標題: Technical, fundamental, and combined information for separating winners from losers
作者: Chen, Hong-Yi
Lee, Cheng-Few
Shih, Wei K.
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: BOS ratio;Combined investment strategy;Financial statement analysis;Fundamental analysis;Momentum strategies;Technical analysis;Trading volume
公開日期: Sep-2016
摘要: This study examines how fundamental accounting information can be used to supplement technical information to separate momentum winners from losers. We first introduce a ratio of liquidity buy volume to liquidity sell volume (BOS ratio) to proxy the level of information asymmetry for stocks and show that the BOS momentum strategy can enhance the profits of momentum strategy. We further propose a unified framework, produced by incorporating two fundamental indicators the-FSCORE (Piotroski, 2000) and the GSCORE (Mohanram, 2005) into momentum strategy. The empirical results show that the combined investment strategy includes stocks with a larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns. (C) 2016 Published by Elsevier B.V.
URI: http://dx.doi.org/10.1016/j.pacfin.2016.06.008
http://hdl.handle.net/11536/132589
ISSN: 0927-538X
DOI: 10.1016/j.pacfin.2016.06.008
期刊: PACIFIC-BASIN FINANCE JOURNAL
Volume: 39
起始頁: 224
結束頁: 242
Appears in Collections:Articles