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    篇名/題名:產業動態效果的來源-來自於週資料的證據
    並列篇名:Sources of Industry Momentum Effect– Weekly Data Evidence
    摘要:This study employs industry weekly return data for Taiwan in order to investigate the industry momentum profit sources of an emerging country. It differs from past studies (e.g., Pan et al., 2004 and Du, 2008), which adopted weekly data to observe the industry momentum sources with a short horizon, in that it investigates the industry momentum sources with a long
    horizon as well as a short horizon. The results show that there exists a significant industry reversal effect in Taiwan, which indicates that investors in Taiwan exhibit behavior characterized by overreaction but not underreaction. After dividing the industry momentum sources into cross-autocovariances among industries, own-autocovariances for each individual industry and cross-sectional variation in mean returns, we find that the sources of
    the short-horizon industry momentum effect in Taiwan mainly come from the negative
    industry own-autocorrelation returns. The main source of the long-horizon industry
    momentum effect is the cross-autocovariance before 2002, while the own-autocovariance is
    the driving force after 2002.
    類型:期刊論文
    西元出版年:2011
    著作語言:en_US
    關鍵詞:momentum profit sourcesautocovariancesindustry momentum
    作者:Ying-Fen Fu*、傅英芬
    學校系所:財務金融系