This study investigates the bias adjustment for mean–variance efficient portfolio frontiers due to population mean and variance estimation error in Taiwan stock market. Although Siegel and Woodgate (2007; Management Science, 53, 1005–1015) and Kan and Smith (2008; Management Science, 54,...

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...

This study analyzes individual portfolio selection in the presence of background risk. Under the expected utility framework, this study determines necessary and sufficient conditions of utility functions for two-fund monetary separation with independently additive and multiplicative background...