| Summary: | 碩士 === 國立中興大學 === 財務金融系所 === 100 === Arnott,(2005) announce a concept of the fundamental indexation, and immediately caused considerable controversy in the market, whether both of supporters or opponents . Opponents almost advocate the traditional capitalization weighted index, they believe that the fundamental index lack of theoretical basis, it cann’t be replaced capitalization weighted index, but based on the empirical results of lots of studies found that the fundamental index of the long term, whether from the performance side or the risk side, the performance is better than the capitalization weighted index. This study constructs weights portfolios by fundamental indicators. The indexes are operating income, operating cash flow, company total payment cash dividends, total equity. And we found to use the fundamentals indicators in the Taiwan market, the fundamental index, and indeed able to achieve the research evidence as foreign effect. Our study also collected earnings quality indicators to filter samples, and found by the screening of the samples, re-use fundamentals indicators to construct the fundamental index can produce more than the fundamentals of pre-screening index but also a good
Investment performance , and still remain similar risk factor.
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