| Summary: | 碩士 === 國立中興大學 === 會計學系 === 85 === The objective of this research is to examine the relations
between earnings-price ratios and investment returns in order to
determine whether earnings-price ratios can be a guideline of
investing stocks and help investors to make their investment
decisions. The period of research is from 1991 to 1996, and
the research samples are the category I and II stocks listed on
Taiwan Stock Exchange. Samples are divided into five portfolios
by earnings-price ratios.The study compares their investing
performance with cumulative abnormal returnsand excess returns.
Each security is equally weighted, and the evaluation period is
one year. The empirical research is analyzed by using t-test,
one-way classification analysis of variance and Kruskal-Wallis
test. The con-clusions are as the following:1.The cumulative
abnormal returns and excess returns of investment portfolios
are both affected by earnings-price ratios.2.The investment
portfolios with high earnings-price ratios usually have higher
cumulative abnormal returns, and the phenomenon is more obvious
in long-term trend.3.The investment portfolios with high
earnings-price ratios also have higher ex- cess returns, but
the phenomenon is not as significant as cumulative abnormal
returns.
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