| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 94 === Abstract
This paper uses the methodologies proposed by Estrada (2003) to construct the
stock portfolios and compare their investment performance based on several investment
strategies, including the P/E, PEG, and PERG index. There are many listed stocks
traded on TSE (Taiwan Stock Exchange) are used as research targets. This paper
contains the sample periods from 1996 to 2005. For all of the listed stocks, the empirical
results indicate that the P/E ratio outperform the buy and hold strategy for 1~3 years
investment horizon. In the electronics industry, the empirical results indicate that the
P/E ratio and PEG index outperform the buy and hold strategy for 1~3 years investment
horizon. The investment combination excluded the electronics industry from the listed
stocks, the empirical results indicate that the P/E ratio outperform the buy and hold
strategy for one-year investment horizon. This paper suggested that the P/E ratio will be
better than PEG and PERG on investment performance.
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