- 作者: Jack J. W. Yan
- 作者服務機構: Dept. of Finance National Yunlin University of Science & Technology Yunlin Taiwan R.O.C.
- 中文摘要: The essence of different contrarian strategies, which have been advocated and utilized by practitioners for many years, is built upon the assumption that the stock market has a tendency to overreact. In other words, stock prices biasedly reflect the information available, by tending to either go abnormally high or unreasonably low. Some researchers, however, argue that this phenomena might be a combined result of seasonality and firm size effect. In this paper, monthly return data, which covers a period of twenty years, together with the respective market value are examined. The empirical findings prove that contrarian strategies in Taiwan are not as powerful as in other equity markets.
- 英文摘要: --
- 中文關鍵字: Contrarian Strategies, Seasonality, Firm Size Effect
- 英文關鍵字: --