The Empirical Research of Earnings-Price Ratio Effect in the Taiwan Stock Market

• Main Authors: Cheng, Wen-Sheng, 鄭文昇
• Other Authors: Chang Chung-Yueh
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/41190027575119959927

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.