| Summary: | 碩士 === 國立臺灣大學 === 經濟學研究所 === 105 === The main purpose of this research is to discover whether there would be excess return when Earning Per Share equals to zero. By observing the EPS movement, we are able to explore a significant correlation between EPS movement and stock price. We could therefore enhance total return rate from the excess return.
There are 26 company stocks picked which their EPS all reach to zero in 2012. Twenty of them beat the market return and have significant excess returns. The rest of the six stocks are underperformed. However, after the first year, these six underperformed stocks beat the market total return for two years in a row. From the following research, it is proved that there are nearly 80% chances which the company could create excess return when the year its EPS reaches zero. Also, there would be 20% chances the company would create excess return on the second and third year when the first year its EPS reaches zero.
Therefore, regarding of the EPS threshold and whether the price-to-book ratio is lower than one, we could find the excess return and also understand the stock price movements of Taiwan stock market.
|
|---|
