A Study on the Investment Strategy of Value Sharesin the Taiwanese Stock Market
碩士 === 朝陽科技大學 === 會計所 === 93 === The sample of this research are selected from companies which have shares listed on the Taiwan Stock Exchange. The study period covered 14 years from 1988 to 2001. Using monthly return data, Taiwan Excluding The Finance Weighted Stock Index is adopted to calculate...
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/4s3u4u |
| Summary: | 碩士 === 朝陽科技大學 === 會計所 === 93 === The sample of this research are selected from companies which have shares listed on the Taiwan Stock Exchange. The study period covered 14 years from 1988 to 2001. Using monthly return data, Taiwan Excluding The Finance Weighted Stock Index is adopted to calculate the excess returns of sample companies. The purposes of this research examine whether using fundamental financial ratios are financial performance signals of companies to decide the investing strategy of value shares. This research is future to investigate to the factor of price return of value shares.
The evidence from this examination shows that value shares generally do exist in the groups of low market value, low stock price and low share turnover in the Taiwanese stock Market . Simultaneously it finds that value shares have the symbols of high financial distress and low ROA variation. Financial performance signals are the most explanation power for one-year buy-and-hold return and are also positively to it significantly. The investors gain excess returns that buy financial performance highest signals of value shares and sell financial performance lowest signals of value shares. Then book-to-market and six-month market-adjusted buy-and-hold returns preceding the date of portfolio formation are positively to one-year market-adjusted buy-and-hold return after the date of portfolio formation significantly.
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