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| 論文名稱 | Momentum profits and idiosyncratic risk |
| 研討會開始日期 | 2017-07-04 |
| 研討會結束日期 | 2017-07-06 |
| 所有作者 | Chu-Hsiung Lin, Li-Hsun Wang, Chang-Cheng Changchien, Cha-Hua Huang |
| 作者順序 | 第二作者 |
| 通訊作者 | 是 |
| 研討會名稱 | International Conference on Business and Information |
| 是否具有對外公開徵稿及審稿制度 | 是 |
| 研討會舉行之國家 | NATJPN-日本 |
| 研討會舉行之城市 | Hiroshima |
| 發表年份 | 2017 |
| 所屬計劃案 | 無 |
| 可公開文檔 |
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| 可公開文檔 | |
| 可公開文檔 |
[摘要] :
We examine whether momentum profits can be explained by idiosyncratic risk in the Taiwanese and Chinese stock exchanges. This study provides support for the argument of Li et al. (2008) that momentum profits can be attributed to idiosyncratic risk. Our results are most robust when we control for investor sentiment and/or the macroeconomic factor.
[英文摘要] :
We examine whether momentum profits can be explained by idiosyncratic risk in the Taiwanese and Chinese stock exchanges. This study provides support for the argument of Li et al. (2008) that momentum profits can be attributed to idiosyncratic risk. Our results are most robust when we control for investor sentiment and/or the macroeconomic factor.
