Discussion on the Investment Strategy with P/E Ratio Methods in Taiwan Stock Market

• Main Authors: Shui-Shen Chen, 陳水生
• Other Authors: Dauw-Song Zhu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/e8qxa8

碩士 === 國立東華大學 === 企業管理學系 === 95 === The aim of this research is to form and evaluate simple and feasible investment strategies, based on the P/E ratio effect, the contrarian effect, the turnover effect, the IPO effect and the earnings quality effects in Taiwan stock market. Evidence shows the existence of the turnover effect. After December, 2000, the P/E ratio effect, the contrarian effect, the earnings quality effects and the IPO effect also take place. Particularly, we find superior performance of the investment strategies including stocks with low P/E ratios and high earnings quality. The low P/E ratio investment strategies have much better performance under the condition of the high market risk premium. In terms of the buy-and-hold return, the short-term (1-year) performance of any employed strategy is better than its long-term (2- or 3-year) performance.