An Empirical Study of Combining Technical Analysis With Value Stock Selection Strategy - Case of Taiwan Stock Market

• Main Authors: Shao-Yang Huang, 黃少暘
• Other Authors: Yale Wang
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/sxjecy

碩士 === 朝陽科技大學 === 財務金融系 === 102 === The idea of value investment strategy comes from Benjamin Graham, he believes that investors should buy stocks with higher book-to-market (B/M) ratio. Piotroski (2000) chooses nine fundamental-based signals as an aggregate signal measure, F_Score, and shows that a portfolio with higher F_Score outperforms a portfolio with higher B/M ratio. This study is based on Piotroski’s (2000) F_Score, and amend it accroading to the environment of Taiwan stock market, besides adding variance of cash flow and corporate governance, we also consider the impect of industrial, creat H_Score stock selection strategy, to show that can H_Score stock selection strategy outperforms F_Score stock selection strategy. This study also uses three technical indicators: KD, MACD, and RSI as the base of H_Score stock selection strategy manipulation. The result shows that H_Score stock selection strategy is a good strategy for long-term investment, which has higher return and lower volatility. However, after using technical indicators, technical analysis couldn’t improve the return of H_Score stock selection strategy, and the reason for this result might include: 1. Technical analysis is more effective in short-term investment, so when we use it in long-term investment, technical analysis couldn’t improve the performance. 2. H_Score stock selection strategy not only selects financially strong firms by fundamental-based signals, but also selects firms with high B/M ratio, so using technical analysis as the base of this strategy’s manipulation cannot improve the performance.