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When theory meets practice:how do i modify the intuition of a practitioner?
Shih, Li Wei
Shih, Li Wei
|Issue Date: ||2011-09-29T08:47:52Z
Researchers have been exploring the subject of how to forecast the trends of overall market and certain of sectors from adequate information so far. The analysis and forecasting of time series are also extensively utilized in a variety of applications. Not only practitioners but also academics have been focus on technical indicators. And recently more and more theories based on behavior finance, such as overreaction and underreaction. This study is attempting to investigate the approach of an analyst according to time series analysis, and especially concerned about the momentum indicator, which is combined with overreaction and underreaction.
Briefly, our conclusions are as follows： 1. The practitioner’s approach does really have its insight and predictive value. 2. After replacing variable from signals to holdings, the regression results have been improved. 3. We could indicate that the market value holding percentage of FINI in different sectors do really have significant influence toward T-statistics and coefficients of returnt-1 and cash ratiot-1.
Key words：Momentum, Overreaction, Underreaction.
|Reference: ||楊奕農 (2005)。“時間序列分析 財務與經濟上之應用”。台北：雙葉。|
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|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#G0098357032|
|Appears in Collections:||[財務管理學系] 學位論文|
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