Study on Investment Performance Measurement of Multi-Factor Stock-Selecting Model

• Main Authors: WU, TSUNG-HAN, 吳宗翰
• Other Authors: CHEN,LONG-HUI
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/sxj6uw

碩士 === 國立高雄師範大學 === 事業經營學系 === 105 === The company's bad news announcement of the Taiwan stock market appeared sometimes without pre-alert of the company's events so that many investors suffer disastrous losses such as the Foshin Transport Corp.’s bankrupt without pre-alert and the XPEC Entertainment acquisition case and so on. The Taiwan stock market investors look forward to have a high-paying and low-risk portfolio. This paper uses the Price-Earnings Ratio, Price-Book Ratio, Price-Sale Ratio and Growth Value Index as the stock selection index to establish three different multi-factor stock-selection models, and verifies the model return rate. The results show the return rate of Model 3 is higher than Taiwan Stock Index and the other two models. Finally, the findings of the proposed model are useful for the investors that are interested in enhancing their performance in the portfolio, and improving the portfolio of asset allocation decisions.