台灣股市投資評等模式之研究

• Main Author: 張一鵬
• Other Authors: 鍾俊文
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/13436373250917168902

碩士 === 東吳大學 === 國際貿易學系 === 92 === We can see many outstanding fund managers in the global stock markets, and investors are interesting in principles they hold. In view of this, we collect the quantitative investment variables that are frequently used by these managers. Then we use cross-sectional multiple regression analysis and fix-effect analysis to set up specific investment rating models. The main purpose of this paper is to explore the following questions:1. Which investment variables are frequently used? What are the effect upon stock return they have? 2. In case investors make decisions according to the investment rating model , can they get excess return? 3. What’s the difference between the two models? Does it have distinct difference from one rank to another? After analyzing the results of investment rating model, I have concluded the following: Under the model which is set up by cross-sectional multiple regression analysis, one company with better rating indeed has excess return, and there’s distinct difference between ratings. The model which is set up by fix-effect analysis is also effective, but it doesn’t have obvious difference between ratings.