The Performances of Value Stocks in Different Fluctuation Stages of Taiwan Stock Market
| Autor: | Chen, Chao-Yen, 陳昭燕 |
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| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 高階經營管理碩士在職專班(EMBA) 100 The contents of abstract in this thesis： This study aimed to investigate the performance of value stocks. The dividend yield and the stock fluctuation stages were taken into consideration. This study followed the classification method of Lakonishok, Shleifer, and Vishny（1994）to divide the stocks into value stocks and growth stocks and then capital size was considered. In addition, stock fluctuation stages were divided according the historical fluctuations to describe the characters of bull or bear markets of daily trading volume, the market-to-mortgage ratio and price-to-book values etc. 1. The value stock effect has no relation with stock fluctuations. 2. There existed size effect only in small scale portfolio. 3. Rebalancing the portfolio to delete the stocks with negative dividend yield improved the portfolio performance. 4. There existed differences in performances in bull and bear markets. 5. To judge the characters of bull or bear markets helped investors in terms of investment timing. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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