英文摘要 |
This study attempts to explore the profitability and the determinants of the momentum investment strategy. We initially calculate average holding-period excess stock return on investment portfolio after forming the momentum investment portfolio. Secondly, to explore which factors affect the excess return of momentum strategies, we include the three factors: market risk, firm size and book-market ratio. In addition, we use principal factor analysis to classify the macroeconomic variables into the two indexes, financial and business, which is instead of market risk. Finally, we examine the effects of earnings information on the profitability of momentum investment. The empirical results show that the cumulated excess return based on momentum strategies is the largest while using six months formulation period and twelve months investment period. Moreover, the firm-specific information (i.e. earnings quality) is the significantly influence factor for momentum strategy return. The findings support that firms with higher earnings quality measured by discretionary accruals have higher momentum investment returns. Overall, these findings suggest that the main profit of momentum investment strategy results from the investors’ rational reaction to specific-stock information in Taiwan stock market. |