کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
13461732 | 1845215 | 2020 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Enhancing momentum profits in the Taiwan Stock Market: The role of extreme absolute strength
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We show that stocks with extreme absolute strength are highly volatile and thus attenuate the profitability of momentum in Taiwan, a market that has been widely documented as an exception of the momentum phenomenon. An enhanced momentum strategy that removes these stocks from the winner and loser portfolios generates significant profitability in the intermediate term. A major advantage of the enhanced momentum strategy is its robust profitability over time. More importantly, it is free from the momentum crashes. We provide further evidence to show that return dispersion and information uncertainty are closely related to momentum profitability in the cross-section when stocks with extreme absolute strength are removed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 59, February 2020, 101258
Journal: Pacific-Basin Finance Journal - Volume 59, February 2020, 101258
نویسندگان
Chaonan Lin, Chuanxin Xia, Nien-Tzu Yang, Sheng-Yung Yang,