We examine the influence of investor sentiment on the risk-reward relationship in the Taiwan stock market. Regression results show that the risk-reward relationship is weakly positive (significantly negative) under low (high) levels of investor sentiment. Granger causality tests indicate...

This study investigates the momentum and contrarian profits corresponding to the coincident economic indicator on the Taiwan stock market. The empirical findings are as follows. First, neither momentum nor contrarian profits are statistically significant on average. Second, winners and losers...

Previous studies have demonstrated that investor sentiment affects trading behavior and stock returns, and is correlated with seasons and weather. In addition, a great deal of evidence supports the main systematic factors of the Fama-French (FF) three-factor model. This study presents both the...