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Dissertations / Theses on the topic 'Price momentum investment strategy'

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Published: 3 June 2025

Last updated: 31 July 2025

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1

Lillie, Nicholas J. "Does Fundamental Analysis Lead to a Rudimentary Momentum Strategy for the Inexperienced Investor? Evidence from a Student Investment Fund." Scholarship @ Claremont, 2017. http://scholarship.claremont.edu/cmc_theses/1492.

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Using the Student Investment Fund at Claremont McKenna College as a proxy for inexperienced investors, I demonstrate that inexperienced investors using fundamental analysis produce momentum-like buying patterns. The results show that the Student Investment Fund is on average buying stocks that outperform Carhart’s four-factor asset pricing model in the year before purchase. As a result, the Student Investment Fund has, on average, underperformed the S&P500 by .48% per year since 1996. My thesis explores why the Student Investment Fund may have adopted momentum-like purchasing patterns and what

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2

Eloff, F. N. "Momentum trading strategy on the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8557.

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Includes bibliographical references.<br>This research report documents an example of evidence of investor overreaction in the marketplace, with overreaction to short-term information found to be exploitable via price corrections in order to generate market-beating returns. An efficient market should render any consistent abnormal returns unattainable. Hence any technical analysis allowing an investor to obtain such returns would indicate a degree of market inefficiency. Three signal generation strategies are employed to test for momentum and price corrections in the market, namely using a stoc

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3

Zheng, Yao. "Two Essays on Investment." ScholarWorks@UNO, 2012. http://scholarworks.uno.edu/td/1544.

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This dissertation consists of two essays: one looks at the time-varying relationship between earnings and price momentum, and the other looks at how liquidity and transparency affect the pricing differential between Chinese A-and Hong Kong H-share. The first essay presented in Chapter I investigates the time varying relationship between earnings momentum and price momentum. Using a Markov-switching framework, allowing for variation between high volatility and low volatility states, I find that price momentum is significantly more influenced by earnings momentum in the high volatility state. Fu

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4

Swart, Justin-Niall. "Testing a price breakout strategy using Donchian Channels." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/21754.

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This research report implements and tests the effectiveness of a trend following trading strategy on the South African Futures Exchange (SAFEX) through utilising Donchian Channels and modelled after the 'Turtle method' which was first popularized in the United States in the 1970s before the automation of trading models. Prior literature focused on the commodities and equity indices spectrum of futures contracts in North American and Asian markets while this report replicates the model and attempts to optimize it for use on the SAFEX. The objective of this research is to invigorate academic stu

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Bergsten, Simon. "Momentum strategies on the Swedish market." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-387682.

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Comparing the performance of a pure momentum strategy with a strategy based on intermediate past returns on OMXS 1999-2018, this study shows that a pure momentum strategy significantly outperforms a strategy based on intermediate past returns. The pure momentum strategy delivers significant returns, primarily for portfolios based on shorter formation and holding periods. Furthermore, this study show that these significant returns are not due to loading on common systematic risk factors. Moreover, this study shows that by implementing a scaling component to the pure momentum strategy, investors

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Ludvigsson, Anita. "Momentum Investment Strategy : (An Empirical Study of the Canadian Stock Market and the Swedish Stock Market)." Thesis, Umeå University, Umeå School of Business, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1824.

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<p>Abstract</p><p>Market efficiency is a highly debated topic within the academic research field of finance.</p><p>Several studies have presented that the return on stocks may be predictable by employing the</p><p>momentum investment strategy, which contradicts the Efficient Market Hypothesis in</p><p>exchange market. There is extensive international evidence, on an academic level that the</p><p>momentum investment strategy yields positive abnormal returns when short-term periods are</p><p>considered. This paper examines the profitability of the momentum investment strategy in</p><p>Canadian a

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Billengren, Åsa, and Mikael Hanson. "En Trendig Marknad? : Motsats eller Momentum på Stockholmsbörsen." Thesis, Linköping University, Department of Management and Economics, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-3074.

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<p>Bakgrund: 4 av 5 svenskar äger aktier i någon form och det är många som är intresserade av att maximera sin avkastning. Det har lett till att det skrivs mycket i media om olika sätt att få avkastning högre än marknaden. Om det skulle vara möjligt att nå överavkastning är det en indikation på att marknaden inte är effektiv.</p><p>Syfte: Syftet med studien är att undersöka om det historiskt har gått att nå en överavkastning genom tillämpa momentum- eller motsatstrategin på den svenska aktiemarknaden. Syftet är även att testa om den svenska aktiemarknaden har varit effektiv i svag form.</p><p>

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Gross, Peter. "Can a technical analysis-based trading strategy outperform a naive buy-hold strategy." Thesis, Stellenbosch : Stellenbosch University, 2008. http://hdl.handle.net/10019.1/8326.

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Thesis (MBA)--Stellenbosch University, 2008.<br>ENGLISH ABSTRACT: Empirical research is done to determine whether trading strategies based on technical analysis can outperform a naive buy-and-hold strategy. A study is made of classical and contemporary academic literature. The central investigation is threefold. Firstly, the degree of randomness of a chosen basket of securities is determined vis-a-vis the Random Walk Hypothesis. Secondly, the effectiveness of stop loss orders is assessed. Lastly, a collection of chosen trading strategies is back-tested on security data ranging over 20 yea

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Arvidsson, Carl, and Tim Gudrais. "Monkey Strategy : Swinging through the Capital Anomaly Jungle." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-194802.

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The aim of this paper is to test whether an investment strategy originally created by Piotroski (2000), can be refined by combining it with the price-to-earnings-anomaly. In detail, we accomplish this by implementing Piotroskis F_SCORE-model to identify and consequently separate financially weak- and strong firms. Furthermore, we create an investment portfolio based on a combination of the highest rated companies according to the F_SCORE-model, and the most undervalued companies from the price-to-earnings-anomaly, to create a joint investment strategy (M_STRAT). This is carried out during the

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Roberts, Harry Hutchinson. "Comparison of the profitability of a number of technical trading systems on the ALSI futures contract." Thesis, Stellenbosch : University of Stellenbosch, 2009. http://hdl.handle.net/10019.1/920.

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Thesis (MBA (Business Management))--University of Stellenbosch, 2009.<br>ENGLISH ABSTRACT: The purpose of this report is to investigate whether the returns of five different trading systems applied is able to outperform the return of a Buy & Hold (B&H) strategy when applied to the Johannesburg Stock Exchange/Financial Times Stock Exchange (JSE/FTSE) Top 40 Index future contract (ALSI). The study starts with an overview of theoretical and empirical studies regarding technical trading systems as well as the application of these technical trading systems in various strategy formats. Five commo

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Toth, Václav. "Návrh a implementace obchodního systému v prostředí devizových trhů." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-318613.

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The master thesis deals with proposal of automated trading system and its implementation in the Foreign exchange market environment. This system will be developed as investment model based on the analyzes performed and then tested on real data to achieve maximum stability and profit.

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Cahan, Rachael Marie. "An investigation into the strength of the 52-week high momentum strategy in the United States : a thesis presented in partial fulfillment of the requirements of the degree of Masters of Business Studies in Finance at Massey University, Palmerston North, New Zealand." 2008. http://hdl.handle.net/10179/891.

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This thesis extends the 52-week high momentum literature, which was first published by George and Hwang in 2004, by stressing the parameters of the trading strategy to investigate its robustness. George and Hwang, in their seminal paper, find that the ratio of a stock’s close price to its 52-week high price is a good predictor of future returns. The thesis stresses various parameters of the strategy - such as the percent of total stocks bought and sold each period – and applies the strategy over different time periods – such as bull and bear markets. The study finds that the strategy is more p

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TSENG, SHIH-HSUAN, and 曾士軒. "Responsible Investment: ESG Persistency and Momentum Strategy." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/7w73uc.

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碩士<br>國立中央大學<br>財務金融學系<br>107<br>In recent years, the concept of sustainability has gradually emerged, and more and more investors have incorporated the non-financial information into investment strategy considerations. This article tries to use ESG scores which is from Thomson Reuters Eikon to construct different screening methods to combine ESG information with price momentum strategy. The empirical results show that the Independent Sort screening method, which directly combines past stock return with ESG scores, performs best. By buying companies with high past return and high ESG scores, a

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Chang, Tzuyi, and 張子毅. "A study on the combination of industry momentum and price momentum strategy." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/80669163906797583777.

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碩士<br>輔仁大學<br>企業管理學系管理學碩士班<br>99<br>The purpose of this study is to investigate the industry momentum strategy and the combination of industry momentum and price momentum strategy in different market conditions. In addition, the study tried to investigate the relations between the return of momentum strategy and other market factor and company characteristic factor The major empirical results are as follows: 1.In all sample, I did not observe significant associations between industry momentum strategy and combination of industry momentum and price momentum strategy. Industry momentum strategy

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Wu, Li-Chen, and 吳莉禎. "Applying Momentum Investment Strategy in Taiwan Stock Market." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/56627064373204493646.

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碩士<br>長庚大學<br>企業管理研究所<br>94<br>The advocators of the behavior financial theory think that investors can use certain operation strategy and earn excess profit in the security market. Of all the methods, the momentum strategy is often adopted by the behavior financial scholars. At first, this study focuses on all the listed company, excluded the financial stock, from January 1999 to June 2004 on Taiwan Stock Exchange. Secondly, this research is examining the portfolio based on three kinds of investment strategies, Individual stock momentum strategy, industrial momentum strategy, 52-week high pr

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Wang, Chen-Hsien, and 王珍現. "The Momentum Investment Strategy in the Taiwan Stock Market." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/69901525530331562257.

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碩士<br>大葉大學<br>事業經營研究所<br>95<br>In this paper, following Jegadeesh and Titman（1993）. We select the top/bottom 10% as winner/loser investment portfolio. And we subtract the losers’ average return from win-ners’ as momentum investment return. We investigate the profitability of a momentum in-vestment strategy listed in the Taiwan Stock Market with various holding periods. Our evi-dence shows that the short holding period momentum effect does not exist, when stocks are ranked on the basis of past returns. The best holding periods are 6 and 9 month. Finally, in-dustrial momentum effect is higher th

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Wang, Szu-Yun, and 王似尹. "Study of Momentum Investment Strategy in Taiwan Stock Market." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/xsrrty.

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碩士<br>國立臺灣科技大學<br>財務金融研究所<br>94<br>What stock investors care is the performance of stock investment. The topic of this study is that whether momentum investment strategies are applicatory in Taiwan stock market. According to Jegadeesh and Titman （1993）, we build simple momentum portfolios; according to Lee and Swaminathan（2000）, we establish momentum life cycle portfolios; and finally according to Moskowitz and Grinblatt（1999-a）, we apply cross-sectional regressions to investigate the correlation among individual return and momentum variables. We examine all the momentum investment strategies

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Lin, Po-Sheng, and 林柏盛. "Property Disposition to Residual Momentum Investment Strategy Influence Analysis." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/82436047456137106327.

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碩士<br>亞洲大學<br>國際企業學系碩士在職專班<br>103<br>In this paper, Fama and French three-factor model and Blitz et al. Residuals return on equity (residual returns) (2011) model is generated, and the value for sorting and grouping investment strategy, because the residual rate of return can not easily be various risk factors to explain, this article attempts to analyze the Taiwan stock market in the residual value stock-picking strategy, the portfolio's asset allocation in a variety of different methods to form, and whether there is excess returns. During this study from January 1992 to December 2013 shares

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Kao, Shuo-Ting, and 高碩廷. "Application of Momentum Investment Strategy in Taiwan Stock Market." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/s3e9fw.

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碩士<br>國立中央大學<br>財務金融學系<br>107<br>In this study, we establish an application of momentum investment strategy in Taiwan stock market. We collected all the listed companies from January 1997 to December 2018 in Taiwan. First, find the momentum of stocks by historical prices. Second, finding the good time to enter the stock market with the average market condition filter and the slope market condition filter. Third, use the ATR weight and σ weight to buy the past winners and take the buy and hold investment. Lastly, we can get the performance of momentum investment strategies. The results show tha

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Chuang, Hong-Wei, and 莊宏瑋. "Revisit The Momentum Strategy-Residual Analysis and Price Risk Adjustment." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/34190597415458933529.

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博士<br>國立臺灣大學<br>財務金融學研究所<br>99<br>This dissertation first examines the performance of the conventional momentum strategy in the U.S. stock market over the period from January 1930 to December 2010. We can find, after the market collapses, the investment portfolio'' s perfomance of the conventionalmomentum strategy faces a large drawdown risk. This is especially profound after the Dot-Com bubble in 2000 and the Credit Crash in 2008. We then propose two types of modifications to improve the conventional momentum strategy by using the residual analysis and the price-risk adjustment. To

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Lin, Yu-En, and 林煜恩. "Taiwan Mutual Fund Smart Money Effect and Momentum Investment Strategy." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/70001732898005793183.

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碩士<br>國立東華大學<br>企業管理學系<br>94<br>This paper rank the mutual fund from low to high in five group by prior performance and prior flow. We use the zero investment portfolios to buy the highest (Winner) group and sell the lowest (Loser) to find the strategy which can make money. Then, we use the flow (performance) to rank the performance’s (flow’s) Winner and Loser again. We examine the characteristics of these portfolios to find the fund flow into the future Winner. Our results can be summarized as follows. First, our results show the persistence in fund performance, but for raw return the persist

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Hsiao, Kai Wen, and 蕭凱文. "The Study of Momentum Investment Strategy on Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/84679739935670332364.

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碩士<br>長庚大學<br>工商管理學系<br>102<br>The study tests in a short term whether the momentum strategies fit in Taiwan or not. We use simple momentum strategy, double-sort momentum strategy, and 52-week high price stock momentum strategy. The samples are all public companies from January 1997 to September 2013 on Taiwan Stock Exchange. In addition, the research also consider a major international event for the momentum strategies of financial impact . Using event study method, according to financial events occurred to classify before and after within three years. In effect for three momentum strategies

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Zhong, Jun-you, and 鍾俊佑. "Application of Value and Momentum Investment Strategy in Taiwan Stock Market." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/07492526658755246730.

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碩士<br>國立中山大學<br>財務管理學系研究所<br>104<br>In our research, according to Berger, Israel and Moskowitz(2009) and Asness, Moskowitz and Pedersen (2013), we build value and momentum stock picking strategy in Taiwan stock market. This study use E/P as value stock picking strategy and we split momentum factor into 4 different type of momentum factor , first is the price momentum factor, price momentum factor is the most commonly used in academic research, second are unique information in the Taiwan stock market is leverage momentum factor. This two factor use three, six and twelve months of formation per

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Lee, Eric D. M., and 李惇鳴. "The Research of Price and Earnings Momentum Strategy in Taiwan Stock Market." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/58651160044122669441.

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碩士<br>國立政治大學<br>企業管理學系<br>87<br>Nowadays, people in Taiwan lay more emphases on investment and financing. They take part in investing in the stock market passionately. Research from overseas studies find that there is a phenomenon, “momentum effect” exists in the stock market. That is the reason why good-performance stocks could keep performing well. Whether the phenomenon exists in Taiwan, too? This is one of the topics of this research. Moreover, how does the information about earnings, such as unexpected earnings, abnormal return around the earnings announcement and the change

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Wu, Cheng-Chia, and 吳政家. "The momentum strategy by investing related stocks in markets with price limits." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/th4734.

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碩士<br>國立交通大學<br>財務金融研究所<br>105<br>According to Guo et al. (2016) , it demonstrates that the prices of stocks are more volatile during the period of price limits, which means stocks would rise more or drop more. Hence, under the limit of price limits, first, we sort the informationally related stocks by their excess returns. Then, we buy the stocks with higher excess returns during the time of harden, and sell the stocks with lower excess returns during the time of drop stop. We want to discuss whether the above momentum strategy can obtain the significant excess returns or not. The result show

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Chen, Meng-Cheng, and 陳孟成. "Analysis on the Investment of Domestic Funds by Using Dual Momentum Strategy." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/m74g3p.

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碩士<br>嶺東科技大學<br>財務金融系碩士班<br>105<br>As a result of the considerable diversification of investment instruments in Taiwan’s domestic financial markets, there are many people who have come up with a wide variety of investment strategies. Since Jagadeesh and Titman(1993), the huge profits from the momentum strategy have become the focus of attention research topics. In addition, Gary Antonacci(2012) proposed a dual momentum investment strategy, but also by empirical evidence that the strategy can effectively reduce the risk of loss and provide higer expectations of compensation. This study mainly d

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Chu, Chin-Hsuan, and 朱晉萱. "A Study in the combination of Stop loss strategy and Price Momentum Strategy: Evidence from Taiwan." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/4kevzj.

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碩士<br>國立中央大學<br>經濟學系<br>105<br>In this paper, the key idea is combination momentum strategy with stop loss level with ten percentage、fifteen percentage and twenty percentage. The formation period in the paper are six months and holding period is a month. The evidence shows that there is no momentum effect in Taiwan stock market. Then, we consider the stop loss limit in our model, we can find that under the ten percentage loss level, the average excess return per month does not exist significant excess returns. However, under the fifteen and twenty percentage, the evidence show that the average

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Li, Ming-Hsiu, and 李明修. "The Price-disparities Investment Strategy upon Chinese Stock Market Liberalizations." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/87214862447913605057.

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碩士<br>國立中興大學<br>財務金融學系所<br>105<br>Chinese cross-listed stocks exist a phenomenon that the same company with dif-ferent stock price, so it results the price disparities of A-B pairs and A-H pairs. The price disparities sometimes expanded or narrow between the period of Chinese capital market liberalization. This study constructs variable of the Fixed Effect Model with the liquidi-ty difference hypothesis, the risk preference difference hypothesis and the information asymmetry hypothesis to analysis the price disparities factor. We also use the Johan-sen cointegration test to test whether the st

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LI, CHI-YING, and 李季穎. "An Application of Gray System onthe Gold Price Investment Strategy." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/31073436700239302497.

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碩士<br>國立臺灣科技大學<br>資訊管理系<br>102<br>Due to the influence of the Asian financial crisis, the stability of stock market has been lower; therefore, the amount of investors to invest in gold is increasing comparatively .Besides, the government has promoted the importance of finances management and investment so that people’s cognition has been significantly enhanced. Gold price has been getting higher year by year and the investment culture has been getting more prevalent. The ways to invest in gold have been also increasing. Domestic banks in Taiwan issue gold transactions such as gold passbook and

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Ma, Shr-Jia, and 馬士家. "A Study of Investment Performance based on Momentum Strategy in Taiwan Listed Stocks." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/65740883856341344461.

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碩士<br>國立高雄第一科技大學<br>風險管理與保險所<br>97<br>Based on the momentum strategy proposed by Jegadeesh and Titman (1993), investors can be influenced by either the macroeconomic or sentimental factors when they are making investing decisions. This study investigates how both the macroeconomic factors and the market transaction data which is the proxy of investor sentiment impact on stock returns. The results show that trading based on the short-term momentum strategy generates higher return than on the long-term momentum strategy. That is due to the high correlation between the stock financing and turnove

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Chen, Jui-Chien, and 陳睿謙. "A study on the performance of momentum investment strategy under different market conditions." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/84561283646405010093.

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碩士<br>輔仁大學<br>管理學研究所<br>95<br>The purpose of this study is to investigate the performance of momentum investment strategy under different market conditions by various measures of returns. At first, we apply different kinds of forming period and holding period to investigate how momentum strategy perform in bull or bear market and different business cycles. Next, implementing a momentum strategy based on their cumulative excess return, the study tried to investigate the relations between the return of momentum strategies and other company characteristic factors, such as size factor, book-to-mar

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Chen, Chun-Chung, and 陳俊中. "Taiwan Stock Market that Uses Daily Data to Evaluate Momentum Investment Strategy Performance." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/56280833740035098785.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>94<br>Financial academics and practitioners have long recognized that past price and volume may provide valuable information about a stock. But how price and volume information should be handled and interpreted is not clear. Therefore, using daily data from Taiwan Stock Exchange Corporation and listed on the R.O.C Over-The-Counter Securities Exchange from June. 30. 1980 to June. 30. 2005. This research wishes to evaluate the performance of various price and turnover trading strategies. Empirical results suggest that Taiwan stock market is not an efficient market. The

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Hsieh, Chia-chi, and 謝嘉琪. "A Study in the combination of Revenue and Price Momentum Strategy: Evidence from Taiwan." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/52351653516195283596.

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碩士<br>國立中央大學<br>財務金融學系在職專班<br>101<br>This study uses companies listed in Taiwan Stock Exchange to investigate the profitability of various momentum strategies using different frequencies, sample periods, performance measures, and market states. Empirical results show that, consistent to previous studies, monthly momentum strategies cannot generate significant profits, except when the strategy is executed over the period not belong to bull or bear market. In contrast, weekly momentum strategies is profitable in Taiwanese stock market. Such findings are robust in different sample periods and mar

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Lin, Jia-Jun, and 林佳君. "The Profitability of Momentum Investment Strategy in China Stock Market-Stochastic Dominance Theory Approach." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/2p999x.

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碩士<br>國立高雄第一科技大學<br>風險管理與保險所<br>96<br>This study applies stochastic dominance to investigate the profit and the suitable timing of momentum strategies for China stock market under short, intermediate and long horizons. The study samples are the companies of the A-share in China stock market from 1993 to 2006. Furthermore, we investigate whether the size effect on the profitability of momentum strategies and momentum life cycle hypothesis exists. (Lee and Swaminathan, 2000) In the first instance, one of the results is verified that the transformation of investment strategy in China stock market

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Vetter, Moritz. "Is financial investment a matter of skill? : empirical evidence from Asness’s et al. Combo investment strategy." Master's thesis, 2019. http://hdl.handle.net/10400.14/29094.

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I present empirical evidence that Asness’s et al. (2013) Combo investment strategy, consisting equally of value and momentum, yields significant returns and Jensen alphas in 13 of 18 markets analyzed. In these markets, Combo yields Sharpe Ratios ranging from 0.42 to 0.93. The market portfolio produces significant returns only in three markets. I conduct a pair-wise bootstrap analysis finding that across 17 of 18 markets the Combo investment conclusively outperforms the market taking into account Sharpe Ratio, skewness and kurtosis. My dissertation further shows that US investors can significan

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Chou, Lung-yu, and 周隆裕. "An Empirical Study of Investment Strategies From the Stocks are Grouped by Industries— Momentum Strategy and Contrarian Strategy." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/87966756036181557658.

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碩士<br>國立中正大學<br>財務金融所<br>94<br>An Empirical Study of investment strategies — Evidence From the Taiwan Stock Market This study attempts to analysze the pattern of investment returns among domestic industries by the following hypothesises: First, when stocks are grouped by industries I examine whether the excess returns can be obtained by using Jegadeesh and Titman (1993) momentum strategy in the short run and De Bondt and Thaler (1985) contrarian strategy in the long run. Second, I explore the investment performances of the momentum strategy and contrarian strategy. In other wo

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Hua, Yi-Jin, and 花藝菁. "Stock price fluctuation on investment strategy: the viewpoint of the game theory." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/09918565084616766807.

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碩士<br>國立雲林科技大學<br>財務金融系碩士班<br>91<br>This study is based on the basic assumption of game theory that all of the players are both rational and intelligent, when facing uncertainty, each player’s subjective prediction of the other players’ strategies will become the foundation for him to come up with the optimum strategy by maximizing his utility and payoff. We apply this premise to financial markets to propose a reasonable explanation on the market trading behavior. Furthermore, we empirically explore whether the strategies and principles implied in game theory could be profitable in the Taiwa

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Fan-jiang, Shi-jun, and 范姜士君. "The Feasibility Analysis of Forming an Investment Strategy Depending on Price Bubbles." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/66715759750142085939.

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碩士<br>國立中央大學<br>財務金融學系<br>103<br>How to exploit the upward trend at prices bubbles period while avoiding collapse of the bubble is the main issue in our research. First, we have to define price bubble period. Our research will quote modified unit root test from Phillips et al. (2009). The reason why we don’t use traditional unit root test is that it don’t have much power to detect periodically collapsing bubble which may be taken as evident against the presence of bubbles. We will use unit root test for each closed price in every industry, and then make investment decision according to the si

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LIU, PI-YING, and 劉璧瑛. "Investment Strategy by 36 Types of Candlestick with Next Day Open Price." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/09002520220550574909.

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碩士<br>輔仁大學<br>統計資訊學系應用統計碩士在職專班<br>104<br>"The purpose of this study is based on technical analysis to build investment strategy. Candlestick charts is the main technical analysis of this study, by using 12 of one day candlestick charts with 3 of next day open price to create 36 types. Also, using KD and MA to judge price trend。The dataset is historical price in Taiwan stock to build model, testing and predict to evaluate statable of model. The study result is 36 types and moving average with different time, such as long years of period、nearly 3 years、nearly 3 years every quarter to choose the

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Chen, Yi-Sheng, and 陳以昇. "Investment Strategy and Technical Analysis - Application and Practical Operation of Price and Volume." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/5kxdv6.

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碩士<br>國立交通大學<br>管理學院財務金融學程<br>105<br>Technical analysis has many types and applications in the market. It's a tool that mainly focuses on analyzing future stock price movements, and many technical analysis data is the result of statistical and morphological analysis. Each technical analysis has its own theory and none is the better, but how to apply this technical analysis to gain profit is the most fundamental. Price and volume analysis is the basis in many technical analysis, and use the price and volume to derive a number of indications and patterns. The technical analysis done in this thes

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PENG, KUAN-YI, and 彭冠怡. "Golden Price Transmission and Investment Strategy - London, New York and Shanghai the Evidence." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/29697265212135112701.

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碩士<br>輔仁大學<br>金融與國際企業學系金融碩士班<br>101<br>This study examined the price of gold and the transmission effect between the London bullion market and the gold futures markets in New York and Shanghai. Empirical analysis was carried out using a unit root test of the time series and co-integration verification prior to the establishment of an investment strategy model. The analysis revealed that the time series for international gold prices was static and presented a balanced and stable relationship over the long-term. The results of the investment strategy showed that, based on the opening price of th

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Li, Yen-Hau, and 李研豪. "Expiration-Day Effect－The Investment strategy and results view derived from price reversal." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/93270398739154374900.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>98<br>Expiration-Day Effect thought that in the futures expiration day, the spot market and futures market will have larger volumes, price volatility increased and the price reversal phenomenon. This essay is to discuss the price interval, researching that when the price reversal occurs, it can be used as an indicator for making investment decisions. As the price reversal is assured, investors can decide to buy in or buy out. This gives us an opportunity to assess whether to invest the futures or not. This essay discusses MSCI Taiwan index Futures, as our object of s

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"A study of the price momentum and reversal effect of tourism stocks in the United States." 2010. http://library.cuhk.edu.hk/record=b5894350.

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Zhang, Wanqing.<br>Leaf 138 numbered in duplicate.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.<br>Includes bibliographical references (leaves 138-143).<br>Abstracts in English and Chinese.<br>Abstract --- p.i<br>摘要 --- p.ii<br>Acknowledgement --- p.iii<br>Table of Content --- p.iv<br>List of Tables --- p.vi<br>List of Figures<br>Chapter Chapter 1: --- Introduction --- p.1<br>Chapter 1.1 --- An Overview of the Tourism Industry --- p.1<br>Chapter 1.2 --- Research Motivation --- p.3<br>Chapter 1.3 --- Outline --- p.8<br>Chapter Chapter 2： --- Literature Review --- p.9<br

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Yeh, Chia-lin, and 葉佳霖. "An Application of Smooth SVM on the Gold Price Investment Strategy and Performance Evaluation." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/55g95j.

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碩士<br>國立臺灣科技大學<br>資訊管理系<br>100<br>From year 2001, the gold price has been raised quickly and consistently by multiple reasons including the growth of emerging market. Although there was a drawdown between March 2008 and December 2008, the gold price continues to rise, In the conditions of economic or financial market instability, but also highlights concurrently hedge against inflation and hedging functions; therefore we use gold price as our subject in order to develop a steady prediction model. In this study, we employ a recent data between January 28th, 2008 and December 31th, 2010. Usi

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Huang, Hui-Jung, and 黃惠蓉. "The Effect of Price to Book Ratio on Investment Strategy: The Evidence on Taiwan Companies." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/c48hak.

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碩士<br>南華大學<br>財務金融學系財務管理碩士班<br>104<br>Value investment strategy is a deeply concerned issues for investors. The developed countries’ markets, such as the U.S.A, Europe, Japan, after the researchers’ study and they prove that the lower a corporation’s price book ratio is, the reward of the future stock will be higher. However, the researchers have different views, therefore the researchers used to study all listed corporations in Taiwan for the past literature. Furthermore, the researchers only classified into electronics and traditional industry and to study the effect of price book ratio. Thi

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Lin, Tzu-Huei, and 林慈輝. "The Study of the Price/Book Ratio (P/B) Investment Strategy for Taiwanese Electronic Stocks." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/62864556069501511860.

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碩士<br>世新大學<br>企業管理研究所(含碩專班)<br>97<br>In most cases, the effect of Price-To-Book Ratio (P/B Ratio) is that a lower P/B ratio could mean the stock is undervalued for the stocks traded on the public market.. In fact, the stocks in a lot of developed countries such as the United States, Japan and some European countries already prove this theory works. As we wonder if this P/B Ratio valuation theory would exist in Taiwan’s stock market, a lot of past studies share different views. The intention of this study is to exam if the P/B valuation would work in Taiwan’s stock market after a number of in

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LIN, LO-HSIEN, and 林洛嫺. "Analysis of Investment Strategies of Long-Term Value Investing and Short-Term Momentum Strategy - Evidence from Taiwan Stock Market." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/rthm2w.

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碩士<br>輔仁大學<br>金融與國際企業學系金融碩士在職專班<br>107<br>This research will be on the shares of companies listed in Taiwan. The research analyzed daily data for a total of 2,474 days from 2009 to 2018. It is based on the stock price return rate of the past J days (formation period). Then the strategic investment of value or momentum strategy with zero transaction cost and continue for K days (holding period) to calculate strategic compensation, the category of industry as an analysis facet, to analyze the performance of long-term value stocks and short-term momentum investing strategy portfolios by T verific

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Page, Moshe Daniel. "An in-depth validation of momentum as a dominant explanatory factor on the Johannesburg Stock Exchange." Thesis, 2017. https://hdl.handle.net/10539/24119.

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A thesis submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, in fulfilment of the requirements for the degree of Doctor of Philosophy (Ph.D), September 2016<br>This study considers momentum in share prices, per Jegadeesh and Titman (1993, 2001), on the cross-section of shares listed on the JSE. The key research objective is to define whether momentum is significant, independent and priced. ‘Significant’ implies that momentum produces significantly positive nominal and risk-adjusted profits, ‘independent’ means that momentum is independent of other non-mom

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HO, MENG-HSUAN, and 何孟璇. "The Analysis on the Portfolio Performance of Value Investment Strategy: Evidence for Earning to Price Ratio." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/8k97p2.

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碩士<br>逢甲大學<br>財務金融學系<br>105<br>The sample of this research is selected from TEJ and adopts listed and OTC stock markets in Taiwan. The study period coveres 16 years from 2001 to 2016. The main purpose of this research is to find a systematical investing method on Taiwan stock markets by using accounting information. This study uses the stochastic dominance test to examine the relative performance of portfolios based on the two sorting criteria: Earnings-to-price Ratio and F-SCORE. The main empirical results are summarized as follows: (1) The portfolio returns on value stocks are better than gr

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Shi-Hong, Lin, and 林士宏. "The Forecast of ETF Opening Price and Strategy of Investment-An Application of Neural Networks Approach." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/47140948974990780361.

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碩士<br>真理大學<br>財經研究所<br>93<br>In June, 2003, Taiwan issued the first ETF, which offered investors an alternative to mutual fund. When investing in the highly volatile stock market, the investors aspire to make accurate stock price predictions and obtain high returns. Previous empirical studies used technical or fundamental analysis to predict stock prices. However, since the stock price is affected by various factors, it is difficult to make accurate predictions. The goal of this study is to utilize daily closing price, price index, and future price combined with artificial neural networks to p

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