Do portfolios built according to investment master suggestions beat the market in periods surrounding the 2008 global financial crisis?
碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 99 === Subprime mortgages set out chain effect which caused the furious financial crisis from United State to other countries. Even though financial crisis had damaged the economy of Taiwan less than others, but it still caused a raising unemployment and shareholders...
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ndltd-TW-099YUNT53040752016-04-08T04:21:50Z http://ndltd.ncl.edu.tw/handle/72074395392046587291 Do portfolios built according to investment master suggestions beat the market in periods surrounding the 2008 global financial crisis? 國內外投資大師基本面選股模式在金融海嘯前後績效實證研究 Tai-Fang Sung 宋岱芳 碩士 國立雲林科技大學 財務金融系碩士班 99 Subprime mortgages set out chain effect which caused the furious financial crisis from United State to other countries. Even though financial crisis had damaged the economy of Taiwan less than others, but it still caused a raising unemployment and shareholders losses in the stock market. Also, under the environment of bad news blowing continually, such as bankruptcy of Lehman’s Brother and aid package of FreddieMac and FannieMae etc., investors might curious about whether fundamental analysis can still be used during this difficult time. This study choose the models of fundamental analysis that proposed by Gou-Hua, Hung, Jung-Yau, Lu, Warrant Buffett and Michael Murphy who are famous investors in Taiwan and the United State, to form four investment portfolios and estimate the related portfolio returns, Sharp, Treynor and Jensen performance index. I find that Michael Murphy’s portfolio is associated with the highest performance. However, all performance measures suggest a similar pattern: no portfolios can continuously beat the market from 2006 to 2010, with is consistent with the semi-strong market efficiency. I also find that the four portfolios perform better return than the market during the recovery period in 2009. Yan-Shing Chen 陳彥行 2011 學位論文 ; thesis 58 zh-TW |
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碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 99 === Subprime mortgages set out chain effect which caused the furious financial crisis from United State to other countries. Even though financial crisis had damaged the economy of Taiwan less than others, but it still caused a raising unemployment and shareholders losses in the stock market. Also, under the environment of bad news blowing continually, such as bankruptcy of Lehman’s Brother and aid package of FreddieMac and FannieMae etc., investors might curious about whether fundamental analysis can still be used during this difficult time. This study choose the models of fundamental analysis that proposed by Gou-Hua, Hung, Jung-Yau, Lu, Warrant Buffett and Michael Murphy who are famous investors in Taiwan and the United State, to form four investment portfolios and estimate the related portfolio returns, Sharp, Treynor and Jensen performance index. I find that Michael Murphy’s portfolio is associated with the highest performance. However, all performance measures suggest a similar pattern: no portfolios can continuously beat the market from 2006 to 2010, with is consistent with the semi-strong market efficiency. I also find that the four portfolios perform better return than the market during the recovery period in 2009.
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author2 |
Yan-Shing Chen |
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Yan-Shing Chen Tai-Fang Sung 宋岱芳 |
author |
Tai-Fang Sung 宋岱芳 |
spellingShingle |
Tai-Fang Sung 宋岱芳 Do portfolios built according to investment master suggestions beat the market in periods surrounding the 2008 global financial crisis? |
author_sort |
Tai-Fang Sung |
title |
Do portfolios built according to investment master suggestions beat the market in periods surrounding the 2008 global financial crisis? |
title_short |
Do portfolios built according to investment master suggestions beat the market in periods surrounding the 2008 global financial crisis? |
title_full |
Do portfolios built according to investment master suggestions beat the market in periods surrounding the 2008 global financial crisis? |
title_fullStr |
Do portfolios built according to investment master suggestions beat the market in periods surrounding the 2008 global financial crisis? |
title_full_unstemmed |
Do portfolios built according to investment master suggestions beat the market in periods surrounding the 2008 global financial crisis? |
title_sort |
do portfolios built according to investment master suggestions beat the market in periods surrounding the 2008 global financial crisis? |
publishDate |
2011 |
url |
http://ndltd.ncl.edu.tw/handle/72074395392046587291 |
work_keys_str_mv |
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