EMPIRICAL RESEARCH OF CRISIS INVESTING-EVIDENCE FROM TAIWAN STOCK MARKET
| Autor: | Rui-Peng Du, 杜瑞朋 |
|---|---|
| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 Global Economy is facing recession, even more under the influence of falling oil price and Chinese stocks enter bear market. The black swan events seems to be inevitable. This kind of event that comes as a surprise, has a major effect, and is often inappropriately rationalized after the fact with the benefit of hindsight. Taiwan as a shallow-plate market is not an exception. However, such crisis also comes with lucrative opportunity. And how to seize the opportunity is what we study here. This dissertation uses common financial ratios to find out the best investment portfolio and its cumulative return after major crisis. By using equal-weighted and value-weighted method, we study dot-com bubble and financial crisis and SARS event. I set two portfolios. One with PER less than 12 and another with PBR less than 1 and possess this for 3 years. As the cumulative value weighted rate of return In dot-com bubble event, PER portfolio grows from -21% to 216% and PBR portfolio grows from -29% to 141%. These portfolio defeat the market for sure (-41% to 0%). In financial crisis PER portfolio grows from -24% to 122% and PBR portfolio grows from -12% to 201%. These portfolios defeat the market without doubt (-20% to 57%). In SARS event PER portfolio grows from 6% to 125% and PBR portfolio grows from 10% to 288% These portfolios defeat the market without doubt (13% to 81%).Then we add ratio of liabilities to assets larger than 200 to our portfolios. In dot-com bubble the peak of cumulative value weighted rate of return increases from 141% to 263% and In financial crisis the peak also increases from 122% to 132%. In SARS event the peak also increases from 237% to 288%. These figures show it does have positive effect on performance. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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