臺灣博碩士論文加值系統

This thesis examines two kinds of momentum strategies which are total return momentum strategies and residual momentum strategies in Hong Kong, Singapore, Taiwan, and Thailand. Conventional momentum strategies ranking stocks based on their prior returns display substantial time-varying exposures to systematic risk factors of capital asset pricing model. This study shows that ranking stocks on their previous residual returns can lead to reduce these exposures to market risks. As a consequence, the residual momentum strategies generate not only higher but also more consistent returns over time than the strategies of total return momentum. In addition, the momentum effect is found for residual momentum strategies in Hong Kong, Taiwan, and Thailand, whereas there is no evidence for that phenomenon when total return momentum is considered.

Keywords: Total return momentum, Residual momentum, Time-varying exposures.

Chapter 1: Introduction.........................................1
Chapter 2: Literature Review....................................5
Chapter 3: Data and Methodology................................13
1. Data........................................................13
2. Methodology.................................................14
Chapter 4: Empirical Results...................................17
Chapter 5: Conclusion..........................................25
Appendices.....................................................27
Appendix A.....................................................27
Appendix B.....................................................27
References.....................................................29

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