The Influence of Past Performance on Stock Return under the Intrinsic Value of a Stock

• Main Authors: Wei-Bin Wu, 吳偉斌
• Other Authors: Chun-Nan Chen
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/28600378780876195958

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 104 === In the aspect of fundamental analysis, a good valuation model or index should reflect the intrinsic value of investment targets in the long term. Also, there should be a co-movement relation between the index and the stock price in the long term as well. On the other hand, De Bondt and Thaler (1985, 1987) raised the overreaction hypothesis. The result shows the winner-Loser effect, which means that, stable in the case of extreme portfolio, the past performance and future performance have a negative relationship. First, referring to the methods in Lee, Myers and Swaminathan (1999) and using the quarterly data of all the listed company in Taiwan during the period from 1988 to 2015, we estimated the intrinsic value of the stock by using residual income model and created a value index (V) to investigate the co-movement between the estimates of intrinsic value and the linked stocks and the ability to predict returns. And, we distributed the samples into twenty portfolios based on the past performance and value index (V) to explore the influence of different value index on the performance of the winner and loser portfolios in the future. Last, considering the estimates of value and adding Fama-French three factors as control variables, we used multivariate forecasting regression to investigate the explanation of the past performance to the stock returns in the future. It shows that, among the positive value index portfolios, the top 10% winners’ portfolio based on the past performance has a significantly negative relationship with the future return and the explanation power becomes stronger as the period becomes longer.The natural log value of value to price ratio (VP) has a significantly positive relation with future returns. In investment strategy respect, the portfolio of the losers with negative value index has a highest return. When it comes to the targets with positive value index, the past performance could be used as a factor to increase the prediction ability and earn a better return.