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題名 | Does the Contrarian Investment Strategy Work in Taiwan? An Integrated Study=臺灣股市之過度反應、季節性異常現象與規模影響之綜合研究 |
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作 者 | 楊踐為; | 書刊名 | 國家科學委員會研究彙刊. 人文及社會科學 |
卷期 | 9:3 1999.07[民88.07] |
頁次 | 頁522-531 |
分類號 | 563.54 |
關鍵詞 | 反向操作策略; 季節性異常現象; 公司規模影響; Contrarian strategies; Seasonality; Firm size effect; |
語文 | 英文(English) |
英文摘要 | The essence of different contrarian strategies, which have been ad vocated and utilized by practitioners for many years, is built upon the assumption that the stock market has a tendency to overreact. In other words, stock prices biasedly reflect the information available, by tending to either go abnormally high or unreasonably low. Some researchers, however, argue that this phenomena might be a combined result of seasonality and firm size effect. In this paper, monthly return data, which covers a period of twenty years, together with the respective market value are examined. The empirical findings prove that contrarian strategies in Taiwan are not as powerful as in other equity markets. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。