ความสัมพันธ์ระหว่างการทำกำไรโดยใช้กลยุทธ์การลงทุนแบบโมเมนตัมโดยใช้ราคาสูงสุด 52 สัปดาห์ กับ ทัศนคติของนักลงทุน

Abstract

The purpose of the study is to examine the relationship between profitability of the 52 week high price momentum strategy and investor sentiment of listed companies in the Stock Exchange of Thailand. The results show that the 52 week high price explains a large portion of the profits from momentum investing than Jegadeesh and Titman’s Individual Stock Momentum and Moskowitz and Grinblatt’s Industrial Momentum and also found that the significant profitability using the 52 week high price momentum strategy was correlated with sentiment periods under the concept that market participants behave in response to information that is too underreact (Underreact) and the concept of Anchoring Biases.