碩士 / 輔仁大學 / 金融與國際企業學系金融碩士在職專班 / 103 / The objective of this study is momentum strategies for offshore funds. The data of the offshore funds in Taiwan and from January 2005 to December 2014 is used. The selected funds by forming the holding period 1M, 3M, 6M construction portfolio and according to the level of total ruturn arrangement differentiate winners and losers group with Equal Weight.
The main empirical findings are summarized as follow, winners group of the month of formation period coupling with month of holding period(1M,1M) and three months of formation period coupling with three months of holding period (3M,3M) that for the statistical test have momentum effect in the Equal Weight. Loser nor a reactionary group can effect significant property in each period. Group winners month (1M, 1M) and three months (3M,3M) have momentum effect. However, after considering the cost of the subscription, group winners month (1M, 1M) due to high portfolio turnover frequency, subscription fee costs increased at the same time, return on investment will be greatly reduced. Winners group three months (3M, 3M) annualized return is still up 6.52% have investment reference.
Strategic investment (Equal Weight) winner group construction month (1M, 1M), three months (3M, 3M), six months (6M, 6M) portfolio, were pay differential test, the result is not a significant difference and don’t have excess returns. The Equal Weight investment strategies and the Rank Weight strategies were compared, the results also show that in each of the two investment strategies were no significant sex differences.
| Identifer | oai:union.ndltd.org:TW/103FJU01214003 |
| Date | January 2015 |
| Creators | Lin,Huei-Ru, 林慧茹 |
| Contributors | Lee,Tsung-Pei, 李宗培 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 45 |
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