Retrieving almost stochastic Dominance momentum in Taiwan stock market

Mi-Hsiu Chiang, Hsin-Yu Chiu and Yu-Chin Hsu

Pacific-Basin Finance Journal, 2024, vol. 83, issue C

Abstract: We propose new momentum strategies based on the Almost Stochastic Dominance rules. Relative to classic momentum, our novel strategy achieves better risk-adjusted performance, and exhibits lower volatility and reduced negative skewness in returns. The abnormal returns are statistically and economically significant when testing against alternative common risk factors. Most interestingly, the strategy's ability to generate excess returns is particularly pronounced when using shorter-term ranking and holding periods. Notable improvements in computational efficiency suggest that practical implementability of the strategy shall prevail in cases where a large span of assets is considered. In empirical studies, we apply the new momentum strategies to the Taiwan stock market and compare them with some existing momentum strategies.

Keywords: Almost stochastic dominance; Momentum strategies; Asset pricing (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:83:y:2024:i:c:s0927538x24000192

DOI: 10.1016/j.pacfin.2024.102268

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