market, except when the holding horizon is as long as three years. Thus, the empirical results suggest that there is also long-term reversal in Taiwan as in the U.S. There are only three significant profitable momentum strategies, including the (6,9) strategy, the (9,6) strategy and the (9,9) strategy. Thus, there is also an intermediate-term return continuation as in the U.S., although the evidence in Taiwan is weaker. The contrarian strategies are very profitable when the previous three-year market return is negative and when the holding horizon is nine-month or longer.
    Table of Content -目  錄-
    第一章緒論......................................................1
    第一節研究動機與目的............................................1
    第二節論文架構..................................................2
    第二章文獻回顧..................................................3
    第一節反向策略相關文獻..........................................3
    第二節動能策略相關文獻..........................................6
    第三章研究設計.................................................10
    第一節資料說明.................................................10
    第二節投資組合之建構...........................................10
    第三節反向操作策略的績效驗證...................................11
    (1)不同的形成期與持有期組合的績效...............................11
    (2)略過(skip)一個月的投組績效.................................11
    (3)排除極端值資料的驗證.........................................13
    (4)多頭市場與空頭市場的反向策略績效.............................13
    (5)採事件研究法(event study)對反向操作策略的績效驗證觀察………14
    第四章實證結果分析.............................................15
    第一節不同的形成期與持有期組合的績效驗證.......................15
    第二節略過一個月的投組績效驗證.................................18
    第三節排除極端值資料的驗證.....................................19
    第四節多頭市場與空頭市場的反向策略績效.........................21
    第五節採事件研究法對反向操作策略的績效驗證觀察.................27
    第五章結論與建議...............................................30
    參考文獻.........................................................32
    Reference 中文部份
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    英文部份
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    Advisor
  • Pin-Huang Chou(周賓凰)
  • Files
  • 91438021.pdf
  • approve immediately
    Date of Submission 2006-01-19

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