Momentum Does Not Matter Consistently: The Evidence from Taiwan Stock Returns
21 Pages Posted: 15 May 2000
Date Written: March 2000
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: Suggested Citation