政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/105858

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/105858

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題名:	Technical, fundamental, and combined information for separating winners from losers
作者:	陳鴻毅 Chen, Hong-Yi;Lee, Cheng-Few;Shih, Wei K.
貢獻者:	財管系
關鍵詞:	BOS ratio;Combined investment strategy;Financial statement analysis;Fundamental analysis;Momentum strategies;Technical analysis;Trading volume
日期:	2016-09
上傳時間:	2017-01-17 16:49:05 (UTC+8)
摘要:	This study examines how fundamental accounting information can be used to supplement technical information to separate momentum winners from losers. We first introduce a ratio of liquidity buy volume to liquidity sell volume (BOS ratio) to proxy the level of information asymmetry for stocks and show that the BOS momentum strategy can enhance the profits of momentum strategy. We further propose a unified framework, produced by incorporating two fundamental indicators—the FSCORE (Piotroski, 2000) and the GSCORE (Mohanram, 2005)—into momentum strategy. The empirical results show that the combined investment strategy includes stocks with a larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns.
關聯:	Pacific-Basin Finance Journal, 39, 224-242
資料類型:	article
DOI 連結:	http://dx.doi.org/10.1016/j.pacfin.2016.06.008
DOI:	10.1016/j.pacfin.2016.06.008
顯示於類別:	[財務管理學系] 期刊論文

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