The more steady the better

• Main Authors: Yi-Jou Liao, 廖苡柔
• Other Authors: Chao-Shin Chiao
• Format: Others
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/k2a4d7

碩士 === 國立東華大學 === 財務金融學系 === 105 === Profit is the goal of investors, but the uncertainty is the most difficult part of the investment. All kinds of investors determine the investment strategy because of the acceptance of the risk. High-risk earn high-reward. It is a difficult to know how to balance the risk and the return. This article explores the pursuit of a stable investment strategy. Not for the most highest of return, it’s more important to care about the relevance between risk and return. In the Fama and French (1993) and Fama and French (1992), they explore three factor model：the market factor: size and market-to-market ratio (BM). Jegadeesh and Titman (1993) found momentum factor. Take the factors in this article. It is portfolio analysis from 1960 to 2015 taking the NYSE, AMEX, NASDAQ, for example. The empirical results show that the combination portfolio of these three different characteristics is more stable than the others and gets good Sharp ratio.