Analysis of the Taiwan Top 50 ETF Stock Selection Model Using Indices Proposed by Buffett and Graham

• Main Authors: Ya-Chi Chen, 陳雅祺
• Other Authors: Yun-Huan Lee
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/563k36

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 103 === This study compared the quarterly remunerations of investment portfolios constructed using the Buffett and Graham value investing indices with the Taiwan top 50 ETF as an investment target. We also observed sensitivity in changes to investment returns when portfolios with the same investment structure were held for different durations following a financial crisis. The results of one-way ANOVA failed to indicate any differences between the portfolios with regard to average annual returns; however, the returns varied significantly by year and the length that the portfolios were held. Adjusting the stock selection indices to the same ratios resulted in significant differences and sensitivity in the return on equity. The basic stock selection strategies proposed in this study could help investors to make better use of their asset allocations and increase returns