Choosing Eight Financial Indicators and Constructing Stocks Investment Portfolio Performance Analysis
| Autor: | Shu-Ling Wu, 吳淑錂 |
|---|---|
| Rok vydání: | 2015 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 103 The study choosed the financial indicators in public financial statements of listed companies in Taiwan and selected eight financial indicators from four dimensions: profitability, solvency, operating capacity, and cash flow ratios to establish investment portfolios with different weights based on the scale of stocks, hoping to create excess return on investment portfolios for investors selecting stocks. The source is from Taiwan Economic Journal (TEJ), where more than 1,500 data on stocks of listed companies in Taiwan were collected from 2008 to 2014. The results of the study are as follows: 1. Regarding the portfolios set up based on the estimation period of 126 days, the best result appeared in the annual rate of return of top 50% of the stocks held for 5 days upon forming in 2008, whose return 56% is smaller than the market rate of return. The best result appeared in the annual rate of return of top 50% of the stocks at 275%, which were held for 5 days upon forming in 2009. The result significantly exceeded the market rate of return by 243%. 2. Given the scale of the company, the study adopted the scales of stocks to adjust the weight of investment. Although the result failed to excel the average weighted rate of return on investment in each aspect, it exceeded the market rate of return steadily, showing that the portfolios set up in the study were workable. 3. When the compound annual rate of return was calculated based on the portfolios, regardless of top 40% or top 50% of portfolios, the result exceeded the market rate of return and showed the abnormal returns with more than 10 times the amount of principal invested originally 4. The study adopted Sharpe Ratio to test the established portfolios. The Sharpe Ratio of the average weighted rate of return and the weighted rate of return fell between 0.6-0.9, higher than that of the market rate of return at 0.12. 5. The study found that the average weighted rate of return, weighted rate of return, accumulated rate of return and Sharpe Ratio exceeded the market rate of return when eight financial indicators were adopted to select and screen stocks; in addition, the improved investment performance existed in the bear market or bull market. These two results showed that the strategy for stock selection set up in the study was worth referring to. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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