A Simple Accounting-based Fundamental analysis Strategy Apply to a Value Investing in Taiwan Stock

• Main Authors: Su-hsuan Tseng, 曾素宣
• Other Authors: Chun-an Li
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/06188472197165384968

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 95 === This study follows the propositions of Piotroski (2000). In order to examine whether a simple accounting-based fundamental analysis strategy , when applied to a broad portfolio of high book-to-market firms can separate winners from losers in Taiwan stock. Then for zero cost investment strategy that buys expected winners and shorts expected losers generates a “abnormal” returns in subsequent one or two years. The term of this study was form 1983 to 2005, and the main information referred to the whole-year financial statements of Taiwan Economic Journal Databank. We set the condition on high book-to-market firms and chose 3193 firm-year observations as the researched samples. Subsequently, we set value investing portfolio on 9 basic points of profitability、Leverage/Liquidity and operating efficiency to acquire financial score(SCORE). The SCORE could be divided into winner portfolio or loser portfolio, and then we could also use other ways (e.g. size, share price, trading volume, etc.) to assort the value portfolio. It is in order to test if the listed companies could amount the abnormal return. The result of this research support the “quantitative screen” of Piotroski(2000) , the returns of winners（high Score value firms） was better than the losers（low Score value firms）and all the a high book-to-market value Investing portfolio. Within the portfolio of high book-to-market firms, the benefits to financial statement analysis are concentrated in medium and large-size firms, companies with medium share price, and firms with medium share price, yet this superior performance is not dependent on purchasing firms with low trading volume. A positive relationship between the historical financial statement information and future firm performance.