Choosing Financial Indicators and Establishing Stocks Investment Portfolio Performance Analysis
| Autor: | Yi-Ling Chen, 陳怡伶 |
|---|---|
| Rok vydání: | 2014 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 102 This thesis investigated the rate of return on stock- picking performance of financial indicators, data sources for the Taiwan Economic Journal database(TEJ),the study period was between 2007 to 2013, the domestic market,OTC companies, totaling approximately 1400 files stock information. For Taiwan listed (OTC) financial statements of the Company's public financial indicators,low price with higher earnings clustering concept, easy to build stock-picking strategy execution, choose higher investment value of stocks and consider the risk tolerance of the investment portfolio to enhance the performance, as a strategy for the investor.The major findings of our thesis are as follows: First,within-sample 252 days and out-sample 10 days of potential shares are selected the best investment return rate, especially 30% of pre-sorting screening stocks to build investment portfolios. Second,consider the size of the company, we include market value to adjust the weights in order to achieve a stable investment return and reduce risk.However,no matter the in-sample126 days or 252 days, the investment performance of considering size weight is no apparent effect. Third,in order to caculate the cumulative compounded rate of different groups, whether in-sample 126 days or 252 days, we find the performance of choosing potential stocks group was better than market performance.The cumulative compounded returns of seven years approach over 900% abnormal returns, the annual cumulative return of approximately 138%. Fourth,the sharpe ratio of potential stocks group of our investment performance, regardless of the in-sample126 days or in-sample252 days, is better than market performance. The conclusion of our thesis would strongly suggest potential stocks group as the best stock-picking strategy which the investment protfolios performance is better than safe stocks group and grow stocks group. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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