Using Financial Statement Information To Construct a Portfolio — Application in Taiwan and ChinaStock Markets
碩士 === 中興大學 === 財務金融系所 === 95 === Financial statement is one that provides the most open and consistent information for investors. The purpose of this research is to find an investing method which is based on accounting information. Taking Taiwan market as the main subject, the study tries to find a...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2007
|
Online Access: | http://ndltd.ncl.edu.tw/handle/32419156589533401506 |
id |
ndltd-TW-095NCHU5304030 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-095NCHU53040302015-10-13T14:13:11Z http://ndltd.ncl.edu.tw/handle/32419156589533401506 Using Financial Statement Information To Construct a Portfolio — Application in Taiwan and ChinaStock Markets 以財務報表資訊建構投資組合—台灣與中國大陸股市之應用 Chi-Sheng Wu 吳繼先 碩士 中興大學 財務金融系所 95 Financial statement is one that provides the most open and consistent information for investors. The purpose of this research is to find an investing method which is based on accounting information. Taking Taiwan market as the main subject, the study tries to find an efficient investing model for individual investors who lack information most. Also, because of the openness and growing economy in China, this study also takes China as the minor subject, hoping that the model is still applicable in the China market.This study uses F_SCORE which represents the fundamental in Piotrosk ' s literature (2000), and it constructs a comparison group portfolio by selecting price (low market-to-book ratio、low price-to–earning ratio、low PEG); also, this study changes some disadvantages of F_SCORE by traditional financial rate, using Warren Buffett's investing philosophy and variance of corporate government, and constructing experiment group portfolio by selecting price(low market-to-book ratio、low price-to-earning ratio、low PEG), and it makes a comparison between the two.The conclusion of the study is the following: (1) Taiwan market WU_SCORE is more effective than F_SCORE in selecting stocks. (2) The best effect occurs when Taiwan market WU_SCORE takes PEG as the price standard. (3) The best effect occurs when Taiwan F_SOCRE takes PB as the price standard. (4) China market WU_SCORE is better than F_SCORE, but it can't gain the abnormal return. Therefore, Taiwan stock market reflects the fundamental generally, while the investors in China stock market are more irrational,so the stock price there reflects the fundamental to limited extent. Anchor-Y Lin 林盈課 2007 學位論文 ; thesis 91 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 中興大學 === 財務金融系所 === 95 === Financial statement is one that provides the most open and consistent information for investors. The purpose of this research is to find an investing method which is based on accounting information. Taking Taiwan market as the main subject, the study tries to find an efficient investing model for individual investors who lack information most. Also, because of the openness and growing economy in China, this study also takes China as the minor subject, hoping that the model is still applicable in the China market.This study uses F_SCORE which represents the fundamental in Piotrosk ' s literature (2000), and it constructs a comparison group
portfolio by selecting price (low market-to-book ratio、low price-to–earning ratio、low PEG); also, this study changes some disadvantages of F_SCORE by traditional financial rate, using Warren Buffett's investing
philosophy and variance of corporate government, and constructing experiment group portfolio by selecting price(low market-to-book ratio、low price-to-earning ratio、low PEG), and it makes a comparison between the two.The conclusion of the study is the following: (1) Taiwan market
WU_SCORE is more effective than F_SCORE in selecting stocks. (2) The best effect occurs when Taiwan market WU_SCORE takes PEG as the price standard. (3) The best effect occurs when Taiwan F_SOCRE takes PB as the price standard. (4) China market WU_SCORE is better than F_SCORE, but it can't gain the abnormal return. Therefore, Taiwan stock market reflects the fundamental
generally, while the investors in China stock market are more irrational,so the stock price there reflects the fundamental to limited extent.
|
author2 |
Anchor-Y Lin |
author_facet |
Anchor-Y Lin Chi-Sheng Wu 吳繼先 |
author |
Chi-Sheng Wu 吳繼先 |
spellingShingle |
Chi-Sheng Wu 吳繼先 Using Financial Statement Information To Construct a Portfolio — Application in Taiwan and ChinaStock Markets |
author_sort |
Chi-Sheng Wu |
title |
Using Financial Statement Information To Construct a Portfolio — Application in Taiwan and ChinaStock Markets |
title_short |
Using Financial Statement Information To Construct a Portfolio — Application in Taiwan and ChinaStock Markets |
title_full |
Using Financial Statement Information To Construct a Portfolio — Application in Taiwan and ChinaStock Markets |
title_fullStr |
Using Financial Statement Information To Construct a Portfolio — Application in Taiwan and ChinaStock Markets |
title_full_unstemmed |
Using Financial Statement Information To Construct a Portfolio — Application in Taiwan and ChinaStock Markets |
title_sort |
using financial statement information to construct a portfolio — application in taiwan and chinastock markets |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/32419156589533401506 |
work_keys_str_mv |
AT chishengwu usingfinancialstatementinformationtoconstructaportfolioapplicationintaiwanandchinastockmarkets AT wújìxiān usingfinancialstatementinformationtoconstructaportfolioapplicationintaiwanandchinastockmarkets AT chishengwu yǐcáiwùbàobiǎozīxùnjiàngòutóuzīzǔhétáiwānyǔzhōngguódàlùgǔshìzhīyīngyòng AT wújìxiān yǐcáiwùbàobiǎozīxùnjiàngòutóuzīzǔhétáiwānyǔzhōngguódàlùgǔshìzhīyīngyòng |
_version_ |
1717750218420649984 |