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  4. Can fund Investors Benefit from Momentum and Herding Strategies in Taiwan Market?
 
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Can fund Investors Benefit from Momentum and Herding Strategies in Taiwan Market?

Journal
管理學報
Journal Volume
28
Journal Issue
2
Pages
191-218
Date Issued
2011-04
Author(s)
TSUN-SIOU LEE  
W. C. Tsai
S. C. Huang
J. F. Lin
DOI
10.6504/JOM.2011.28.02.05
URI
http://scholars.lib.ntu.edu.tw/handle/123456789/367189
Abstract
Fund performance and fund flow interaction of momentum strategies in short, intermediate and long horizons are investigated in this study. Various sorting schemes such as one-way sorting, two-way independent sorting and two-way dependent sorting are applied to both raw returns and category-adjusted returns to form portfolios with different return-flow combinations. It is found that, by two-way sorting, return momentum exits for all horizons, no matter controlling flow or not, being adjusted by category or not. Low flow funds tend to outperform high flow funds, no matter controlling return or not, being adjusted by category or not. The evidence suggests that chasing not only past return winners but also neglected funds may be best fit for the investors who want the best returns. However, the additional information offered by past returns and fund flows may not valid in bear markets. To utilize the momentum and anti-herding strategies, the investors still need to consider timing and adopt long horizon to cover whole business cycle.
Type
journal article

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