Investment Performance Using Price-Sales Ratio－An Application of Stochastic Dominance Rules

• Main Authors: Yuh-Yuan Hwang, 黃裕元
• Other Authors: Soushan Wu;Her-Jiun Sheu
• Format: Others
• Language: zh-TW
• Published: 1995
• Online Access: http://ndltd.ncl.edu.tw/handle/36813857964611801898

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.