A Research of the Relationship among Basic Financial Analysis, Credit Risk Valuation and Investment Return

• Main Authors: Chia-Wei Chang, 張家瑋
• Other Authors: Yang-Cheng Lu
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/u654se

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 96 === This research mainly adopts listed and OTC stock markets in Taiwan. We intend to discuss whether there are differences of return on investment between growth stocks and value stocks with different investment strategies. This study adopts the methodology of Griffin and Lemmon(2002) and Ohlson(1980).First, we classify the stocks in three portions with “BE/ME” and difine the highest 30% and the lowest 30% as the value stock and the growth stock. Then we divide each of the portions into 5 portions according O-Score. Altogether there are 15 portfolios, in which we discuss whether there is a difference in their performance. Moreover, this research is an extension of the Fama and French three-factor model, bringing into account the financial distress risk. This research tries to provide a complete explanation for influences of the sources of return of stock markets in Taiwan. The main empirical results are summarized as follows: 1. Our empirical results support that G-Score and F-Score are successful in Taiwan capital market and G-Score is more effective for investors to take that strategy for investing in growth stock. But F-Score is more effective for investors to take that strategy for investing in value stock. 2. This study finds that regardless of the risk of financial crisis, F-Score and G-Score all can earn the abnormal return significally. Through comparing the difference of the firm size, higher and lower financial crisis all can not earn abnormal return. Only the value stocks have a significant abnormal return with F-Score, while the growth stocks have a significant abnormal return with G-Score. According to the demonstration resuts of te sources of return, the results of both the Rf and BM factors are positively related to the stock return; while the Size is in negatively related to the stock return. The financial crisis is negatively related to the stock return.