The Value investment and Growth investment are investment strategies of choosing stocks. These two methods are adopted by international financial investment institutions and mutual fund managers. The study is aim to learn when we classify value stock and growth stock by market-to-book ratio and price-earning ratio, if the investment return would be higher than TSEC weighted index. In addition, we seek for a better investment strategy to improve investment performance further. The study also looks into market abnormal effects , such as January effect, size effect¡Ketc, and also discuss about the variables of stocks holding period and debt ratio. The monthly and yearly investment return rates are used to calculate 1, 2, 3, 4, and 5 year accumulated abnormal stock return ratio and evaluate if these variables affect investment performance of value stock and growth stock.
The results are as following:
1. When classification of market-to-book ratio are adopted, the investment return of value stock is higher than growth stock.
2. When classification of market-to-book ratio are adopted, the investment return of low debt ratio stock is higher than high debt ratio stock. However, when classification of price-earning ratio are adopted, it is not obvious.
3. When bull market is formed in Taiwan stock market whose index is still low, invest in value stock could get a good long term investment performance.
4. Regarding the evaluation of risk, the vibration of growth stock is more than value stock. The vibration of TSEC weighted index is the least.
5. The January effect exists in Taiwan stock market. However, the size effect is not obvious.
6. TSEC weighted index and the Dow Jones Industrial index affect the investment return of value stock and growth stock; the TSEC weighted index, value stock and growth stock are positively correlated. The Dow Jones Industrial Index, value stock and growth stock are negatively correlated.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0802107-225338 |
| Date | 02 August 2007 |
| Creators | Yang, Ching-haur |
| Contributors | Yih Jeng, Hsioujen Kuo, Jen-Jsung Huang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0802107-225338 |
| Rights | off_campus_withheld, Copyright information available at source archive |
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