Discovering of Quarterly Equity Styles with Clustering

碩士 === 國立中央大學 === 企業管理研究所 === 93 === Abstract There is growing evidence that equity market segmentation is not confined to the United States. Many of the market anomalies that originally gave rise to the concept of style in the U.S. have also been observed in the stock markets of other countries. Fu...

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Main Authors: Yu-Cho Hu, 胡佑卓
Other Authors: Ping-Yu Hsu
Format: Others
Language:en_US
Online Access:http://ndltd.ncl.edu.tw/handle/42516965222403766579
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spelling ndltd-TW-093NCU051210352015-10-13T11:53:34Z http://ndltd.ncl.edu.tw/handle/42516965222403766579 Discovering of Quarterly Equity Styles with Clustering 以群集分析法研究每季股票類型的變化 Yu-Cho Hu 胡佑卓 碩士 國立中央大學 企業管理研究所 93 Abstract There is growing evidence that equity market segmentation is not confined to the United States. Many of the market anomalies that originally gave rise to the concept of style in the U.S. have also been observed in the stock markets of other countries. Furthermore, non-U.S. stocks whose issuing companies have characteristics similar to those that define U.S. growth and value companies also appear to produce different risk-adjusted average returns for long periods of time. This evidence, as well as the growing emphasis on global diversification in general, underscores the need for a system of accurate global equity style indices. The important distinguishing features of this paper is: We measure growth and value with three and four variables, respectively, not just book to price, or EPS. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiate these two styles. We measure growth and value with eight and five variables, respectively, not just book to price. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiates these two styles. Our multidimensional approach extends the distinction between growth and value beyond the simple distinction between expensive and cheap. Keywords: Clustering analysis, quarterly equity styles Ping-Yu Hsu 許秉瑜 學位論文 ; thesis 58 en_US
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description 碩士 === 國立中央大學 === 企業管理研究所 === 93 === Abstract There is growing evidence that equity market segmentation is not confined to the United States. Many of the market anomalies that originally gave rise to the concept of style in the U.S. have also been observed in the stock markets of other countries. Furthermore, non-U.S. stocks whose issuing companies have characteristics similar to those that define U.S. growth and value companies also appear to produce different risk-adjusted average returns for long periods of time. This evidence, as well as the growing emphasis on global diversification in general, underscores the need for a system of accurate global equity style indices. The important distinguishing features of this paper is: We measure growth and value with three and four variables, respectively, not just book to price, or EPS. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiate these two styles. We measure growth and value with eight and five variables, respectively, not just book to price. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiates these two styles. Our multidimensional approach extends the distinction between growth and value beyond the simple distinction between expensive and cheap. Keywords: Clustering analysis, quarterly equity styles
author2 Ping-Yu Hsu
author_facet Ping-Yu Hsu
Yu-Cho Hu
胡佑卓
author Yu-Cho Hu
胡佑卓
spellingShingle Yu-Cho Hu
胡佑卓
Discovering of Quarterly Equity Styles with Clustering
author_sort Yu-Cho Hu
title Discovering of Quarterly Equity Styles with Clustering
title_short Discovering of Quarterly Equity Styles with Clustering
title_full Discovering of Quarterly Equity Styles with Clustering
title_fullStr Discovering of Quarterly Equity Styles with Clustering
title_full_unstemmed Discovering of Quarterly Equity Styles with Clustering
title_sort discovering of quarterly equity styles with clustering
url http://ndltd.ncl.edu.tw/handle/42516965222403766579
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