Application of Value Investment Strategy in Taiwan Stock Market

• Main Authors: Yu-Chieh Chung, 鍾瑀潔
• Other Authors: 吳庭斌
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/96fh3z

碩士 === 國立中央大學 === 財務金融學系在職專班 === 107 === his study explores the investment performance of portfolio or single stock selected according to a criteria which sets up by measuring the profitability index of corporate assets - the rate of return on capital, and the measure of the relative profitability of corporate value - earnings yield. In addition, the market value of the stock, the number of stock of portfolio and the portfolio adjustment cycle are classified to explore the difference in investment performance. The results show that the stock selection criteria set up in this study is an effective stock selection index. When the quarterly and semi-annual financial report data is embedded in the stock selection criteria set up in this study, and only one single stock is selected, the investment performance is better than the market. The portfolio which consisting of the best 30 stocks selected by the annual financial report data and in the top 200 stocks of the market value has the best performance of return. The portfolio which consisting of the best 5 stocks selected by quarterly financial report data and stocks in all market has the best performance of excess returns.