| Summary: | 碩士 === 國立交通大學 === 管理科學研究所 === 83 === Price-Earning Ratio(PER) has been considered to be a useful
tool for stocks'' valuation since 1960s. Owing to the
disadvantages and limitations of PER, some scholars e.g.
Fisher(1984), suggest that Price-Sales Ratio(PSR) could be more
suitable for stocks'' valuation. We test the investment
performance of common stocks in relation to their PSR in this
study. In addition, the firm-size and the price-limits have
been shown to have great impact on the empirical results. We
also examine the interactions between these two factors and
PSR. In order to circumvent the problems inherent in the usual
CAPM-based tests, the stochastic dominance rules are employed.
Our results are summarizied as follows: 1.The PSR effect exists
in Taiwan Stock Market during 1981-1994, @ i.e., the low PSR
portfolios dominate the high PSR portfolios. 2.Taking the firm-
size factor and the price-limits factor into @ considerations,
only the large firm-size class and the low @ frequency of
hitting limits class detect the PSR effect. It is @ because
that the stock prices of common stocks with small or @ middle
firm size move violately, the PSR investment strategy @ doesn''t
work. 3.According to the basic statistics of PSR portfolios,
there is a @ negative correlation between the firm-size and the
frequency of @ hitting limits.
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