Using novel MCDM Methods Based on Fama-French three-factor model for probing the stock selection

• Main Authors: Chiao-Ming Cheng, 鄭喬明
• Other Authors: 曾國雄
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/75283631260837164645

碩士 === 開南大學 === 企業與創業管理學系 === 98 === Fama-French three-factor model is important financial evaluation for the stock return model in recent years, the model indicates that market factor, size factor and book-to-market ratio factor are the reasons that would affect the rate of the return of stocks. But it did not explain the relative weight of the sub-factor to the three factors. Therefore the purpose of this thesis is to discuss more in details, which Fama-French three-factor model did not explain. This paper use DANP methods includes DEMATEL (Decision Making Trial and Evaluation Laboratory), and ANP (Analytic Network Process) to establish the investment model. Our research also use VIKOR (VlseKriterijumska Optimizacija I Kompromisno Resenje) to selection stock in three firms of solar energy. Empirical findings these three factors have the relationship of interdependence and feedback. In the nine evaluation criteria, the most important factor affect the stock return is the stock price, followed by the market return and dividend growth rate, In the selection stock of solar energy, the leading manufacturers C is the closest to the investor’s aspired level of remuneration, thus it has become the favorite of investors at that time.