| Summary: | 碩士 === 長榮大學 === 管理學院經營管理碩士班 === 106 === In this study, the method of constructing investment portfolios provided by Greenblatt’s profit-making formula is based on rankings, which are first sorted by ROA rate to measure the company’s operating efficiency , and then sorted by the ranking of Earnings yields to measure the characteristics of the company's overrate under-rate, hoping to apply the aforementioned view to Taiwan’s stock market and understand its applicability in Taiwan’s stock market.
The empirical results show that in the overall sample of the research strategy, when the holding period is a one-year performance, it cannot find the result that is consistently better than the overall market reward. Later, when the traditional stocks and electronics stocks were further analyzed, the results of consistency could not be found, either. When the holding period is two years or three years, it can be found that the performance results of this research strategy are superior to those of the overall market. Among them, the performance of traditional stocks is even better than that of electronic stocks, which shows that this study belongs to the strategy of value investment and is applicable to the operation of long days.
The main contributions of this study are as follows: (1) With regard to the understanding of this study, the past literature has not used Greenblaze's profit formula to implement a trading strategy for Taiwan’s stock market. (II) In addition to the construction of the overall sample, the study classified Taiwanese listed companies into electronic shares and traditional stocks based on the characteristics of the industry, and further analyzed the effects of different industries. (III) The profitability formula of Greenblatt solves the problem of forecasting financial statements. It only sorts and constructs investment portfolios by way of scoring.
|
|---|
