| Summary: | 碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 103 === The purpose of this study is to examine whether investing in high-quality stocks can lead to the better performance. The quality of stock are measured by the score composed of nineteen financial indicators. The sample is selected from Taiwan stock market, and two different classifications of investment portfolios are used in this study: 1) the sample is grouped into five investment portfolios by the scores. 2) the sample is grouped into fifteen investment portfolios by the scores and the firm size. Furthermore, the performance of nineteen financial indicators are evaluated separately for finding the optimal indicator of stock selection in Taiwan stock market.
The empirical results show that the optimal indicators include the ratio of gross profits to total assets, return on equity, the beta, and dividend to gross profit ratio. We also find that the quality indicator can successfully discriminate good stocks from bad ones in large size stocks. Furthermore, the evidence indicate that several other indicators also perform nicely in large size firms. They are the beta, return on equity, idiosyncratic volatility, and the ratio of dividend to gross profit. Finally, no matter in what size category, the beta is a good indicator for stock selection.
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