Wang, Ching-Ping; Huang, Hung-Hsi; Tu, Kai-Jei - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 01, pp. 1250006-1
This study investigates the momentum profits and provides a systematic risk as well as time-varying unsystematic risk explanation, adopting the monthly returns in the Taiwan stock market during 2003–2008 periods. Through the regression models including and combining the CAPM, Fama–French...