Quality Investing: Evidence from the Taiwan Stock Exchange

• Main Authors: Yu-Chan Tseng, 曾鈺展
• Other Authors: 洪偉峰
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/4eye8f

碩士 === 逢甲大學 === 財務金融學系碩士班 === 103 === In this paper, we investigate the profitability of strategies based on market value, book-to-market ratio, and quality investing measures. We also examine what type of quality investing measures can have the highest profits. First, we show that return on invested capital, G-score, and beta are negatively associated with future stock returns. Second, incorporating variables, such as invested capital, G-score, and beta, can significantly improve the profitability of strategy based on market value or book-to-market ratio. Finally, application of a timing strategy, such as a simple moving average, to portfolios can significantly outperform the naive buy-and-hold strategy. Particularly, for samples without financial firms and electronic firms, ten-days moving average can efficiently enhance profitability.