Smart Investment Strategies with Industrial and Financial Factors-Evidence from Taiwan Stock Market

• Main Authors: CHEN,JIA-SHENG, 陳家昇
• Other Authors: HUANG,YU-CHUAN
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/jdx558

碩士 === 國立高雄第一科技大學 === 財務管理系碩士班 === 105 === This research use financial factors which in the quarterly and monthly financial report. According to the industry of the Taiwan stock market, we examine the Taiwan stock market from January 1997 to April 2017. The first day start to invest is from the day after the quarterly and monthly financial report announced. The results shows, during a whole season, we could get average return if we choose the ten stocks which have the minimum market value and start to invest when the third season quarterly report announced. The performance of the best three industries are communications and internet industry(34.16%), semiconductor industry(25.73%), and information service industry(24.78%). According to the monthly financial report, we could get excess return if we start to invest from the day after the February and March financial report announced, duration in twenty days. The performance of the best three industries are cement industry(15.12%), glass and ceramic industry(10.59%), communications and internet industry(10.32%). We consider the stock fluidity then we created the portfolio. First, eliminate the stock which the net value and stock price below NT$10. Second, take trading volume which is under 1000 and 500 as a direction. Last, we created the portfolio with industry category and financial factors. In this event, the portfolio with best performance is, eliminate the trading volume under 500, and eliminate the worst ten anticipated return after we distinguish industries. After distinguishing industries, the annualized return is 20.77%. The annualized return of undistinguished industries is 17.21%. Therefore, the best strategy is to create portfolio with distinguished industries.