In February 2022, Associate Professor Lin Chaonan, Department of Accounting/Accounting Development Research Center, Xiamen University, as the first author, co-authored the paper "Does the momentum gap explain momentum in Taiwan?”" with Professor Ko Kuan Cheng, Jinan University, Taiwan, and Professor Yang Nien Tzu, Union University, Taiwan Published in Pacific-Basin Finance Journal.

Abstract of the paper

Huang (2021) proposes the momentum gap, which is the difference in the formation-period returns between past winners and losers, as a strong predictor of momentum returns. This study extends Huang's (2021) analyses to the Taiwan stock market by proposing that the composition of market participants and the imposition of price limits in this market have opposite impacts on the momentum gap. Our results indicate that the momentum gap fails to predict momentum returns in Taiwan, a phenomenon that is in line with our conjecture that the imposition of price limits mitigates the effectiveness of the momentum gap.

Introduction of the author

Lin Chaonan, PhD, Associate Professor, Master Tutor. 1994-1998 Bachelor degree in Iron and Steel Metallurgy, Department of Metallurgy and Materials Engineering, Chongqing University; From 1998 to 2001, he graduated from the School of Economics and Business Administration of Chongqing University, majoring in Technical Economics and Management (direction of corporate Finance), and obtained a master's degree in management. From 2002 to 2007, he graduated from the School of Economics and Business Administration of Chongqing University, majoring in Technical Economics and Management (direction of Corporate Finance), and obtained a Doctor's degree in Management. From 1998 to 2007, he taught at the Accounting Department of the School of Economics and Business Administration, Chongqing University (from 2000 to 2001, he was seconded to the Planning Office of the Development Planning Department of the Ministry of Education for one year); Since September 2007, he has been teaching at the Department of Accounting, School of Management, Xiamen University, teaching courses such as "Accounting Information System" and "Advanced Financial Statement Analysis". He is mainly engaged in teaching and research in the fields of financial accounting, financial management and corporate governance. In Journal of Empirical Finance, Pacific Basin Finance Journal, Accounting and Finance, Finance Research More than 30 academic papers have been published in domestic and foreign journals such as Letters, Journal of Management Science, and Economic Science, and many monographs and textbooks have been published publicly. As the project leader, he presided over a number of projects of government and enterprises and institutions such as the Humanities and Social Science Fund of the Ministry of Education, Foshan Financial Bureau, Qingyuan Municipal Development and Reform Bureau and Guangdong Branch of China Development Bank. He has won the second prize of Chongqing Social Science Outstanding Achievements, the Deng Ziji Teaching Fund of Xiamen University, the China Construction Bank Teaching Fund of Xiamen University and other awards.