存託憑證價差投資策略模型之設計與評估

• Main Authors: PingLee Liao, 廖秉立
• Other Authors: Sheng Wei-Min
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/78668517178463069403

碩士 === 東海大學 === 企業管理學系碩士班 === 91 === The research is mainly based on the character of Depositary Receipts to frame the investment strategy. Hopefully, it will be able to provide investors a whole new reference to investment. The data of the research was up to December 16, 2002, in which six domestic companies ( ie. United Micro Electronics Corp, Advanced Semiconductor Engineering Inc, Siliconware Precision Industries Co, Taiwan Semiconductor Manufacturing Co Ltd、 Macronix International Co Ltd and AU Optronics Corp) issuing ADR in the United States were analyzed. The investment strategy was also drafted. I made use of ADR of the six companies and the price divergences on the common stocks to design the investment strategy. The price divergences on the model of investment strategy are proceeded to simulate the investment. The results of the research, which was evaluated by the model content and returns from investment, are sorted as follows. 1. The result of the example-evaluation shows the average profit of the six companies is higher than zero when they take the model of price-divergence investment strategy to proceed the simulate investment designed by our research institute. The mean, the medium, the 25 and 75 percentage of the average rewards for each company have the tendency to rise. The stricter the criterions are, the more profitable the model of price-divergence strategy will bring. Combine the two points mentioned above; the research of price-divergence strategy is workable and successful. 2. For individual company, in the circumstance of taking the research of investment- strategy model, the result of comprehensive assessment of the six model companies is displayed “excellent” or “good.” As a result, the research on the price-divergence investment model is an effective and good investment model for its effectiveness, reliability, short-term or long-term investment. 3. At our final discovery, the model designed in the research was directly composed by the effective variable of ADR and the price divergence on common stocks. So, it dismissed the joint factors which would affect ADR and the price of common stocks. For this reason, the price-divergence investment strategy model of the research will not be affected by the global prosperity circulation. The model is able to keep a stable profitable state, no matter the circulation is up or down.