Simplify the Complicated –An Application of Value Investment Strategy in Taiwan Stock Market

• Main Authors: Wei-Li Chang, 張瑋琍
• Other Authors: Jyh-Dean Hwang
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/50478350537501808181

碩士 === 國立臺灣大學 === 國際企業學研究所 === 99 === The main purpose of this study is to find a simple and practical way for individual investors to make stable profit in Taiwan stock market. Value investing is a popular approach to choose stocks. We utilize value investing strategy, and further evaluate company’s earning power and financial structure altogether to get the portfolio with higher return and sharpe ratio than market portfolio. The empirical results show that selecting higher B/P ratio and 2 years’ ROA together would build up an practical portfolio which has higher return and sharpe ratio than any other portfolio made of other criteria and market portfolio. Changing and adjusting stocks according to the criteria every year could effective bring stable return to investors. Besides, no matter when the portfolio form, this investing strategy would still work. Thus, it would be a simple and practical way to invest in Taiwan stock market.