Retrieving almost stochastic Dominance momentum in Taiwan stock market

Mi Hsiu Chiang, Hsin Yu Chiu, Yu Chin Hsu

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

We propose new momentum strategies based on the Almost Stochastic Dominance rules. Relative to classic momentum, our novel strategy achieves better risk-adjusted performance, and exhibits lower volatility and reduced negative skewness in returns. The abnormal returns are statistically and economically significant when testing against alternative common risk factors. Most interestingly, the strategy's ability to generate excess returns is particularly pronounced when using shorter-term ranking and holding periods. Notable improvements in computational efficiency suggest that practical implementability of the strategy shall prevail in cases where a large span of assets is considered. In empirical studies, we apply the new momentum strategies to the Taiwan stock market and compare them with some existing momentum strategies.

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文章編號102268
期刊Pacific Basin Finance Journal
83
DOIs
出版狀態已出版 - 2月 2024

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