Portfolio Selection and Performance Evaluation Based onPEG and PERG Index

• Main Authors: Tzu-Yu Chen, 陳姿妤
• Other Authors: Jian-Hsin Chou
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/12808969192087335105

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.