The purpose of this paper is to explore the relationship between the returns of momentum strategies and macroeconomic factors. The empirical results indicate that the phenomenon of underreaction is found in Taiwan stock market in the short term, and adoption of momentum strategies can slightly result in significant positive abnormal returns, while no phenomenon of overreaction is found in the long term, and no significant positive abnormal returns are gained if the contrarian strategies are applied. After dividing the market status into bull market and bear market, we find that the underreaction phenomenon appears in the bull market in the short term, and significant positive returns may be gained if the momentum strategies are used; on the other hand, the overreaction phenomenon appears in the bear market in the long term, and the adoption of contrarian strategies may offer significantly positive returns.
In addition, either positive or negative excess returns of momentum strategies are found in the bull and bear markets. The value of (alpha) of the returns mostly exceeds zero after the adjustment of Fama and French three-factor model. Finally, the predictive value of macroeconomic analysis and the analysis of returns of momentum strategies reveal that the rate of return of momentum strategies is higher when the expected rate of return of macro economy in the bull market is getting lower, and the rate of return of momentum strategies is lower while the expected rate of return of macro economy in the bear market is high. We conclude that macroeconomic factors are unrelated to the returns of momentum strategies, regardless of bull market or bear market.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0814107-211505 |
| Date | 14 August 2007 |
| Creators | Chen, Hung-hua |
| Contributors | Huang,Jen-Jsung, Kuo,Hsioujen, Y.Chris Liao |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0814107-211505 |
| Rights | not_available, Copyright information available at source archive |
Page generated in 0.0023 seconds