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    題名: Value Investing and Technical Analysis in Taiwan Stock Market
    作者: 林信助;張興華
    Ko, Kuan-Cheng;Lin, Shinn-Juh;Su, Hsiang-Ju;Chang, Hsing-Hua
    貢獻者: 國貿系
    關鍵詞: Book-to-market effect;Value investing;Technical analysis;Moving average;Taiwan stock market
    日期: 2014.01
    上傳時間: 2014-01-06 15:40:50 (UTC+8)
    摘要: Unlike the U.S. and most developed countries, Taiwan stock market has been widely documented to have no value premium. Prior studies on the value premium typically adopt a conventional approach proposed by Fama and French (1992), which suggests a buy-and-hold strategy with annual rebalancing. We argue that a sophisticated investor can do better (obtain higher returns) than a simple buy-and-hold strategy by timing the market with the help of some technical analysis. Specifically, we show that an application of a moving average timing strategy to portfolios sorted by book-to-market (BM) ratios could generate higher returns than the buy-and-hold strategy. Using common stocks listed on the Taiwan Stock Exchange (TWSE), we confirm that the moving average timing strategy does substantially outperform the buy-and-hold strategy. Taking advantage of this observation, we propose a zero-cost portfolio constructed by buying the highest BM portfolio, and short-selling the lowest BM portfolio based on trading signals issued by the moving average rule, and demonstrate that such a new investment strategy can produce significantly positive returns. Robustness of results obtained in this paper is further verified and consolidated by extending the empirical study with a different currency, alternative lag lengths, transaction cost, subperiod analysis, business cycles and market timing.
    關聯: Pacific-Basin Finance Journal,26,14-36
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/j.pacfin.2013.10.004
    DOI: 10.1016/j.pacfin.2013.10.004
    顯示於類別:[國際經營與貿易學系 ] 期刊論文

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