邱顯比臺灣大學：財務金融學研究所Tsai, Yung-YuYung-YuTsai2007-11-282018-07-092007-11-282018-07-092005http://ntur.lib.ntu.edu.tw//handle/246246/60785Abstract The purpose of this study is to examine and confirm the best strategies in the Taiwan Stock Market by comparing six different momentum strategies proposed by Jagadeesh and Titman (1993), Moskowitz and Grinblatt (1999), George and Hwang (2004) and another unique strategy in this study, GH Revised 52-week strategy. Compared with these six momentum strategies, we get some findings that GH Revised 52-week High and Low strategies could earn the most profits no matter January is included or excluded in the period of 1989 to 2003 in Taiwan Securities Exchange. Alternatively, GH Revised 52-week High and Low strategies are the best short-term investment strategies. But in long-term investment, using MG and GH Revised 52-week Low strategies are superior to sustain the profitability.Table of Contents I、 INTRODUCTION 1 II、 DATA 5 III、 METHODOLOGY 8 A、 JAGADEESH AND TITMAN (1993) 8 B、 MOSKOWITZ AND GRINBLATT (1999) 8 C、 GEORGE AND HWANG (2004) 9 D、 REVISED GEORGE AND HWANG (2004) 10 IV、 PROFITABILITY TEST 11 V、 SUBPERIOD ANALYSIS 18 VI、 DOMINANCE TEST 22 VII、 LONG-TERM REVERSAL TEST 25 VIII、 CONCLUSION 33 IX、 SUGGESTION 36 X、 REFERENCES 37204758 bytesapplication/pdfen-US動量策略投資策略Momentum StrategyInvestment strategythesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60785/1/ntu-94-R92723036-1.pdf