| Summary: | 碩士 === 國立成功大學 === 會計學系碩博士班 === 101 === Previous studies have investigated the method of value-investing by using at least one single-factor to determine the value of stock. After evaluating the stock at a point of time, they have used buy-and-hold strategy to measure the performance. In this study, we have used multi-factor valuation (such as net market value by B/P ratio, the surplus market value by E/P ratio, and cash dividends market value by D/P ratio) to determine the value of stock. The data used are company listed in Taiwan Stock Exchange (exclude financial industry) for the multi-factor valuation, based on regular basis (quarterly) reassessment, adjusted portfolio shares, accumulated period for performance to investigate the multi-factor valuation for each assessment. We have used correlation and contingency analysis method to test the multi-factor ratings continuity and stability. Based on four-factor model used to calculate the value portfolio alpha in Carhart (1997), we have found for the market in Taiwan, either quarterly, six months, yearly assessment, they are all persistent, and its performance are superior in market and growth stocks.
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