A Study on The Excess Return of Financial Index of Return on Equity as Stock Selection Strategy based on the listed companies from the Taiwan Stock Exchange

• Main Authors: Hsu, Chih-Chun, 許執均
• Other Authors: Li, Han-Hsing
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/kfh8r6

碩士 === 國立交通大學 === 管理學院財務金融學程 === 107 === Stock selecting based on fundamental analysis cannot explain the volatility of stock price and trading volume, however a large amount of literature discuss the fundamental analysis as stock selection model because it indeed avoid certain landmine stocks and reduce the risk of holding. This study focuses on the stocks listed on the Taiwan Stock Exchange and uses the public quarterly and annual financial report to calculate the Return On Equity_ net income - exclude disposal gain/loss of each industry, then use the DuPont equation to filter, and finally join the indexes such as the Price-Book Ratio and cash flow which help us seeking well company but the stock price is undervalued to help to pursue reasonable remuneration, moderate risk takes, and obtain excessive return higher than the market return. The empirical period is from April 2008 to March 2019. The results show that (1) Winning Percentage of a one-year holding stock portfolio constructed from the annual financial report is lower than the stock portfolio constructed from quarterly financial report, regardless of the holding period of one month or three months. (2) The annualized average return of a one-year holding stock portfolio constructed from the annual financial report is greater than the annualized average return of the stock portfolio holding period of three month constructed from quarterly financial report portfolio, but lower than the same stock portfolio holding period of one month.