The Investment Performances and Risk Measurements under Different Stock Selection Strategies

• Main Authors: Chun-Kai Chen, 陳君愷
• Other Authors: Wan-Cheng Wang
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/64019232236587815051

碩士 === 國立成功大學 === 會計學系碩博士班 === 92 === 　　This study examines the profitability and investment risk of a broad range of stock selection strategies in Taiwan Stock Exchange market over the period 1986-2000.In this study, we not only focus our attention on investment return, but also take investment risks into consideration at the same time. In addition to traditional risk measurment methods, including Sharpe ratio, Treynor ratio, and Jensen ratio, this study also make use of the downside risk approach to measure the investment risk of these stock selection strategies. 　　This study document that the SP ratio is the most successful strategy to earn the excess return without higher investment risks in value investment strategies. The cash flow percentage portfolio is also significant when the holding period is two years. However, the DP and EP ratio do not have significant effects in Taiwan stock market. With regard to growth investment strategries, the RD ratio is the most successful strategy to earn the excess return without higher investment risks on condition that the holding period is over one year. ROE, ROA, and ROAG can only gain excess return in specific period, but they can outperform the market after the adjustion of these risk measures. The SG ratio does not have consistent results among these measuring methods. MTB ratio does not have significant effects in Taiwan stock market. As for scale investment strategries, the SIZE ratio has significant effects in the short term of holding period.