Value Characteristics, Similarity Measures, and Portfolio Strategy

Value Characteristics, Similarity Measures, and Portfolio Strategy

碩士 === 國立中興大學 === 財務金融系所 === 97 === The goal of this research is to formulating a portfolio strategy based on the three characteristics of value stocks. The goal of strategy is to gain higher adjusted market model return. We use the post-sample evaluation the performance of the portfolio, and find o...

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Main Authors: Tien Tung-Chin, 田銅錦
Other Authors: Chi Chih-Yi
Format: Others
Language:zh-TW
Published: 2009
Online Access:http://ndltd.ncl.edu.tw/handle/27265550538844453624
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spelling ndltd-TW-097NCHU53040292015-11-13T04:04:46Z http://ndltd.ncl.edu.tw/handle/27265550538844453624 Value Characteristics, Similarity Measures, and Portfolio Strategy 價值型特徵、相似性測度、與選股策略 Tien Tung-Chin 田銅錦 碩士 國立中興大學 財務金融系所 97 The goal of this research is to formulating a portfolio strategy based on the three characteristics of value stocks. The goal of strategy is to gain higher adjusted market model return. We use the post-sample evaluation the performance of the portfolio, and find out the sources of the expected excess return to the strategy is the value characteristics and the similarity measures. Chi Chih-Yi 紀志毅 2009 學位論文 ; thesis 28 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 碩士 === 國立中興大學 === 財務金融系所 === 97 === The goal of this research is to formulating a portfolio strategy based on the three characteristics of value stocks. The goal of strategy is to gain higher adjusted market model return. We use the post-sample evaluation the performance of the portfolio, and find out the sources of the expected excess return to the strategy is the value characteristics and the similarity measures.
author2 Chi Chih-Yi
author_facet Chi Chih-Yi
Tien Tung-Chin
田銅錦
author Tien Tung-Chin
田銅錦
spellingShingle Tien Tung-Chin
田銅錦
Value Characteristics, Similarity Measures, and Portfolio Strategy
author_sort Tien Tung-Chin
title Value Characteristics, Similarity Measures, and Portfolio Strategy
title_short Value Characteristics, Similarity Measures, and Portfolio Strategy
title_full Value Characteristics, Similarity Measures, and Portfolio Strategy
title_fullStr Value Characteristics, Similarity Measures, and Portfolio Strategy
title_full_unstemmed Value Characteristics, Similarity Measures, and Portfolio Strategy
title_sort value characteristics, similarity measures, and portfolio strategy
publishDate 2009
url http://ndltd.ncl.edu.tw/handle/27265550538844453624
work_keys_str_mv AT tientungchin valuecharacteristicssimilaritymeasuresandportfoliostrategy
AT tiántóngjǐn valuecharacteristicssimilaritymeasuresandportfoliostrategy
AT tientungchin jiàzhíxíngtèzhēngxiāngshìxìngcèdùyǔxuǎngǔcèlüè
AT tiántóngjǐn jiàzhíxíngtèzhēngxiāngshìxìngcèdùyǔxuǎngǔcèlüè
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