財金系擬於下週二(2016/1/5)邀請羅格斯大學李正福教授至本所進行演講，相關訊息如下：

(演講教授之論文及投影片將於演講前另行寄送。)

時間: 1/5(二) 下午15:30-17:00

地點: 管理學院一號館2F 冠德講堂

演講人: Prof. 李正福

學校：Rutgers, The state University of New Jersey

講題: Technical, Fundamental, and Combined Information for Separating Winners from Losers

Abstract:
This study examines how fundamental accounting information can be used to supplement technical information to separate momentum winners from losers. We first introduce a ratio of liquidity buy volume to liquidity sell volume (BOS ratio) to proxy the level of information asymmetry for stocks and show that the BOS momentum strategy can enhance the profits of momentum strategy. We further propose a unified framework, produced by incorporating two fundamental indicators—the FSCORE (Piotroski, 2000) and the GSCORE (Mohanram, 2005)—into momentum strategy. Empirical results show that the combined investment strategy includes stocks with larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns.