A Study on the Returns to the High Book-to-Market Equity and the under Par Value Stocks in Taiwan

• Main Authors: Yin-ching Chiang, 強廕警
• Other Authors: Chien-hung Chen
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/40504737506951342630

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 97 === This paper takes the period from October 1, 2001 to October 31, 2007 as the observation period based on the wave band condition of the stock market. The High Book-to-Market Equity, under Par Value Stocks and the stocks of High Book-to-Market Equity among the under Par Value Stocks were bought in at the low point of the stock market wave band, and were held for a long period of time. The held stocks were sold when the stock market cycle reached a peak point to gain a higher return. The rate of return and the wave property were reviewed. The empirical result showed that in most times, buying in High Book-to-Market Equity, under Par Value Stocks and the stocks of under Par Value Stocks among the under Par Value Stocks can obtain higher return than buying in Low Book-to-Market Equity, not under Par Value Stocks and the stocks of Low Book-to-Market Equity among the under Par Value Stocks. In the verification of the return wave property, the High Book-to-Market Equity, under Par Value Stocks and the stocks of High Book-to-Market Equity among the under Par Value Stocks are also coupled with higher risks in the most of time. In the unit risk premium, buying in High Book-to-Market Equity, under Par Value Stocks is still preferred upon the risk factor. Therefore, buying in High Book-to-Market Equity, under Par Value Stocks and the stocks of High Book-to-Market Equity among the under Par Value Stocks is an ideal investment target.