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

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

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