Value Investment and Stochastic Dominance Rule Analyses:Evidence in Taiwan 50 Component Stocks
碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === The failing of finamcial economic over the time always happen, such as US Black Monday at October 19, 1987, US subprime mortgage crisis at September 29, 2008 and European debt crisis since December, 2009. The Black Monday when stock markets around the world...
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ndltd-TW-100KUAS82130242015-10-13T22:01:09Z http://ndltd.ncl.edu.tw/handle/39992439360552943533 Value Investment and Stochastic Dominance Rule Analyses:Evidence in Taiwan 50 Component Stocks 價值投資與隨機優勢模式之實證分析-以臺灣50指數成分股為例 Chi-Tsung Wu 吳啟綜 碩士 國立高雄應用科技大學 金融資訊研究所 100 The failing of finamcial economic over the time always happen, such as US Black Monday at October 19, 1987, US subprime mortgage crisis at September 29, 2008 and European debt crisis since December, 2009. The Black Monday when stock markets around the world crashed, shedding a huge value in a very short time. The DJIA dropped by 508 points to 1738.74 (22.61%). Due to subprime mortgage crisis triggered by a dramatic rise in mortgage delinquencies and foreclosures in the US with major adverse consequences for financial markets many banks, mortgage lenders and mortgage insurer have sustained tremendous losses. Hence, how to obtain the abnormal profit in such extremely difficult environment is an important issue for the investors. This study uses value investment trategy (fundamental analysis) and stochastic dominance theory (technolody analysis) to choose the optimal asset. The sample comes from Taiwan 50 Index Constituents and the data covers from 2001 to 2010, with totally 10 years. The empirical results show that whether value investment trategy or stochastic dominance theory, the optimal and the best stock is the same. This result implies that, during the period of 2001 and 2010, using fundamental analysis or technolody analysis seems to can obtain the same investor strategy and returns. Chia-Chien Chang 張嘉倩 2012 學位論文 ; thesis 61 zh-TW |
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碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 100 === The failing of finamcial economic over the time always happen, such as US Black Monday at October 19, 1987, US subprime mortgage crisis at September 29, 2008 and European debt crisis since December, 2009. The Black Monday when stock markets around the world crashed, shedding a huge value in a very short time. The DJIA dropped by 508 points to 1738.74 (22.61%). Due to subprime mortgage crisis triggered by a dramatic rise in mortgage delinquencies and foreclosures in the US with major adverse consequences for financial markets many banks, mortgage lenders and mortgage insurer have sustained tremendous losses. Hence, how to obtain the abnormal profit in such extremely difficult environment is an important issue for the investors.
This study uses value investment trategy (fundamental analysis) and stochastic dominance theory (technolody analysis) to choose the optimal asset. The sample comes from Taiwan 50 Index Constituents and the data covers from 2001 to 2010, with totally 10 years. The empirical results show that whether value investment trategy or stochastic dominance theory, the optimal and the best stock is the same. This result implies that, during the period of 2001 and 2010, using fundamental analysis or technolody analysis seems to can obtain the same investor strategy and returns.
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author2 |
Chia-Chien Chang |
author_facet |
Chia-Chien Chang Chi-Tsung Wu 吳啟綜 |
author |
Chi-Tsung Wu 吳啟綜 |
spellingShingle |
Chi-Tsung Wu 吳啟綜 Value Investment and Stochastic Dominance Rule Analyses:Evidence in Taiwan 50 Component Stocks |
author_sort |
Chi-Tsung Wu |
title |
Value Investment and Stochastic Dominance Rule Analyses:Evidence in Taiwan 50 Component Stocks |
title_short |
Value Investment and Stochastic Dominance Rule Analyses:Evidence in Taiwan 50 Component Stocks |
title_full |
Value Investment and Stochastic Dominance Rule Analyses:Evidence in Taiwan 50 Component Stocks |
title_fullStr |
Value Investment and Stochastic Dominance Rule Analyses:Evidence in Taiwan 50 Component Stocks |
title_full_unstemmed |
Value Investment and Stochastic Dominance Rule Analyses:Evidence in Taiwan 50 Component Stocks |
title_sort |
value investment and stochastic dominance rule analyses:evidence in taiwan 50 component stocks |
publishDate |
2012 |
url |
http://ndltd.ncl.edu.tw/handle/39992439360552943533 |
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