Analysis of the Impact of Financial Turmoil on the Fundamentals of Investment Strategies -Application of Event Study

• Main Authors: Chia-Ling Chang, 張嘉伶
• Other Authors: 李沃牆
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/7tqefr

碩士 === 淡江大學 === 財務金融學系碩士班 === 103 === In this study, we use the Graham’s value investing strategy to screen out the good companies in Taiwan stock market as our portfolio. We apply the “event study method”to examine the portfolio, and trying to find out whether this strategy can bring us abnormal returns or not during the financial crisis(2008-2009). Furthermore, consider that there will be some structural changes in the market after the crisis, we choose two different portfolios in the two different periods by Graham’s strategy-“the portfolio before the crisis”and“the portfolio after the crisis”. By using the “buy-and-hold”strategy, we observe whether these two portfolios can lead to different outcomes or not. In order to assess the performances of these two portfolios, we select the TAIEX as the benchmark in this article. According to the results, we find out that the post-crisis portfolio can really outperform the market instead of the pre-crisis portfolio. Which means that the value investing strategy performs better if the market is under-valued.