Insights

Should you invest in emerging markets? Our emerging market investment guide covers the benefits, risks, and strategies to empower you with data-based decisions.

Alpha signals are metrics that show portfolio outperformance potential. Learn how they're generated and applied in trading, and the challenges of using them.

Factor investing targets quantifiable characteristics to improve returns. Explores common factors (macroeconomic and style types) and strategies in our guide.

In the previous study, we examined the Capital Gain Overhang (CGO) factor, designed to capture the behavioral bias known as the Disposition Effect. By measuring the gap between current market prices and investors’ average cost basis, CGO quantifies unrealized gains and losses at the market level. Empirical tests in Taiwan’s equity market confirmed that CGO is a meaningful predictor of future returns: high-CGO stocks consistently outperformed low-CGO stocks, generating significant positive alpha beyond standard Fama–French models, especially over medium- to long-term horizons.

The origins of the momentum anomaly have long been debated, with multiple competing explanations. Among them, one of the most influential behavioral interpretations attributes momentum to the Disposition Effect, a systematic bias in investor decision-making. This article focuses on the Capital Gain Overhang (CGO) factor, specifically designed to quantify this behavioral bias. Using the Taiwan equity market as a case study, we examine CGO’s predictive power as a stock selection indicator and evaluate its practical value through empirical analysis.

Analyze industry rotation between Taiwan’s shipping and semiconductor sectors using momentum and valuation factors. This study reveals how factor-based strategies capture cyclical shifts—and why semiconductors ultimately outperformed over time.