Technical, fundamental, and combined information for separating winners from losers

Hong Yi Chen, Cheng Few Lee, Wei K. Shih

Research output: Contribution to journalArticlepeer-review

20 Scopus citations


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. The empirical results show that the combined investment strategy includes stocks with a larger information content that the market cannot reflect in time, and therefore, the combined investment strategy outperforms momentum strategy by generating significantly higher returns.

Original languageEnglish (US)
Pages (from-to)224-242
Number of pages19
JournalPacific Basin Finance Journal
StatePublished - Sep 1 2016
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


  • BOS ratio
  • Combined investment strategy
  • Financial statement analysis
  • Fundamental analysis
  • Momentum strategies
  • Technical analysis
  • Trading volume


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