台灣公司特徵對未來經濟活動的預測能力

• Main Authors: 黃怡仁, Huang, Yi Jen
• Language: 英文
• Published: 國立政治大學
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22A2010000137%22.

　　In this article we examine whether the profitability of trading strategies based on size, book-to-market ratio, momentum, and liquidity can be linked to future GDP growth in Taiwan. Using data from Taiwan Stock Exchange, we find that strategies based on size and book-to-market ratio contain significant information about future economic growth. The predictive ability of these two strategies remains significant after taking the domestic market factor into account. Even in the presence of popular business cycle variables, the strategy based on book-to-market ratio maintains its strong power of predicting future GDP growth. In contrast, there is little evidence to support the hypothesis that the strategies based on momentum and liquidity can predict future GDP growth.