碩士 / 國立高雄第一科技大學 / 財務管理所 / 94 / ABSTRACT
This study examines the performance of momentum, size strategies and momentum life
cycle for offshore funds in short, intermediate, and long horizons. The monthly data
over the sample period from 2001:1 to 2006:1 are employed. When offshore funds are
selected based on their past returns, analysis results show that there have significant
price momentum effects during the sample period and their performances are persistent
over a long horizon. However, the price momentum effects decrease with the holding
period. In addition, the evidence indicates that over the sample period, the momentum
strategies can create profits under different formation horizons and holding horizons.
Moreover, there is a significant negative relationship between future returns and fund
sizes. The size effect exists in the open-ended offshore funds. Buying past small-sized
funds and selling big-sized funds has significant positive return in long horizon. Finally,
an early stage momentum strategy of buying past small-sized winners and selling past
big-sized losers outperforms a simple price momentum strategy; however, a late stage
momentum strategy of buying past big-sized winners and selling past small-size losers
underperforms a simple price momentum strategy.
| Identifer | oai:union.ndltd.org:TW/094NKIT5305045 |
| Date | January 2005 |
| Creators | Mei-Ling Lin, 林美齡 |
| Contributors | Yu-Juan Huang, 黃玉娟 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 61 |
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