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    ASIA unversity > 管理學院 > 財務金融學系 > 博碩士論文 >  Item 310904400/100732

    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/100732

    Title: Investment Portfolio Construction- The Use of Value Investing
    Authors: Wang, Sing-Yu
    Contributors: 財務金融學系碩士在職專班
    Keywords: F_SCORE;book-to-market ratio;Ownership structure;Treasury announcement;Research & Development Intensity
    Date: 2016
    Issue Date: 2016-08-15 16:22:17 (UTC+8)
    Publisher: 亞洲大學
    Abstract: Our study focuses on entire non-financial companies in Taiwanstock exchange, including OTCand the companies that went private. First, this research uses higher book-to-market ratio to choose companies with good price. Second,this paper extends the F_SCORE by Piotroski (2000) and proposes a new portfolio(Y_SCORE) with an application to the stock market in Taiwan. Y_SCORE incorporates ownership structure, treasury announcement, and Research & Development Intensity, which attract great attention in recent financial literatures. An investment strategy that buys winners under Y_SCORE generates an excess return during financial crisis and non-financial crisis period. The empirical results also show that buys winner and sells losers under Y_SCORE have good expected returns and relative lower risks.
    Appears in Collections:[財務金融學系] 博碩士論文

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