Journal of Finance, 54(4), 1249-1290 - 台灣證券市場上從眾行為與市場及橫斷面報酬率間關係之研究(第2年)

11. Park, Seung-Chen, 2010. The Moving Average Ratio and Momentum, Financial Review,

45(2), 415-447.

12. Schwert, G. William, 2002. Anomalies and Market Efficiency, in Handbook of the

Economics of Finance, edited by G.M. Constantinides, Harris, M. and R. Stulz, pp.

939-947 (North-Holland: Amsterdam).

Table 1. Profitability Analysis of Six Momentum Strategies

This table presents profitability of six momentum strategies during 1981 to 2010, which include the price (JT) momentum strategy, industry (MG) momentum strategy, 52-week high (H52) momentum strategy, moving average momentum (MAR) strategy, Residual (RS) momentum strategy, Earning (Ear) momentum strategy. For each momentum strategy indicator, ten equally weighted portfolio are formed with overlapping periods. A zero-cost portfolio is then formed by simultaneously buying top 10% and selling bottom 10% of stocks. k=3, 6, 9, and 12 represents holding periods of 3, 6, 9, and 12months, respectively.

k=3 k=6 k=9 k=12

Panel A：JT Momentum Strategy

Winner -0.03 -0.06 -0.09 -0.04

Loser -0.55 -0.53 -0.47 -0.30

Winner－Loser 0.52 0.48 0.38 0.25

(1.04) (1.03) (0.85) (0.59)

Panel B：MG Momentum Strategy

Winner 0.54 0.51 0.53 0.57

Loser 0.70 0.69 0.66 0.72

Winner－Loser -0.16 -0.18 -0.13 -0.16

(-0.51) (-0.63) (-0.50) (-0.68)

Panel C：H52 Momentum Strategy

Winner 0.65 0.66 0.64 0.58

Loser -0.92 -0.87 -0.75 -0.60

Winner－Loser 1.56*** 1.53*** 1.39*** 1.18***

(3.08) (3.23) (3.07) (2.75)

Panel D：MAR Momentum Strategy

Winner 0.10 0.21 0.15 0.07

Loser -0.64 -0.60 -0.50 -0.33

Winner－Loser 0.74 0.82* 0.65 0.40

(1.39) (1.68) (1.44) (0.95)

Panel E：RS Momentum Strategy

Winner 0.59 0.63 0.59 0.49

Loser -0.04 0.09 0.11 0.16

Winner－Loser 0.63** 0.53** 0.48** 0.34

(2.15) (2.02) (2.03) (1.54)

Panel F：Earn Momentum Strategy

Winner -0.10 -0.23 -0.45 -0.26

Loser -0.88 -0.81 -0.75 -0.53

Winner－Loser 0.78*** 0.58*** 0.31 0.27*

(3.09) (2.72) (1.65) (1.67)

Table 2. Profitability Analysis of Various Momentum Strategies for January and Non-January Months

This table presents profitability of six momentum strategies for January and non-January months during 1981 to 2010, which include the price (JT) momentum strategy, industry (MG) momentum strategy, 52-week high (H52) momentum strategy, moving average momentum (MAR) strategy, Residual (RS) momentum strategy, Earning (Ear) momentum strategy. For each momentum strategy indicator, ten equally weighted portfolio are formed with overlapping periods. A zero-cost portfolio is then formed by simultaneously buying top 10% and selling bottom 10% of stocks. k=3, 6, 9, and 12 represents holding periods of 3, 6, 9, and 12months, respectively.

k=3 k=6 k=9 k=12

Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl.

Panel A：JT Momentum Strategy

Winner 4.58 -0.20 3.54 -0.24 2.60 -0.35 2.40 -0.31 Loser 5.14 -1.16 3.80 -1.11 3.54 -1.05 2.98 -0.91 Winner -

Loser -0.55 0.97 * -0.26 0.87 * -0.94 0.70 -0.58 0.60

(-0.47) (1.93) (-0.30) (1.85) (-1.38) (1.57) (-0.92) (1.38)

Panel B：MG Momentum Strategy

Winner 4.72 0.22 3.41 0.21 2.58 0.16 2.19 0.15

Loser 4.96 0.38 3.48 0.38 2.84 0.36 2.63 0.38

Winner -

Loser -0.23 -0.16 -0.06 -0.17 -0.26 -0.21 -0.44 -0.23 (-0.29) (-0.46) (-0.09) (-0.57) (-0.45) (-0.79) (-0.80) (-0.98)

Panel C：H52 Momentum Strategy

Winner 4.22 0.55 3.22 0.57 2.43 0.50 2.13 0.37 Loser 4.80 -1.55 3.73 -1.41 3.60 -1.33 3.15 -1.20 Winner -

Loser -0.58 2.11 *** -0.51 1.98 *** -1.18 ** 1.83 *** -1.02 1.57 ***

(-0.49) (4.18) (-0.62) (4.25) (-2.20) (4.14) (-1.78) (3.72)

Panel D：MAR Momentum Strategy

Winner 4.09 0.00 3.24 0.02 2.58 -0.13 2.17 -0.20 Loser 5.05 -1.25 3.74 -1.13 3.49 -1.04 3.12 -0.89 Winner -

Loser -0.96 1.25 ** -0.50 1.15 ** -0.90 * 0.91 ** -0.94 * 0.70 *

(-0.81) (2.33) (-0.73) (2.37) (-1.79) (2.05) (-2.09) (1.67)

Panel E：RS Momentum Strategy

Winner 3.49 0.44 2.89 0.40 2.25 0.25 4.45 0.14 Loser 3.39 -0.55 2.78 -0.30 2.27 -0.35 3.82 -0.34 Winner -

Loser 0.10 0.98 *** 0.11 0.69 *** -0.02 0.60 *** 0.64 ** 0.48 **

(0.15) (3.29) (0.37) (2.67) (-0.06) (2.64) (2.78) (2.20)

Panel F：Earning Momentum

Strategy

Winner 2.10 -0.39 3.75 -0.56 5.76 -0.68 0.99 -0.29 Loser 2.91 -1.12 4.54 -1.08 5.93 -1.00 1.46 -0.55 Winner -

Loser -0.81 0.73 *** -0.79 ** 0.52 ** -0.16 0.31 * -0.47 0.26

(-1.58) (3.17) (-2.25) (2.54) (-0.56) (1.75) (-1.68) (1.61)

Table 3: Pairwise Comparison of Six Momentum Strategy Profitability

This table presents pairwise comparison of six momentum strategies during 1981 to 2010. First, ten equally weighted portfolios are formed according to one of the six (JT, MG, H52, MAR, RS and Earn) momentum strategy indicators. A winner (Loser) portfolio is then formed with top (bottom) 30% of stocks. Within the winner and the loser portfolios, stock are further sorted by one of the other five momentum strategy indicators into ten equally weighted portfolios. Again, a winner (Loser) portfolio is then formed with top (bottom) 30% of stocks. Hold these winner and loser portfolios for 6 months to see whether any of the other five momentum strategies can generate significant returns, and outperforms the momentum strategy used for the first-round sorting.

Portfolio constructed by the first Strategy Portfolio constructed by the second Strategy Panel A：Sort by

JT Strategy MG H52 MAR RS Earn

Winner Winner 0.39 0.52 0.35 0.65 -0.53

Loser 0.52 0.99 0.11 0.12 -0.98

Winner Winner 0.17 0.53 0.29 0.48 -0.19

Loser 0.46 0.08 0.30 0.41 -0.50

Winner Winner 0.29 0.63 0.46 0.69 -0.18

Loser 0.81 0.98 0.77 0.55 -0.56

Panel D：Sort by

MAR Strategy JT MG H52 RS Earn

Winner Winner 0.10 0.52 0.53 0.57 -0.51

Loser 0.54 0.64 0.21 0.29 -0.86

27 (Continued from Table 3)

Portfolio

constructed by

the first Strategy Portfolio constructed by the second Strategy Panel E：Sort

by RS Strategy JT MG H52 MAR Earn

Winner Winner 0.11 0.63 0.64 0.37 -0.29

Loser 0.81 0.82 0.32 0.62 -0.57

Winner -

Loser -0.70 ** -0.19 0.32 -0.25 0.28 * (-2.09) (-0.71) (1.09) (-0.83) (1.84)

Loser Winner 0.30 0.23 0.46 0.35 -0.59

Loser -0.16 0.63 -0.40 -0.28 -0.70

Winner -

Loser 0.46 -0.40 0.86 ** 0.63 0.11

(1.13) (-1.41) (2.10) (1.65) (0.57)

Panel F：Sort by

Earn Strategy JT MG H52 MAR RS

Winner Winner -0.73 -0.17 -0.27 -0.66 -0.34

Loser -0.25 -0.26 -0.67 -0.27 -0.39

Winner -

Loser -0.48 -0.09 0.40 -0.38 0.06 (-1.23) (-0.30) (1.07) (-0.98) (0.21) Loser Winner -0.73 -0.45 -0.46 -0.74 -0.62

Loser -0.98 -0.37 -1.18 -0.99 -0.77

Winner -

Loser 0.24 -0.07 0.72 * 0.25 0.15 (0.40) (-0.27) (1.95) (0.68) (0.69)

Table 4. Pairwise Comparison of Six Momentum Strategies for January and Non-January Months

This table presents pairwise comparison of six momentum strategies for January and non-January months during 1981 to 2010.

Portfolio constructed by the first Strategy Portfolio constructed by the second Strategy Panel A：Sort by

JT Strategy MG H52 MAR RS Earn

Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl.

Winner Winner 3.43 0.16 3.26 0.41 3.29 0.14 2.57 0.42 3.37 -0.72

Loser 3.07 0.39 3.33 0.38 3.65 -0.10 2.17 -0.16 3.40 -1.14

Winner -

Loser 0.36 -0.23 -0.07 0.78 *** -0.36 (0.24) 0.40 0.58 ** -0.03 0.42 **

(0.51) (-0.89) (-0.14) (3.33) (-0.91) (1.29) (0.66) (2.36) (-0.07) (2.53)

Loser Winner 3.13 -0.39 3.70 0.21 3.79 -0.07 3.65 -0.28 4.27 -1.01

Loser 4.37 -0.06 4.13 -1.15 4.01 -1.04 3.00 -0.24 4.46 -1.28

Winner -

Loser -1.25 -0.33 -0.43 1.36 *** -0.22 0.97 *** 0.65 -0.04 -0.19 0.27 (-1.41) (-1.39) (-0.79) (5.46) (-0.43) (4.90) (1.22) (-0.17) (-0.39) (1.40) Panel B：Sort by

MG Strategy JT H52 MA RS Earn

Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl.

Winner Winner 3.49 -0.07 3.04 0.36 3.20 0.06 2.58 0.23 3.67 -0.47

Loser 3.34 -0.02 3.44 -0.46 3.26 -0.17 2.70 -0.02 3.58 -0.74

Winner -

Loser 0.15 -0.05 -0.40 0.82 ** -0.06 0.22 -0.11 0.25 0.09 0.27 (0.27) (-0.18) (-0.71) (2.77) (-0.15) (0.78) (-0.28) (1.07) (0.25) (1.56)

Loser Winner 3.18 0.77 3.01 0.87 3.20 0.68 2.22 0.70 3.64 -0.54

Loser 4.37 -0.48 4.26 -0.60 4.29 -0.46 3.10 0.12 4.14 -0.83

Winner -

Loser -1.19 * 1.25 *** -1.25 1.47 *** -1.09 1.13 *** -0.88 0.58 *** -0.50 0.29 **

(-1.77) (3.89) (-1.60) (4.76) (-1.45) (3.75) (-1.84) (3.14) (-1.00) (2.13) Panel C：Sort by

H52 Strategy JT MG MAR RS Earn

Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl.

Winner Winner 3.42 0.11 3.18 0.46 3.54 0.32 2.45 0.54 3.86 -0.29

Loser 3.47 0.66 3.41 0.87 3.48 0.63 2.32 0.45 3.31 -0.65

Winner -

Loser -0.05 -0.55 ** -0.23 -0.41 * 0.06 -0.31 0.13 0.09 0.55 0.36 **

(-0.09) (-2.11) (-0.40) (-1.69) (0.12) (-1.25) (0.36) (0.50) (1.34) (2.28)

Loser Winner 4.06 -0.58 3.73 -0.60 3.68 -0.55 3.93 -0.47 4.57 -1.49

Loser 3.79 -0.72 4.27 -0.35 4.02 -0.90 2.43 -0.57 4.81 -1.54

Winner -

Loser 0.27 0.13 -0.54 -0.26 -0.35 -0.36 1.50 ** 0.10 -0.24 0.06 (0.58) (0.55) (-0.70) (-0.92) (-0.83) (1.50) (2.61) (0.42) (-0.77) (0.31)

29 (Continued from Table 4)

Portfolio constructed by the first Strategy Portfolio constructed by the Second Strategy Panel D：Sort by

MAR Strategy JT MG H52 RS Earn

Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl.

Winner Winner 3.94 -0.08 3.37 0.27 3.13 0.43 2.48 0.32 3.48 -0.68

Loser 2.91 0.30 2.92 0.47 3.46 -0.13 2.31 0.02 3.62 -1.01

Winner -

Loser 1.03 ** -0.38 * 0.45 -0.20 -0.33 0.56 *** 0.17 0.30 -0.14 0.34 **

(2.13) (-1.89) (0.70) (-0.79) (-0.89) (2.70) (0.41) (1.49) (-0.29) (2.04)

Loser Winner 3.95 -0.44 3.64 -0.49 4.36 -0.09 4.45 -0.38 3.59 -1.17

Loser 3.34 -0.77 4.23 -0.14 3.95 -1.14 4.71 -0.25 2.74 -1.33

Winner -

Loser 0.61 0.33 -0.59 -0.35 0.41 1.23 *** -0.26 -0.13 0.85 0.16 (1.33) (1.57) (-0.87) (-1.42) (0.69) (4.94) (-0.63) (-0.59) (1.27) (0.72) Panel E：Sort by

RS Strategy JT MG H52 MAR Earn

Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl.

Winner Winner 2.23 -0.13 2.45 0.29 2.18 0.51 2.21 0.12 3.71 -0.51

Loser 3.18 0.61 2.67 0.64 3.17 0.01 3.21 0.40 4.15 -0.76

Winner -

Loser -0.94 -0.75 ** -0.22 -0.35 -0.99 0.50 * -1.00 -0.28 -0.44 0.25 * (0.20) (-2.28) (-0.37) (-1.29) (-1.16) (1.78) (-1.45) (-0.97) (-0.75) (1.68)

Loser Winner 2.83 0.08 2.77 -0.17 2.66 0.33 2.68 0.10 4.27 -1.06

Loser 3.30 -0.78 3.07 0.26 3.33 -1.11 3.19 -0.93 4.55 -1.04

Winner -

Loser -0.47 0.85 ** -0.29 -0.43 -0.67 1.44 *** -0.50 1.03 *** -0.28 -0.02 (-0.63) (2.03) (-0.42) (-1.40) (-0.74) (3.48) (-0.69) (2.70) (-0.50) (-0.09) Panel F：Sort by

Earn Strategy JT MG H52 MAR RS

Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl. Jan. only Jan. Excl.

Winner Winner 3.70 -0.89 4.01 -0.48 4.33 -0.35 3.79 -0.79 4.16 -0.56

Loser 4.29 -0.69 3.64 -0.52 3.71 -1.14 4.07 -0.77 4.27 -0.82

Winner -

Loser -0.59 -0.20 0.37 0.04 -0.62 0.79 ** 0.28 -0.02 0.29 0.26

(-0.61) (-0.50) (0.31) (0.13) (0.61) (2.11) (-0.30) (-0.05) (0.54) (0.91)

Loser Winner 3.67 -0.89 3.67 -0.65 3.75 -0.55 4.00 -0.86 4.48 -0.78

Loser 4.49 -1.39 4.15 -0.71 4.50 -1.66 4.76 -1.46 4.34 -1.14

Winner -

Loser -0.82 0.50 -0.48 0.06 -0.74 1.11 *** -0.77 0.60 * (0.14) 0.36 * (-0.79) (1.43) (-0.74) (0.24) (-0.73) (3.02) (-0.81) (1.71) (0.30) (1.70)

Table 5: Simultaneous Comparison of Momentum Strategy Profitability

This table presents results of George and Hwang (2004) regression model as follows:

Ri_, is return for portfolio i in month t; Size denotes market capitalization ; BM stands for book-to-market value ratio; JTW and JTL represent dummy variables for winner and loser of the price momentum strategy; MGW and MGL represent dummy variables for winner and loser of the industry momentum strategy; H52W and H52W represent dummy variables for winner and loser of the 52-week high momentum strategy; MARW and MARW represent dummy variables for winner and loser of the MAR momentum strategy; RSW and RSL represent dummy variables for winner and loser of the residual momentum strategy; EarnW and EarnL represent dummy variables for winner and loser of the earnings momentum strategy. In addition, momentum strategy are risk-adjusted by the Fama and French (1993) three-factor model. (2,7) represents a holding periods that extends from the 2nd to the 7thmonths after the formation period; while (2,13) represents a holding periods that extends from the 2nd to the 13thmonths after the formation period.

(2,7) (2,13)

Average monthly return FF factor-adjusted

monthly return Average monthly return FF factor-adjusted monthly return

Table 6: Simultaneous Comparison of Momentum Strategy Profitability excluding January

This table presents results of George and Hwang (2004) regression model, excluding January months, as follows:

(2,7) (2,13)

Average monthly

return FF factor-adjusted

monthly return Average monthly return FF factor-adjusted monthly return

Table 7: Profitability of Price-, Industry-, and Residual Momentum with 1~6 and 7~12 Formation Periods

This table presents profitability of the price, the industry, and the residual momentum with 1~6 and 7~12 formation periods. The price momentum strategy are denoted as JT16 and JT712; the industry momentum strategy are denoted as MG16 and MG712; The residual momentum Strategy are denoted as RS16 and RS712;

k=3, 6, 9, 12 represent holding periods of 3, 6, 9 and 12 months.

k=3 k=6 k=9 k=12

Panel A：JT16 Momentum Strategy

Winner -0.16 0.04 0.10 0.06

Loser -0.52 -0.68 -0.60 -0.42

Winner－Loser 0.36 0.72* 0.70* 0.49

(0.79) (1.70) (1.83) (1.38)

Panel B：JT712 Momentum Strategy

Winner 0.11 0.01 -0.04 0.04

Loser -0.54 -0.25 -0.10 -0.04

Winner－Loser 0.65 0.26 0.06 0.08

(1.58) (0.71) (0.17) (0.23)

Panel C：MG16 Momentum Strategy

Winner 0.41 0.53 0.55 0.47

Loser 0.52 0.43 0.50 0.56

Winner－Loser -0.11 0.10 0.05 -0.08

(-0.35) (0.35) (0.20) (-0.40)

Panel D：MG712 Momentum Strategy

Winner 0.69 0.56 0.55 0.64

Loser 0.64 0.67 0.72 0.74

Winner－Loser 0.04 -0.11 -0.17 -0.1

(0.13) (-0.38) (-0.68) (-0.43)

Panel E：RS16 Momentum Strategy

Winner 0.25 0.48 0.58 0.55

Loser 0.19 0.13 0.03 0.10

Winner－Loser 0.06 0.35 0.55** 0.46**

(0.20) (1.36) (2.56) (2.35)

Panel F：RS712 Momentum Strategy

Winner -0.27 -0.10 -0.21 -0.25

Loser -1.22 -0.97 -0.85 -0.62

Winner－Loser 0.94*** 0.87*** 0.64*** 0.38**

(4.52) (4.17) (3.19) (2.14)

Table 8: Comparison of Profitability of Price-, Industry-, and Residual Momentum with 1~6 and 7~12 Formation Periods with other Momentum Strategies

This table employ an extended regression model of George and Hwang (2004) to compare profitability of momentum strategies with 1~6 and 7~12 formation periods.

Ri_, is return for portfolio i in month t;Size denotes market capitalization ; BM stands for book-to-market value ratio; JT16W(JT712W) and JT16L(JT712L) represent dummy variables for winner and loser of the price momentum strategy; MG16W(MG712W) and MG16L(MG712L) represent dummy variables for winner and loser of the industry momentum strategy; H52W and H52L represent dummy variables for winner and loser of the 52-week high momentum strategy; MARW and MARW represent dummy variables for winner and loser of the MAR momentum strategy; RS16W(RS712W) and RS16L(RS712L) represent dummy variables for winner and loser of the residual momentum strategy; EarnW and EarnL represent dummy variables for winner and loser of the earnings momentum strategy. In addition, momentum strategy are risk-adjusted by the Fama and French (1993) three-factor model. (2,7) represents a holding periods that extends from the 2nd to the 7thmonths after the formation period, etc.

(2,7) (2,13)

Average monthly return FF factor-adjusted

monthly return Average monthly return FF factor-adjusted monthly return

Intercept 0.40 0.60*** 0.37 0.57***

(0.73) (3.06) (0.68) (2.99)

Table 9: Comparison of Profitability of Price-, Industry-, and Residual Momentum with 1~6 and 7~12 Formation Periods with other Momentum Strategies, Excluding January Months

This table employ an extended regression model of George and Hwang (2004) to compare profitability of momentum strategies with 1~6 and 7~12 formation periods, excluding January months.

(2,7) (2,13)

Average monthly return FF factor-adjusted

monthly return Average monthly return FF factor-adjusted monthly return

Table 10: Simultaneous Comparison of Six Momentum Strategies in the Bull and the Bear Market States

This table employ regression model of George and Hwang (2004) to compare profitability the six momentum strategies in the bull and the bear market states.

Ri_, is return for portfolio i in month t; Size denotes market capitalization ; BM stands for book-to-market value ratio; JTW and JTL represent dummy variables for winner and loser of the price momentum strategy; MGW and MGL represent dummy variables for winner and loser of the industry momentum strategy; H52W and H52L represent dummy variables for winner and loser of the 52-week high momentum strategy; MARW and MARW represent dummy variables for winner and loser of the MAR momentum strategy; RSW and RSL represent dummy variables for winner and loser of the residual momentum strategy; EarnW and EarnL represent dummy variables for winner and loser of the earnings momentum strategy. In addition, momentum strategy are risk-adjusted by the Fama and French (1993) three-factor model. (2,7) represents a holding periods that extends from the 2nd to the 7thmonths after the formation period, etc. we also follow Cooper and Guterrez (2004) in defining a bull (bear) market when the past 36 months market return is non-negative (negative).

(2,7) (2,13)

Average monthly return FF factor-adjusted

monthly return Average monthly return FF factor-adjusted monthly return Panel A：the bull market

Intercept -0.02 0.39 * -0.05 0.36 *

36 (continued from Table 10)

(2,7) (2,13)

Average monthly return FF factor-adjusted

monthly return Average monthly return FF factor-adjusted monthly return

Panel B：the bear market

Intercept -0.13 -0.15 -0.17 -0.19

(-0.08) (-0.34) (-0.11) (-0.44)

Table 11: Simultaneous Comparison of Six Momentum Strategies in the Bull and the Bear Market States for Non-January MOnths

This table employ regression model of George and Hwang (2004) to compare profitability the six momentum strategies in the bull and the bear market states for non-January months.

Ri_, is return for portfolio i in month t; Size denotes market capitalization ; BM stands for book-to-market value ratio; JTW and JTL represent dummy variables for winner and loser of the price momentum strategy; MGW and MGL represent dummy variables for winner and loser of the industry momentum strategy; H52W and H52L represent dummy variables for winner and loser of the 52-week high momentum strategy; MARW and MARW represent dummy variables for winner and loser of the MAR momentum strategy; RSW and RSL represent dummy variables for winner and loser of the residual momentum strategy; EarnW and EarnL represent dummy variables for winner and loser of the earnings momentum strategy. In addition, momentum strategy are risk-adjusted by the Fama and French (1993) three-factor model. (2,7) represents a holding periods that extends from the 2nd to the 7thmonths after the formation period, etc. we also follow Cooper and Guterrez (2004) in defining a bull (bear) market when the past 36 months market return is non-negative (negative).

(2,7) (2,13)

Average monthly return FF factor-adjusted

monthly return Average monthly return FF factor-adjusted monthly return Panel A：the bull market

Intercept -0.53 0.21 -0.53 0.21

38 (continued from Table 11)

(2,7) (2,13)

Average monthly return FF factor-adjusted

monthly return Average monthly return FF factor-adjusted monthly return

Panel B：the bear market

Intercept -0.57 -0.22 -0.62 -0.27

在文檔中台灣證券市場上從眾行為與市場及橫斷面報酬率間關係之研究(第2年) (頁 42-59)