政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/139823

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 109952/140887 (78%)
Visitors : 46286084 Online Users : 784

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/139823

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/139823

Title:	A Timing Momentum Strategy
Authors:	周冠男 Chou, Robin K. Lin, Chaonan Yang, Nien-Tzu Ko, Kuan-Cheng
Contributors:	財管系
Keywords:	Moving average;Momentum investing;Return predictability;Information uncertainty
Date:	2021-07
Issue Date:	2022-04-11 15:43:21 (UTC+8)
Abstract:	We propose a timing momentum strategy by incorporating moving-average signals in the price momentum and show that the proposed strategy substantially outperforms the buy-and-hold strategy. The performance of the timing momentum is better than that of Barroso and Santa-Clara’s (2015) constant-volatility momentum and is identical to that of Daniel and Moskowitz’s (2016) dynamic momentum. One advantage of the timing momentum is that its weights on winner and loser portfolios are lower than the other two strategies, thus leading to lower transaction costs. Further, we show that the profitability of the timing momentum is enhanced when information uncertainty is high. More importantly, the timing momentum has time-invariant profitability across various time-series predictors and during periods of momentum crashes.
Relation:	Accounting and Finance, Vol.62, pp.1339-1379
Data Type:	article
DOI 連結:	https://doi.org/10.1111/acfi.12825
DOI:	10.1111/acfi.12825
Appears in Collections:	[財務管理學系] 期刊論文

Files in This Item:

File	Description	Size	Format
20.pdf		302Kb	Adobe PDF2	145	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...