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1
Jeon, Kyung-Seong. "An examination of stock market properties : vector autoregression approach /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9841304.
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Altaf, Saadia, and Ghenadie Cospormac. "Demutualization of stock exchanges : A case study : London Stock Exchange and Hong Kong Stock Exchange." Thesis, University of Skövde, School of Technology and Society, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-3129.
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The focus of this study is to evaluate the impact of corporate ownership structure on the overall performance of stock exchanges. This study distinguishes in particular mutual versus demutualized ownership. London Stock Exchange and Hong Kong Stock Exchange are chosen as study cases, because London Stock Exchange is one of the world leading stock exchanges and Hong Kong Stock Exchange is definitely one of the most important emerging market stock exchanges. That is why the results obtained by comparing these two stock exchanges could serve as good indicator in understanding the effects of demutualization process on the whole stock exchange sector and retain the subtle differences in micro-behavior of the stock exchanges undergone the same transformation.
In this paper the simple descriptive statistics is used as the method of analysis, in association to a profound review of the literature in this area. The data illuminate the fact that demutualized stock exchanges hold a stronger operating performance and a better performance in term of shareholder’s return than mutual exchanges. The result is generally in line with the basic theories in the area of corporate governance and empirical studies in this specific area like Aggarwal (2006), Mendiola and O’Hara (2003) and Hart and Moore (1996).
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Luthuli, Sandile. "A study into the relationship between the price earnings ratio and the price book ratio on the JSE Securities Exchange." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52143.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: Academics, analysts and investors have always been intrigued by, and have always sought to identify with certainty, factors that determine investment returns and share price movements. In 1953 Maurice Kendall, following on the work of Louis Bachelier, made the revelation that share price movements followed a random pattern, i.e. they could not be predicted with certainty. Through continual research, two schools of thought emerged - fundamental and technical analysis. The fundamentalists' perspective is that through thorough due diligence analysis of current and historical data, one will be able to identify good investment prospects.The latter stipulates that future price movements can be predicted from previous price movements, i.e. historical patterns replicate themselves over time. The random walk theory suggested by Kendall was followed by the Capital Asset Pricing Model (CAPM) as developed and refined by Sharpe (1964), Lintner (1965) and Black (1972). The CAPMrecognised risk (beta) as the key explanatory variable of returns. The CAPMremains the backbone of modern financial theory and is the basis against which all new developmentsare measured. Subsequent studies have attempted to find other explanatory variables of return other than beta. Banz (1981) found evidence of a relationship between size and returns later referred to as the size effect. Chen (1981 and 1983) found that after adjusting for risk factors, the size effect did not yield high returns adequately, thus challenging Banz's findings. In 1985, Chan, Chen and Hsieh using macro and micro economic variables found that given more accurate estimates of beta, no sized-based differences in returns could be observed. Reinganumin 1981 found evidence of high earnings-price (EjP) shares yielding abnormally high returns. He further found a strong relationship between size and earnings-to-price (EjP) ratio. Bhandari (1988) suggested that in addition to beta and size, leverage also played an important explanatory role of returns. Related studies by Basu (1977), Chan, Hamao and Lakonishok (1991) and Jegadeesh (1992) found a multi-variable explanation of returns - market equity, beta, EjP ratio, size and other non-market factors. The combination of these factors led to the conclusion that the CAPM model had been misspecified. Fama and French (1992 and 1995) expanded the research and sought to establish the multi-dimensionality of beta. They found, inter alia, that equities with a high book value vis-a-vis their price realised higher returns than their counterparts. They further found profitability to be positively related to size. This led to a new ratio in financial analysis, the price book ratio (PB). The PB ratio has never emerged as a prominent analytical tool in the financial sector and has historically been superseded by the price earnings (PE) ratio. The author therefore seeks to establish the raison d' etre for the status quo by undertaking an empirical study of the JSE Securities Exchange for the period commencing 1989 and ending 1998. Using financial data obtainable from annual financial statements, the author proceeded to calculate PE and PB ratios. Tracing the mathematical derivation of the two ratios and using the Pearson correlation coefficient, trend analysis and the Spearman Rank correlation test, the author found that there exists prima facie evidence to suggest that the PE ratio could be used as a proxy for the PB ratio. This offers a partial explanation of the inconspicuous role of the PB ratio as an explanatory tool.
AFRIKAANSE OPSOMMING: Akademici, analiste en beleggers stel steeds belang in en strewe om faktore wat beleggingsopbrengste en aandeleprysbewegings bepaal, met sekerheid te identifiseer. In 1953 het Maurice Kendal, gebaseer op die werk van Louis Bachelier, getoon dat aandelepryse 'n ewekansige patroon volg en as gevolg hiervan nie met sekerheid voorspel kan word nie. Navorsing het twee denkrigtings tot gevolg gehad naamlik fundamentele ontleding en tegniese analise. Fundamentele ontleding veronderstel dat winsgewende beleggingsgeleenthede vanuit 'n deeglik oorweegde impak analise van huidige en historiese data gemaak kan word. Tegniese analise stel voor dat toekomstige prysbewegings uit vorige prysbewegings afgelei en voorspel kan word, óf anders gestel, dat patrone hulself oor 'n sekere periode herhaal. Die stogastiese lopie teorie van Kendall is gevolg deur die markpryswaarderingsmodel (MPM) wat deur Sharpe (1964), Lintner (1965) en Black (1972) ontwikkel en verfyn is. Die MPM stel risiko (beta) as 'n sentrale veranderlike wat opbrengste voorspel. Die MPM vorm steeds die primêre uitgangspunt van finansiële teorie en die basis waaraan nuwe ontwikkelings gemeet word. Voortspruitend uit die voorafgaande studies, is daar gepoog om verdere veranderlikes anders as beta te ondersoek wat opbrengste voorspel. Banz (1981) toon aan dat daar 'n verhouding bestaan tussen grootte en opbrengste - naamlik die grootte-effek. Chen (1981 en 1983) het die gevolgtrekking gemaak dat die grootte-effek nie genoegsame hoë opbrengste lewer nadat risikofaktore in berekening gebring is nie. Gevolglik is Banz se bevindinge bevraagteken. In 1985 het Chan, Chen en Hsieh deur die gebruik van makro en mikro-ekonomiese veranderlikes bevind dat, gegewe 'n meer akkurate bepaling van beta, geen grootte gebaseerde opbrengste waargeneem kon word nie. Reinganum (1981) bevind dat bewyse bestaan dat aandele met hoë verdienste-prys abnormaal hoë opbrengste getoon het. Sterk verhoudings tussen grootte en die aandeel se prysverdienste verhouding is waargeneem. Bhandari (1988), in verdere navorsing in hierdie verband, stel dat in aanvulling tot die gebruik van die beta-koëffisient en grootte, hefboomwerking ook 'n belangrike bydrae lewer in die bepaling van opbrengste. Verbandhoudende studies deur Basu (1977), Chan, Hamao en Lakonishok (1991) en Jegadeesh (1992) stel dat opbrengste verduidelik kan word aan die hand van verskeie veranderlikes, naamlik markekwiteit, beta, prysverdienste verhouding, grootte en ander nie-markverwante faktore. Die kombinering van hierdie faktore het gelei tot die gevolgtrekking dat die MPM model verkeerd gespesifiseerd was. Fama en French (1992 en 1995) se navorsing poog om die multi-dimensionaliteit van beta te bepaal. Hulle bevind onder andere dat aandele wat 'n hoë boekwaarde teenoor prys, 'n hoër verdienste of opbrengs oplewer as ander aandele. Verder is bevind dat 'n positiewe korrelasie tussen winsgewendheid en grootte bestaan. Dit het gelei tot 'n nuwe verhouding in finansiële analise, naamlik die prys-tot-boek verhouding (PB). Die PB-verhouding het egter nooit in die finansiële sektor gerealiseer as 'n prominente analitiese metode nie en word histories deur die prysverdienste verhouding oorskadu. Die skrywer wil gevolglik die raison d' etre vasstel vir die status quo deur 'n empiriese studie van die Johannesburgse Effektebeurs vir die periode 1989 tot 1998 te onderneem. Deur jaarlikse finansiële state te ontleed, is die prysverdienste en prys-tot-boek verhoudings bereken. Deur 'n wiskundige afleiding van die twee verhoudings te maak, die Pearson korrelasiekoëffisient, tendensanalise en die Spearman rang korrelasiekoëffisienttoets te gebruik, het die skrywer bevind dat daar prima facie getuienis bestaan dat die prysverdienste verhouding ook gebruik kan word as 'n ekwivalent vir die prys-tot-boek verhouding. Dit bied 'n gedeeltelike verklaring van die ontoereikende rol van die prys-tot- boek verhouding as 'n verklarende veranderlike.
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Yam, Chan-yin Rua, and 任燦賢. "Earnings/price ratio anomaly of the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1988. http://hub.hku.hk/bib/B31264190.
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Castro, Andressa Souza Campos Monteiro. "Consumption-wealth ratio and expected stock returns: evidence from panel data." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13668.
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This paper investigates the role of consumption-wealth ratio on predicting future stock returns through a panel approach. We follow the theoretical framework proposed by Lettau and Ludvigson (2001), in which a model derived from a nonlinear consumer’s budget constraint is used to settle the link between consumption-wealth ratio and stock returns. Using G7’s quarterly aggregate and financial data ranging from the first quarter of 1981 to the first quarter of 2014, we set an unbalanced panel that we use for both estimating the parameters of the cointegrating residual from the shared trend among consumption, asset wealth and labor income, cay, and performing in and out-of-sample forecasting regressions. Due to the panel structure, we propose different methodologies of estimating cay and making forecasts from the one applied by Lettau and Ludvigson (2001). The results indicate that cay is in fact a strong and robust predictor of future stock return at intermediate and long horizons, but presents a poor performance on predicting one or two-quarter-ahead stock returns.
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Schuster, Tim [Verfasser], Reinhard [Akademischer Betreuer] Stock, and Joachim [Akademischer Betreuer] Stroth. "Hadron ratio fluctuations in heavy-ion collisions / Tim Schuster. Gutachter: Reinhard Stock ; Joachim Stroth. Betreuer: Reinhard Stock." Frankfurt am Main : Univ.-Bibliothek Frankfurt am Main, 2012. http://d-nb.info/1044093579/34.
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Němec, Pavel. "Finanční analýza STOCK Plzeň a.s." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-8797.
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The subject is financial analysis of STOCK Plzeň a.s. The aim of the thesis is propose the analysisi of ekonomical and financial situation of the company. The analysis refers to stage ang progress of the company between the years 2002 - 2006. Especially due to accounting reports.
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Kane, Gregory D. "Accounting data and stock returns across business-cycle associated valuation change periods." Diss., This resource online, 1992. http://scholar.lib.vt.edu/theses/available/etd-07282008-134006/.
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Kougoulis, Periklis Markos. "Essays on a generalized variance-ratio statistic and the comovement of stock returns." Thesis, University of Essex, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.435256.
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Xu, Weijun Banking & Finance Australian School of Business UNSW. "Optimal hedging strategy in stock index future markets." Awarded by:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/43728.
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In this thesis we search for optimal hedging strategy in stock index futures markets by providing a comprehensive comparison of variety types of models in the related literature. We concentrate on the strategy that minimizes portfolio risk, i.e., minimum variance hedge ratio (MVHR) estimated from a range of time series models with different assumptions of market volatility. There are linear regression models assuming time-invariant volatility; GARCH-type models capturing time-varying volatility, Markov regime switching (MRS) regression models assuming state-varying volatility, and MRS-GARCH models capturing both time-varying and state-varying volatility. We use both Maximum Likelihood Estimation (MLE) and Bayesian Gibbs-Sampling approach to estimate the models with four commonly used index futures contracts: S&P 500, FTSE 100, Nikkei 225 and Hang Seng index futures. We apply risk reduction and utility maximization criterions to evaluate hedging performance of MVHRs estimated from these models. The in-sample results show that the optimal hedging strategy for the S&P 500 and the Hang Seng index futures contracts is the MVHR estimated using the MRS-OLS model, while the optimal hedging strategy for the Nikkei 225 and the FTSE 100 futures contracts is the MVHR estimated using the Asymmetric-Diagonal-BEKK-GARCH and the Asymmetric-DCC-GARCH model, respectively. As in the out-of sample investigation, the time-varying models such as the BEKK-GARCH models especially the Scalar-BEKK model outperform those state-varying MRS models in majority of futures contracts in both one-step- and multiple-step-ahead forecast cases. Overall the evidence suggests that there is no single model that can consistently produce the best strategy across different index futures contracts. Moreover, using more sophisticated models such as MRS-GARCH models provide some benefits compared with their corresponding single-state GARCH models in the in-sample case but not in the out-of-sample case. While comparing with other types of models MRS-GARCH models do not necessarily improve hedging efficiency. Furthermore, there is evidence that using Bayesian Gibbs-sampling approach to estimate the MRS models provides investors more efficient hedging strategy compared with the MLE method.
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Celiker, Umut. "Cross Sectional Determinants Of Turkish Stock Market Returns." Thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/12605243/index.pdf.
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This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.
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AlShammasi, Naji Mohammad. "The Limits of Arbitrage and Stock Mispricing: Evidence from Decomposing the Market to Book Ratio." Thesis, University of North Texas, 2015. https://digital.library.unt.edu/ark:/67531/metadc848132/.
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The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbitrage.
Modern finance theory and efficient market hypothesis suggest that security prices, at equilibrium, should reflect their fundamental value. If the market price deviates from the intrinsic value, then a risk-free profit opportunity has emerged and arbitrageurs will eliminate mispricing and equilibrium is restored. This arbitrage process is characterized by large number of arbitrageurs which have infinite access to capital. However, a better description of reality is that there are few numbers of arbitrageurs to the extent that they are highly specialized; and they have limited access to capital. Under these condition arbitrage is no more a risk-free activity and can be limited by several factors such as arbitrage risk and transaction costs.
Other factors that are discussed in the literature are availability of substitutes and financial constraints. The former arises as a result of the specialization of arbitrageurs in the market in which they operate, while the latter arises as a result of the separation between arbitrageurs and capital. In this dissertation, I develop a measure of the availability of substitutes that is based on the propensity scores obtained from propensity score matching technique. In addition, I use the absolute value of skewness of returns as a proxy of financial constraints.
Previous studies used the limits of arbitrage framework to explain pricing puzzles such as the closed-end fund discounts. However, closed-end fund discounts are highly affected by uncertainty of managerial ability and agency problems. This study overcomes this problem by studying the effect of limits of arbitrage on publicly traded securities. The results show that there is a significant relationship between proxies of limits of arbitrage and firm specific mispricing. More importantly, empirical results indicate that stocks that have no close substitutes have higher mispricing. In addition, stocks that have high skewness show higher mispricing.
Subsequent studies show that the S&P 500 stocks have different levels of liquidity, analysts’ coverage and volatility. These characteristics affect the ability of arbitrageurs to eliminate mispricing. Preliminary univariate tests show that S&P 500 stocks have, on average, lower mispricing and limits of arbitrage relative to non-S&P 500 stocks. In addition, the multivariate test shows that S&P 500 members have, on average, lower mispricing relative to non-S&P 500 stocks.
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Lee, Son Matthew Robert. "Predicting returns with the Put-Call Ratio." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/30616.
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Over 22 billion derivative contracts were traded on different stock exchanges globally during the year 2010 of which almost 50% were futures while the remaining 50% were options. An overall 25% increase in such contracts was registered as compared to those traded in the year 2009 (International Options Market Association (IOMA) Report, 2011).Investors often use a wide array of trading tools, market indicators and market trading strategies to get the best possible returns for the money that was invested. The main objective of this paper is to focus on the use of market sentiment indicators, specifically the Put-Call Ratio (PCR) as a predictor of returns for an investor.The Put-Call Ratio is defined as a ratio of the trading volume of put options to call options. It is called a sentiment indicator because it measures the “feelings” of option traders. Additionally, it has longed been viewed as an indicator of investors’ sentiment in the market (Put-Call Ratio, 2012) and is possibly the most favoured description of market psychology (James, 2011).Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Liao, Ung-Hsuan, and 廖泳瑄. "The option to stock volume ratio and stock returns." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/ge6338.
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碩士國立交通大學
財務金融研究所
106
This research examines the future return predictability of the daily option-to-stock ratio (O/S). The Fama-MacBeth regression result shows that the daily option-to-stock ratio plays an essential role in the prediction with a significantly negative impact on the following trading day’s return. We also look into the predictability of the daily signed option ratio, whereby the daily open buy call to stock ratio and open buy put to stock ratio are strong predictors of it, and that closing position ratios lose their predictability in non-expiration week. Lastly, the O/S ratio shows no effect on predicting cumulative return near earnings announcement day, no matter whether investors exhibit high sentiment or low sentiment.
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Chen, Tzer-Jong, and 陳則忠. "Financing Ratio and Stock-price Dynamics." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/93165922705487314315.
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Chen, Yu-Jung, and 陳禹蓉. "Hedge Ratio for Multinational Stock Index." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/15846816622152340257.
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碩士國立中央大學
財務金融學系
105
Hedge is an important part of risk management. It comes up with a critical problem to be addressed in determine hedge ratio. In this paper, we propose three spot-futures hedging methods that determines the optimal hedge ratio by minimizing the riskiness of hedged portfolio returns, where the riskiness is measured by the index of Aumann and Serrano (2008), Foster and Hart (2009) and Bali, Cakici and Chabi-Yo (2011). Unlike the risk measurements widely used in the literature, the riskiness indexes employed in our methods not only have better economic interpretation but also satisfy monotonicity with respect to stochastic dominance. We add variance which is widely used to measure the risk of portfolio returns as one of our methods in order to compare with traditional risk measurements. Moreover, we examine the hedge ratio between different countries. Our empirical result shows that when we take dynamic hedging strategy, variance is the most stable hedge ratio method and the difference between countries is the smallest. Bali, Cakici and Chabi-Yo (2011) is the most unstable method and the difference between countries is the biggest. Hedge ratio measure by Aumann and Serrano (2008)and Foster and Hart (2009) are closed.
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Chang, Che-yu, and 張哲宇. "The Hedge Ratio of Stock Index Futures." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/38149083564414453144.
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Wei-Te, Kao, and 高惟德. "Impact of a Qualified Foreign Investment Institute Holds the stock ratio with to hold the stock ratio change on the Stock Market price of Taiwan." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/26826275471442230701.
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碩士中國文化大學
會計研究所
96
This theses deals with the impact of opening overseas Chinese/foreign investment on the remuneration and stock price fluctuation of the stock market of Taiwan. This paper, with basis on the monthly average indices, monthly highest indices and lowest indices among the monthly stock price indices after adjustment of the daily stock price indices from January 2000 to December 2004 in the Taiwan area as its study foundation, and by means of the fixed base terms and observation terms in different lengths, reviews the strength of this empirical study. The empirical study shows: In general, induction of a qualified foreign investment institute (QFII) would cause a positive impact on stock remuneration and stock price fluctuation, conforming to the anticipated result. Therefore, QFII, due to its professional investment study and analysis ability, uses its strength in operation management and skill through accumulation within many years, and sets its layout in global manner. Besides, it is also found in this study, that what QFII investors concern the most is that Taiwan should continuously provide a commendable investment environment with prosperous economy and stable political environment. It is also recommended the investment public in pursuit of the trade of QFII may, with reference to the characteristics of QFII trade, select the stocks with high and increasing QFII share holding ratios, and avoid investment in the stocks with low and decreasing QFII share holding ratios, in order to make the most favorable investment decisions, and further gain higher stock remuneration and avoid investment risk in the stock market.
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Zhang, Guang-ting, and 張光廷. "Price-sales Ratio Testing on Taiwan Stock Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/29499455793529526540.
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碩士國立高雄應用科技大學
金融資訊研究所
99
Abstract According to Kenneth Fisher, the U.S. investment guru, the most useful method, “Price Sales Ratio”, is often applied by the investors to discover the stock that is undervalued and under priced. the greatest method to decide on the “super stock” is when its Price Sales Ratio is less than the special value. This approach works excellent in the U.S. stock market. My dissertation is to investigate whether this super stock selecting approach also applies in Taiwanese stock market and its performance comparing to “price-book value” and “sale price ratio”. In my study, the price sales ratio was used as a classification index, and the sample stocks were divided into four groups: less than 0.75, between 0.75 and 1.5, between 1.51 and 3.0., and over 3.0. In order to find out the stock that might have the highest future potential in the market, we calculated the average return and the maximum average return in one year by using the “price sales ratio” method. Also, based on that, we designed operational strategies to validate whether its performance was better than the market index, as well as compared with” price-book value ratio “and ” sales price ratio” of return. The results showed that the stock was selected by price sales ratio method and held a year had better investment rate of return than the market index. However, investment with 20% stop-loss and 50% stop-win was found to have lower operating profit performance than the market index. But, its volatility and the relative risk are low. In addition, we found that there were no significant differences between price sales ratio and price-book value ratio in the performances, and the average return of sales price ratio was slightly lower than the other two. Keywords: price sales ratio, price-book value ratio, sales price ratio, volatility
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Li-NaChou and 周麗娜. "Dividend payout ratio, dividend yields,and stock returns." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/25d5zb.
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碩士國立成功大學
財務金融研究所在職專班
101
This study examines the relation between payout ratio, dividend yield and stock return for Taiwanese listed companies, which are classified in 30 investment portfolios for study. The impact of market capitalization on stock return is also analyzed. There are some major findings. Among dividend payers and non-dividend payers, the stock returns tend to be smaller for dividend payers with higher dividend yields and the stock returns are positive for non-dividend payers. In addition, the larger the market capitalization of the portfolio is, the higher the portfolio stock return is. 3rd, There is abnormal stock return in Taiwan stock market. Last, market premium, zero dividend dummy variable, dividend yield, market capitalization and payout ratio have significant impacts on abnormal stock return, but the correlation between dividend yield and abnormal stock return is negative. Cash dividend yield doesn’t have significant impact on abnormal stock return.
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Yang, Tzi-Li, and 楊子立. "A study in financial ratio - stock selection model." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/f73x57.
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碩士義守大學
財務金融學系
106
This research is discussing can the return of the investment portfolio by stock selecting model through financial ratio above return of The Weighted Price Index of the Taiwan Stock Exchange. First, we use panel-data regression analysis model to find out the financial ratio which leads the stock price, then pick out the industry which performance better, and we calculate the return to seek out can the investment portfolio’s return above the return of The Weighted Price Index of the Taiwan Stock Exchange. The main point of this research is the verification of Efficient-Market Hypothesis established or not. Can the stock price fully reflected the outgiving information, and can investors use the past stock price and analysis the present outgiving information to get superprofit. However, investors could not get remuneration beyond expectation by the strategy of using financial ratio stock selecting model.
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De-RongKong and 孔德蓉. "Predictability of short interest ratio of stock return – Evidence from Taiwan Stock Market." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/nhwp39.
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碩士國立成功大學
財務金融研究所
105
This paper studies the relationship between short interest ratio and subsequent stock return in Taiwan stock market. I find that short interest ratio is negatively related to subsequent stock returns, and the result is statistically and economically significant. More importantly, the effects are long-lasting. This evidence suggests that short sellers in Taiwan tend to be informed. In addition, short interest ratio has stronger predictability when short sale constraints are loosened considerably. Moreover, stocks with high short interest ratio have weak fundamentals and high turnover, implying that short sellers detect not only intrinsic value but also market's sentiment for stocks.
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KAO, YU-TING, and 高毓庭. "Applying Artificial Neural Network with Stock Shareholding Ratio in Constructing Stock Price Predicting System." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/u6k843.
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碩士國立臺北科技大學
工業工程與管理系
106
The stock is now a major public investment and financial tool. Although the domestic stock market is a transparent and open market, it is actually full of "asymmetric information." Usually insiders or major shareholders of the company will get the first-hand information from insiders, and general investor often wait until the stock price has reacted before they get these news. The general investor based on these messages to enter and leave the market for investment transactions, but there will always be investment losses. Therefore, in the past, there have been many studies that use various methods to predict stock prices. Whether they use basic analysis or technical analysis, they hope to increase the accuracy of forecasted stock prices to provide investors with better investment advice. This study hopes to predict the stock price through the use of chip face analysis that has rarely been used by academics. So, this study hopes to predict the future stock price by observing the proportion of total stocks held by investors in the pooled inventory. In this study, Taiwan 50 were selected as the research object. During the period of the study from 2015/12/11 to 2017/11, and the stock decentralization data released by the Taiwan Depository & Clearing Corporation. The relationship between the stock price data of the daily trading information of the TWSE and the equity decentralization data announced by the TDCC on the last trading day of the week are analyzed. The stock price forecasting system is constructed by four methods, including Back-Propagation Network and heuristic algorithms combined with neural networks.
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Wang, Wen-Horng, and 王文鴻. "Stock-Return Forecasting-Financial Ratio and Time Series Methods." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/22928321183563501942.
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CHIN, CHENG WEN, and 鄭文欽. "THE OPTIMAL HEDGE RATIO OF STOCK INDEX FUTURES ── EMPIRICAL." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/41453369196955106186.
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LAI, KEVIN, and 賴昌作. "Hedge Ratio and Hedging Effectiveness in Stock Index Futures." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/33875230933204688646.
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碩士國立臺灣科技大學
資訊管理系
88
Hedge ratios estimation of stock index futures is important for stock investors. Several recent studies have found that time-varying hedge ratios lead to more risk reduction than traditional constant hedge ratios. The research compares traditional model with time-varying model. Naïve model, OLS model, OLS-CI model and GARCH model are involved. The empirical data including CME S&P 500 stock index futures, OSE Nikkei 225 stock index futures, HKFE Hang Seng stock index futures, SIMEX MSCI Taiwan stock index futures and TAIEX Taiwan stock index futures. The major empirical results are as follows: 1. Using unit roots testing for price series of stock index futures, we find the significance of unit roots and thus the nonstationarity of the price series, so price series should be differenced to induce stationarity. We also find evidence of cointegration between spot and futures prices. Consequently, a cointegration measure should be taken into account in the hedge models. 2. In terms of the within-sample hedging effectiveness comparison, the GARCH model outperforms all other hedging models for all stock index futures, with improvement averaging about 3.7 percent over the OLS hedge, about 4.1% over the OLS-CI model and about 12% over the Naive model. 3. In the out-of-sample comparison, the GARCH model is also superior to all other hedging models, with improvement averaging about 1.9 percent over the naïve hedge, about 6.2% over the OLS model and about 11% over the OLS-CI model. 4. OLS model is superior to Naïve model in within-sample comparison, but it’s contrary in out-of-sample comparison. The possible reason is the price of spot and futures are highly correlated. In conclusion, the GARCH model outperforms all other hedging models in both with-sample and out-of sample comparison.
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WANG, MEI-CHIEN, and 王美茜. "The Determinants of the Mutual Fund’s Stock Holding Ratio." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/90537002909881936214.
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碩士大葉大學
管理學院碩士在職專班
104
Because open-end funds must retain some cash and current assets to cope with the application of redemption by investors, mutual funds will not invest all of money in stock. This study uses cross-border equity funds issued by domestic fund company to explore the determinants of fund's holdings ratio. The results show that the past short-term return has positive effect on the holding ratio of fund. The better the past of performance is, the higher the holding ratio is. If the volatility of performance is larger, the holding ratio will be lower. Funds with more the institutional investors and funds in fund family with more funds have higher holding ratio. When funds with the redemption dollar amount greater than the subscription dollar amount, they have higher holding ratio. Finally, in the aspect of investment region, funds invested in emerging market and the global market have a higher holding ratio.
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Hsu, Chia-Wei, and 許家瑋. "Using Option and Stock Volume Ratio as Trading Strategies." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/59602911037853725661.
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碩士國立臺灣大學
財務金融學研究所
104
Using the OS concept of Johnson and So(2012),constructing OS Index, Delta OS Index, PS Index, Delta PS Index, CS Index and Delta CS Index as trading index. With the half year moving average of SP500, there are 12 kinds of trading strategies. Delta OS Index and half year moving average of SP500 is the most outstanding trading strategy. On the buy side, the return is significant large than zero. The wining rate is over 60%. Overall, it is a good trading strategy. The first trading signal of the change between long and short transition is a strong one. It can be the signal when SP500 is going up or going down. It is a very useful information for investors.
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Wang, Rui-hung, and 王瑞宏. "STR Analysis of Stock Dividend-Price Ratio and Returns." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/12555112663626429937.
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碩士國立高雄大學
經濟管理研究所
95
Most of the prior studies used the linear present value (PV) model to estimate the relationship between stock dividend-price ratio and returns. However, the linear PV model is based on the assumption of constant expected stock returns and fixed discount rate that contradicts the empirical evidence discussed in Campbell, Lo, and MacKinlay (CLM, 1997) supporting the predictability and time-variation of expected stock returns. Therefore, we try to explore the more reliable relationship between dividend-price ratio and returns by utilizing the smooth transition regression (STR), a nonlinear econometrics model. Granger and Teräsvirta (1993) also added that most of the economic variables presenting nonlinear process, hence the linear PV model fails to explain the behavior of stock prices as a function of dividends. This study is based on the CLM model, and utilizes the STR estimation originated by Bacon and Watts (1971) and exalted later by Tong (1978, 1990), Granger, and Teräsvirta (1993) to examine the nonlinear relation between dividend-price ratio and stock returns, then to make comparison of the in-sample fitness and out-of-sample forecastability between our nonlinear STR model and CLM loglinear model. The empirical investigation interested are two developed economies, i.e., the US and Japan. The data span the period January 1978 to present using monthly data from Datastream.
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Ya-Chi, Lei, and 雷雅淇. "Firm Size, Stock Price, E/P Ratio, Book-to-Market Equity, and Abnormal Stock Returns." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/55286472381883218431.
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碩士國立中央大學
企業管理研究所
88
This study examines the empirical relation between market value, stock price, book-to-market equity, e/p ratio, and abnormal returns. By applying two-way ANOVA, correlation analysis, and regression analysis, we investigate the individual and net effect of market value, stock price, book-to-market equity, and e/p ratio on the risk-adjusted excess returns. We find stock price is significantly related to returns.
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林秀紀. "An Empirical Study on the Relationship among Market-to-book Ratio, Buyback Ratio, and Stock Return." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/53165749064475100858.
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碩士國立彰化師範大學
財務金融技術學系
102
The purpose of this study is about that how the Market-to-Book (MTB) ratio and buyback ratio of the companies listed in Taiwan stock market influence the stock return of the treasury stock system. The study lasted from August 9th, 2000 to December 31st, 2012, focusing on 3320 Taiwan Stock Exchange (TSE)-listed and Over-the-Counter (OTC)-listed firms (except for financial insurance industry). The methodology of this study is the market model of event with a regression model to verify the remarkable abnormal returns resulting from repurchases. The study also includes the discussion on the abnormal returns of stock prices according to the MTB ratio, buyback ratio, the purpose of repurchases, the return ratio of property, the ratio of major shareholders, and scale of the company, and the financial tsunami. It is found that TSE-listed and OTC-listed firms would gain remarkable positive returns from repurchasing the treasury stock; that is, repurchases are able to stabilize the declining stock prices. The percentage of repurchase has positive correlation to abnormal return, while the MTB ratio has negative correlation.
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Chou, Hsin-Chieh, and 周心潔. "Does Consumption-Wealth ratio signal stock returns?Results for Taiwan." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/58861013451846821740.
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碩士國立中山大學
經濟學研究所
100
This paper studies the role of fluctuation of the aggregate consumption-wealth ratio(cay) for predicting Taiwan stock return. The effect of cay on U.S. stock return has been recently confirmed by Lettau and Ludvigson (2001) with a two stage method. In the first step, estimate the ratio used a dynamic least square(DLS) technique. Second, to investigate the performance of cay, they use in-sample and out-of-sample test. In this paper, we follow the method which Lettau and Ludvigson(2001) use to examine the predictability of cay. Using quarterly market data from 1998 to 2010, we find cay is strong predictors of excess return in out-of sample test. We also find that this ratio is a better forecaster of future returns at intermediate horizons compared to short time.
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Tsai, Mei-Chih, and 蔡美枝. "An Application of Class Ratio in Integrated Stock Selection Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/59801840756803043620.
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碩士朝陽科技大學
財務金融系碩士班
99
In recent years, the increase of personal income comes up with the dissemination of financial knowledge have brought prosperity for the securities trading market in Taiwan. The prediction of stock price for electronic industry companies in particular attracts the attention of most personal investors. However, the rapid changing environment of stock market tends to be complex for a personal investor to understand and follow. For the purpose of assisting the personal investors to construct profitable portfolios, this study aims to employ financial ratios of companies and computational approaches to construct efficient stock selection model for the investors to acquire maximum returns. This research work collected both financial ratios and stock price data of the electronic industry companies listed in Taiwan Stock Exchange during the period between June 2001 and September 2007 for the portfolio evaluation. Three basic models including Artificial Neural Network, Grey Prediction and Grey Decision combined with two novel integrated models based on the cross ratio criteria were applied to select promising stocks for portfolios. The experimental results show that all models performed marked average returns and exceeded the defined benchmarks. Meanwhile, the outcomes of the integrated models surpassed the basic models and demonstrated the effectiveness of the cross ratio strategy. The Taiwan Semiconductor Manufacturing Company (TSMC) reached 22 times been selected as promising stocks in portfolios among all companies of the list. The performance of models also showed higher frequency of outperformance does not determine maximum investment return.
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孔馨儀. "The Impact of Excessive Share Pledge Ratio on Stock Performance." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/tjwgw5.
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碩士逢甲大學
財務金融學系
107
This study examines the impact of excessive share pledge ratio on subsequent stock performance. The sample period in this study is from January, 2010 to December, 2017. The empirical results indicate that the stock returns become negative following share pledge ratio by the board of directors is more than 50% and relative share pledge ratio increases to 25%. In addition, the result also shows that the effects of excessive share pledge ratio on subsequent stock returns are different in various industries. In traditional industry and electronic industry, the excessive share pledge ratio has negative influence on subsequent stock performance. However, in financial industry, the influence of the excessive share pledge ratio on subsequent stock performance is positive in the short run. Finally, the findings are robust either using risk-adjusted returns model or using market adjusted returns model.
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Chih-Wei, Fan, and 范志維. "The acquiring company governance mechanisms on the stock exchange ratio." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/47164762371541676329.
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碩士樹德科技大學
金融與風險管理所
96
Previous studies found acquiring company paying too high a premium is the main reason for the failure of M&A. During the consultation process of acquisition, the higher the stock exchange ratio, the higher possibility the acquiring company pays higher acquisition price. This paper studies the impact of the acquiring company governance mechanisms on the stock exchange ratio. Under the convergence of interest hypothesis, high directors and supervisors shares tend to reduce the stock exchange ratio. Negative relationship is expected between directors and supervisors shares and stock exchange ratio. High independent directors and supervisors seats tend to reduce the stock exchange ratio as failure in merger will damage their reputation and wealth. Negative relationship is expected between independent directors and supervisors seats and the stock exchange ratio. The empirical results show that: 1) Directors and supervisors stock has negative impact on the stock exchange ratio. 2) The divergence between directors and supervisors seats of controlling shareholders and control rights has positive impact on the stock exchange ratio.3) Independent directors and supervisors ratio has positive impact on the stock exchange ratio, which is inconsistent with the expected results.
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Hung, Ya-chi, and 洪雅綺. "Applying Financial Ratio Indexes to Evaluate the Performance of Stock Portfolio─Evidence from Taiwan Stock Markets." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/c2mrs3.
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碩士國立高雄第一科技大學
金融研究所
100
In this study, the samples are all the companies in the Taiwan Stock Exchange Corporate and Over-the Counter market, and the research period is from 2005 to 2009. To analysis financial ratio statements, expect to obtain the excess returns in the stock market and provide investors an effective investment strategy by a simple stock-picking strategy. As a control group that uses F-score which represents the fundamental in Piotrosk’s literature (2000). To construct two different sets of model portfolios to discuss the performance and risk. After that compare with the Market Index to seek the better investment strategy look forward to derive excess returns.
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Chang, Shih-Yen, and 張士晏. "The Crisis Alarming Abilities of Financial Ratios and Stocks Holding Ratio by Directors and Supervisors: Evidence from Crisis Companies Adopting Stock Repurchases." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/10767114942269024002.
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碩士中原大學
國際經營與貿易研究所
100
Since the occurrence of financial tsunami in 2008, there have appeared many bankruptcy companies around the world. The phenomenon has caused great loss of investors and has attracted the attention of researchers in terms of the accurate estimation of crisis alarming models. Previous studies on crisis alarming of company rarely estimate crisis alarming models with the crisis companies that have adopted the policy of stock repurchases, and often estimate the models in a time series or cross-sectional data framework. That is, few of them have ever used panel data approach to estimate crisis alarming models. Thus, this study uses the estimation method of panel data and selects the crisis companies that have adopted the policy of stock repurchases as sample objects to assess how financial ratios and the variable of corporate governance influence the probability of the crisis occurrence. In this study, we apply a panel logit approach to estimate the crisis warming model. The independent variables include four financial ratios－debt ratio, total asset turnover ratio, quick ratio, return on shareholders' equity, and the proxy of corporate governance－stocks holding ratio by directors and supervisors. The sample objects are 17 crisis companies in Taiwan security exchange company that have adopted the policy of stock repurchases over the period January 2000 to December 2007, and 34 normal companies with similar industrial characteristic. The empirical results show that the debt ratio, total asset turnover, return on shareholders' equity, and the stocks holding ratio by directors and supervisors significantly influence the probability of the crisis occurrence for the companies that have adopted stock repurchases policy. However, the quick ratio has an unexpected effect on the probability of the crisis occurrence due to poor matching companies.
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Wang, Shun-Sheng, and 王舜生. "Measuring Internet Stock Performance-A DEA Approach Based on ROE Ratio." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/30686821578601984325.
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碩士中興大學
電子商務研究所
95
Investors pay more expectation to the high performance companies when they choose the investing target. The main topic of this research is to see “whether investing in companies with high financial performance can get a high return on investment or not”. After the “Internet bubble”, the U.S Internet stock market still appeals to numerous inventors. However, investors are still concerned about the high risk in investing in Internet stocks. Because of high risk, a stock selecting process for investors is needed. Therefore, the U.S Internet stock market is considered as a worthy research target. This research adopts the concept of Return on Equity (ROE) and Data Envelopment Analysis (DEA) to assess the performance of 27 U.S listed online companies. The DEA evaluation process is separated into two processes. Process 1 measures the operating performance of a company, and we use operating efficiency and effectiveness to see the operating performance. Process 2 measures how much return a company can generate for their investors. The main contribution of this thesis is to formulate a new DEA evaluation process for investors and managers. For investors, this is a new stock selecting strategy; for managers, it is a new performance evaluation process. The empirical results show that for the Internet industry, the effectiveness of a company is more important than operating efficiency. If investors invest in online companies with a high score in total efficiency, they can gain higher returns. If investors invest in companies with a low score in total efficiency, they gain lower returns.
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LIU, MEI-TSEN, and 劉美岑. "Cash Holding ratio premium-Taking Taiwan Stock Market as an example." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/48719321354668550536.
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碩士國立中正大學
財務金融研究所
102
In this paper, we discuss the relationship between corporate cash holdings and returns in Fama-French three-factor and four-factor model to analyze Taiwan stock market during the 1999-2013 period. We examine whether high cash holding company and low cash holding company premium can be explained by three-factor and four-factor model to check whether there is an existence of abnormal returns. Empirical test results reveal that the high book-to-market ratio minus low(HML) factor have strong negative effects on the cash holding premium, while other factors show little or no information about the cash holding premium. We can infer from the results that high book-to-market ratio companies tend to have more cash than low book-to-market ratio companies, and this is consistent with Keynesian transactions and precautionary motive theory.Furthermore, alpha values are not significant, because the investors are already reflected in the market price, the cash ratio of the size difference does not generate abnormal returns.
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Tseng, Cheng-Wen, and 曾正文. "Robust Estimation of Optimal Hedge Ratio in Taiwan stock index futures." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/01201599776127779329.
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碩士淡江大學
財務金融學系碩士班
93
This article considers solving that conditional distribution of most financial asset return tends to vary over time and the distribution of underlying asset does not conform with ordinary assumption simultaneously. In order to fit time-varying volatility in returns of asset, estimators dealt with simple weighted moving average (SWMA), GARCH, or EWMA models are usually applied. However, these methods are estimated according to sample variance and covariance estimators of returns. When the distribution of underlying asset does not match with the ordinary assumption, the estimators are not in general efficient. The primary purpose in the article is to verify the dynamic hedging strategies in Taiwan stock index futures and MSCI futures by estimating the robust estimation of optimal hedge ratio (OHR) when the data is leptokurtic and fat-tail. This article uses conditional SWMA and EWMA at the same time to estimate the robust estimation of OHR, and compares with the results in unconditional SWMA and EWMA. The variance of hedged portfolio is computed in the robust OHR are less than that in the unconditional way. In addition, the variance of hedged portfolio is computed in the robust OHR are much less than before, thus reducing the transaction costs which produces in dynamic hedging strategies.
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WU, GUOYAO, and 吳國堯. "O/S: The Relationship between O/S Ratio and Stock Returns." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/s55qyg.
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碩士輔仁大學
金融與國際企業學系金融碩士班
107
This paper studies the relationship between underlying stock returns and relative trading volume of option and stock. We use option/stock trading volume ratio (O/S ratio) classified by bull and bear market to quantify the behaviour of foreign institutional investors in Taiwan from July 2, 2007 to December 31, 2017, and use quantile regression to analyse the relationship between O/S ratio and returns. The empirical results show that the O/S ratio of bull market and stock returns have positive relationship, and the O/S ratio of bear market is negatively associated with stock returns, indicating that the investment of foreign institutional investors in Taiwan has information contents. Further, the effects of O/S ratio on next-day stock returns is still hold after controlling for daily trading volume and daily stock returns. Therefore, O/S ratio has a significant predictive power of underlying stock returns.
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"Nonparametric analysis of hedge ratio: the case of Nikkei Stock Average." 1998. http://library.cuhk.edu.hk/record=b5889511.
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by Lee Chi Kau.Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaves 115-119).
Abstract also in Chinese.
ACKNOWLEDGMENTS --- p.iii
LIST OF TABLES --- p.iv
LIST OF ILLUSTRATIONS --- p.vi
CHAPTER
Chapter ONE --- INTRODUCTION --- p.1
Chapter TWO --- THE LITERATURE REVIEW --- p.6
Parametric Models
Nonparametric Estimation Techniques
Chapter THREE --- ANALYTICAL FRAMEWORKS --- p.21
Parametric Models
Nonparametric Models
Chapter FOUR --- EMPIRICAL FINDINGS --- p.36
Data
Estimation Results
Evaluation of Model Performance
Out-of-Sample Forecast and Evaluation
Chapter FIVE --- CONCLUSION --- p.54
TABLES --- p.58
ILLUSTRATIONS --- p.76
BIBLIOGRAPHY --- p.115
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Chang, Mu-Yi, and 張牧依. "Relationship between Convertible Bonds Split Ratio and Short-term Stock Performance." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/7rpd4z.
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碩士南臺科技大學
會計資訊系
106
This article investigates a sample of domestic convertible bond made on the Taiwanese stock markets between 2011 and 2016. We used asset swap option trading volume to calculate convertible bonds split ratio, through convertible bonds split ratio to verify the relationship with the firm short-term stock performance, and analyze whether it is related to the central agency problem. The results indicated that the higher convertible bonds split ratio on the issue date have higher short-term stock performance after issuance. Further, we find the convertible bonds split ratio is positively correlated with the short-term stock performance, mainly from the firms with more serious central agency problems.
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Hsu, Yen-Ling, and 許晏玲. "The Effect of Mutual Fund’s Stock Holding Ratio on Fund Performance." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/80752991181056265638.
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碩士大葉大學
管理學院碩士在職專班
103
Open-ended Taiwanese stock from mutual funds from 2005 to 2014 were collected and used as samples to explore the effects on the mutual fund’s investment performance. The data of this study was collected through the rate of Return of Investment, rate of stocking holding, the amount of purchase and redemption, the scale of mutual funds and a variety of expenses. All the data obtained in the survey were statistically analyzed by T-Test and multiple regression analysis.This different empricial data study is to examine the effects of stock holdings and performance in mutual funds.The data analyzed by T-Test and multiple regression analysis,we found the result of higher stock holding ratio and the lower average three- month-ratio of return of investment before financial crisis. The opposite results was after financial crisis. That is lower holding ratios and higher return of investment in mutual funds after crisis.Thus, the stock holding has significant effects on the performance in mutual funds.This study shows that the rate of stock holding influenced the performance in mutual funds significantly.
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Hsiao, Ya-Ling, and 蕭雅玲. "An Analysis on Shiller's P/E Ratio and Stock Reward- the Case Study of Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/jpvt2d.
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碩士國立雲林科技大學
財務金融系
102
Price-earning ratio is not only been widely applied by external financial information users to evaluate security values for investment targets but also an important indicator to detect the market efficiency for academic studies. Robert J. Shiller brought up the Cyclically Adjusted Price Earing Ratio, called CAPE ratio or P/E 10 in order to improve the meansure problems. Originally P/E ratio is calculated by the historically accounting data for the Earning Per Share. Thus, financial information users can get the real situation without the interference of the business cycle. Under the framework of the rational expectation behind the efficient market hypothesis, the empirical evidence found most financial mature markets confirming the lower P/E ratio, the worse present market value. But the equity valuation is expected to be better in the future. Under 10% significance level, the result of the analysis on the stock reward and Shiller’s P/E ratio of the TAIEX adjusted by CPI from Jan. 1999 to April 2014 is as the following: i. Both of the covariance and correlation between TAITX monthly stock reward and Shiller’s P/E ratio are positive. While the stock reward upward or to the recently high, the ratio goes up as well. ii. The result is the same as what the public expected. The multiplicative inverse of P/E ratio is the expected future stock return. This also comfirms the so-call market timing, to sell at high P/E ratio and to buy at low. iii. The correlation coefficient of TAITX monthly stock reward and Shiller’s P/E ratio is approx. 0.12, which is far below 1. It means the Shiller’s P/E ratio is not the major factor to TAITX monthly stock reward. It is not suggested the information users simply make their decisions only from it. iv. The covariance and correlation coefficient of Shiller’s P/E with the TAIEX retward is higher than those of traditional P/E. v. From different period time average of Shiller’s P/E ratio, the monthly one is most connectted with the stock reward amoungothers. The standard deviation of the monthly Shiller’s P/E ratio is aslo the highest amoung them. The lowest one is the yearly Shiller’s P/E ratio.
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Lai, Hong-Yu, and 賴泓宇. "The Influence of Cross-Strait Stock After Shanghai-Hong Kong Stock Connect- Application of Variance Ratio Test." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/23exew.
Full textAbstract:
碩士淡江大學
財務金融學系碩士班
104
Since 2010, after the signing of ECFA, cross-strait economic and trade exchanges between the speed dramatically accelerate cross-strait trade volume share of Taiwan''s total trade amounted to 39-41%, showing that mainland China is China''s most important trading partner, next to the body in neighboring Taiwan China''s economic strength has a pivotal position in the world which will be aimed at Taiwan, China analyze the impact on cross-strait stock market and overall economy after the Shanghai-Hong Kong stock Connect through variance test mode. In this study, after Shanghai and Hong Kong through the use of traditional variance ratio respectively, the Shanghai Securities A shares, Taiwan stock index returns do serial correlation test, test whether the efficiency of the Chinese market fluctuations and trading posts on both sides after the Shanghai and Hong Kong stock price through results which is displayed in the full sample, either homogeneous or heterogeneous substance under the assumption that p-value not significant, indicating that the null hypothesis is rejected random walk, the results of this sample revealed the average market and to compare, the farther the distance the greater the difference between the average therefore, to enhance market efficiency is not much, in the second sample, the ratio of the number variations Shanghai Securities a-share stock price index and Taiwan weighted index is the highest price and the stock index to do test found that both Taiwan or China, in Shanghai and Hong Kong after the pass variance ratio is increased, Z value on the Shanghai a-share index portion is reduced, on the Taiwan stock index is increased.
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Chang, Po-Ya, and 張博雅. "An Empirical Study on the relationship between Firm Size, Price-to-Earnings Ratio, Price-to-Book Ratio, Price Sales Ratio and Taiwan stock returns." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/49424594190978024695.
Full textAbstract:
碩士崑山科技大學
國際商務與金融研究所
105
This study examines the relationship between the firm size, price-to-earnings ratio, price-to-book ratio, price-to-sales ratio and stock returns in Taiwan market. The main results are as follows: 1. In single-variable investment portfolio, the stock return of the electronic technology stock is the highest in top 20% firm size. The stock return of firm size between 80%-100% is the lowest. In addition, the average returns of stocks of portfolio of top 20% price-to-earnings ratio, top 20% price-to-book ratio and top 20% price-to-sales ratio are the highest. 2. In two-variable investment portfolio, it is found that the stock return of the top 20% firm size and top 20%price-to-earnings ratio portfolio is positive and the highest. The average return of the firm size between 80%-100% and the price-to-earnings ratio between 80%-100% portfolio is underperforming. In addition, the average return of top 20% firm size and top 20% price-to-book ratio portfolio is positive and the highest. The average returns of firm size between 80%-100% and the price-to-book ratio between 80%-100% portfolio is underperforming. Also, the average return of top 20% firm size and top 20% price sales ratio portfolio is positive and the highest. The average return of firm size between 80%-100% and top 20% price sales ratio portfolio is underperforming. In sum, in one-variable investment portfolio, the bigger the firm size, price-to-earnings ratio, price-to-book ratio and price sales ratio, the higher the average return. On the other hand, in two-variable investment portfolio, the bigger the firm size & price-to-earnings ratio, firm size & price-to-book ratio, and firm size & price sales ratio, the higher the average return.
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Pan, Lee-Yu, and 潘麗玉. "Determinants of Stock for Stock Exchange Ratio for Taiwan Financial Holding Companies—from Financial and Non-financial Factors." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/53704524339074997707.
Full textAbstract:
碩士中原大學
會計研究所
95
The objective of this study is to discuss rationalization and factors of influence against the stock exchanging ratio for mergers of the financial holding industry in Taiwan. In order to solve the problems of excessive financial institutes and bad bank debts in Taiwan, the Government has allowed the financial holding industry to expand its scope of financial operation, which can now provide clients with an integrated financial service and induce effectiveness of a composite operation. The successive legislation of the “Financial Institute Merger Act” and “Financial Holding Company Act” have established a foundation of legal sources for accelerating mergers of financial institutes in Taiwan and removing legal barriers against mergers of financial institutes. However, under the situation where most subsidiary companies join financial holding company via share exchange, and the basis for determining exchange ratio has not been clearly revealed in the open information, it would be frequent to experience doubts in objective reasonableness upon credit method adopted by both parties, ease of merging the scope of differences, reasonable protection of the interests of shareholders and investors, as well as dispute on reasonableness of the stock exchange ratios. Among numerous factors affecting negotiation between mergers, this study considered 5 financial variables, 4 major non-financial factors (i.e. “Branch”, “Scale of board of directors”, “Ability and concept of leading team” and “Human resources”), and 7 non-financial variables, in order to discover the influential factors of stock exchanging ratio among financial holding companies in Taiwan, via Regression Analysis. From the empirical results of 41 samples, it is discovered that: (1) The stock exchange ratio is significantly positively influenced by 5 variables, namely, the net value per share in financial aspect, together with availability of branches, level of highest academic achievement of directors and general managers, level of highest academic achievement of employees, and average age of employees. (2) The interpretation power of Model 1, which includes both financial factors and non-financial factors, is only greater than models containing only financial variables or non-financial variables. (3) The interpretation power of Model 3, which contains non-financial variables against exchange ratio, is much greater than Model 2, which contains financial variables. From here, it can be seen that the 4 factors of non-financial portion do not only involve the internal values of the exchanging company and values of leaders and employees towards determination of exchange ratio, but also include the external information value of the company. (4) The result of a less obvious interception coefficient for the model indicates that when financial and non-financial variables of models in this study are simultaneously considered for exchange ratio, the merging company and merged company have not shown payment of significant premium or discount in the merging price.
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Huang, Chien-Hsun, and 黃建勳. "Dynamic Relations Between VADO Index, Stock Returns and Turnover Ratio from the Taiwan Stock Market：Based on Firm Characteristics." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/51053877760932474076.
Full textAbstract:
碩士國立臺灣大學
經濟學研究所
102
This paper discusses one of the commonly used investment indicator in the stock market of Taiwan–chip concentration analysis. It uses volume accumulation/distribution oscillator (VADO) to measure the stock chip concentration. Meanwhile the investment combinations of different company characteristics, such as turnover rate, firm size, and price-book ratio, are used to discuss the interaction among the chip concentration index, stock price, and trading activities. This paper collects the daily trading information of stock from early 2003 to the end of 2013. The data are verified using unit root test, Granger causality test, Vector Autoregression (VAR), and impulse response analysis. The conclusions are reached based on the validation. First, the average rate of return, in the descending order is: growth type, low turnover rate, large firm, high turnover rate, weighted index, small firm, and value type. This finding is consistent with the preferred company characteristics of institutional and individual investors. Individual investors prefer high growth stocks, while institutional investors prefer ETF 50 stocks. Moreover, for companies with characteristics of low turnover rate, large firm size, and value type, the chip concentration indicator has reference value and significance to rate of return. Hence, it is feasible that investors can observe the changes of chip value values to determine the changes of stock prices. Moreover, besides large companies, the chip concentration indicator of investment combinations of other company characteristics has reference value to stock trading activities. Lastly, not all chip concentration indicators have no explanatory relationship with the stock returns of turnover ratio, it is inferred that the chip concentration indicator cannot be applied to all stocks in the stock market. Hence, the findings of this paper can provide references to stock investors in Taiwan.
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Liu, Cheng-Rui, and 劉程睿. "The Relationship among Turnover Ratio, Trading Volume Volatility and Stock Price Volatility." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/99179065514691273066.
Full textAbstract:
碩士淡江大學
管理科學研究所碩士班
96
Most domestic and foreign literatures involve the behavior between quantity and price volatilities. This research investigates the relationships between price volatilities trading volume volatilities instead of quantity in order to expand the scope of this research. In addition, high turnover ratio is the characteristic of Taiwan stock market, and it means that investors prefer short term investment instead of holding stocks in the long run. Thus, whether the high turnover ratio will cause stock price volatilities is another issue we concern. By employing Fubon ETF underlying stocks from the data period form 2006/09/29 to 7007/09/29, the following empirical results are found as follow: 1.The turnover ratio Granger-cause stock price volatilities positively. It means that high turnover ratio means investors change stocks very often, and then it might lift up the volatilities of share price. 2.Trading volume volatilities will Granger-cause stock price volatilities positively. It means that while trading volume is going up, the stock price volatilities will rise up later. Investors might be careful to trade stocks with higher turnover ratio, since higher trading volume might be involved by huge trading of investment institution, and investors with lots of money. The possible reasons of this kind involving are inside information, and speculation trading, investors should careful in trading higher turnover stocks in order to prevent loss by asymmetric information be.