Investment Portfolio Construction- The Use of Value Investing

• Main Authors: Wang, Sing-Yu, 王幸餘
• Other Authors: Yang, Nien-Tzu
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/26658028013225571205

碩士 === 亞洲大學 === 財務金融學系碩士在職專班 === 104 === Our study focuses on entire non-financial companies in Taiwanstock exchange, including OTCand the companies that went private. First, this research uses higher book-to-market ratio to choose companies with good price. Second,this paper extends the F_SCORE by Piotroski (2000) and proposes a new portfolio(Y_SCORE) with an application to the stock market in Taiwan. Y_SCORE incorporates ownership structure, treasury announcement, and Research & Development Intensity, which attract great attention in recent financial literatures. An investment strategy that buys winners under Y_SCORE generates an excess return during financial crisis and non-financial crisis period. The empirical results also show that buys winner and sells losers under Y_SCORE have good expected returns and relative lower risks.