Momentum Does Not Matter Consistently: The Evidence from Taiwan Stock Returns

21 Pages Posted: 15 May 2000

See all articles by Anlin Chen

Anlin Chen

National Sun Yat-sen University - Department of Business Management

Date Written: March 2000

Abstract

This paper focuses on the "stable factors" underlying security returns with the sample of Taiwan stock returns. The simulation results show that the cross-validation factor analysis can detect the number of stable factors underlying the stock returns very accurately. With the cross-validation factor analysis, we argue that there exist three stable factors underlying Taiwan security returns. The stable factors in Taiwan stock returns are significantly related to market factor, size factor and book-to-market factor proposed by Fama and French (1993). However, the stable factors are not significantly related to momentum. That is, momentum is not consistently significant in stock returns.

Keywords: Stock return, stable factors, Fama-French model, momentum, cross-validation

JEL Classification: C15, G12

Suggested Citation

Chen, Anlin, Momentum Does Not Matter Consistently: The Evidence from Taiwan Stock Returns (March 2000). Available at SSRN: https://ssrn.com/abstract=222108 or http://dx.doi.org/10.2139/ssrn.222108

Anlin Chen (Contact Author)

National Sun Yat-sen University - Department of Business Management ( email )

Kaohsiung 80424
Taiwan
886-7-5252000x4656 (Phone)
886-7-5254698 (Fax)

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