This study uses cluster analysis as the methodology to explore policy of the asset allocation as well as the selection of equities under the multiple-factor asset pricing models.
Based on the data of financial market recorded on Bloomberg from 2000/1/4 to 2012/2/10, the conclusions of this study are summarized as following:
First at all, under the significance level of 5%, P/S ratio should be included in the multiple-factor asset pricing model. Nonetheless, the significance of proxy agent of foreign exchange volatility in terms of 11-day moving average of USD/JPY foreign exchange spot rate, as well as the interest spread in terms of yields on 10-year US government bond subtracting 3-month US treasury bill cannot pass the required significance level.
Second, the rates of stock return as Qualcomm, Intel and Texas instruments in the industry supply chain of technology products, will be positively related to interest spread, with the variable of ¡§Foreign_Volitility¡¨ negatively related to those rates of return as well as sales growth momentum positively related to those.
As far as those rates of stock return 3C brand companies such as Apple, Microsoft, Dell and IBM, the interpreting capability of variable of ¡§Foreign_Volitility¡¨ under the assumptions of market structure in this study, will be mixed, with the interest spread positively related to those returns and P/S ratio generating mixed outcomes.
As far as those equities such as GE, Procter & Gamble, Home Depot, Tiffany, AIG, NIKE, Exxon Mobile Corp, the interpreting capability of variable of ¡§Foreign_Volitility¡¨ under the assumptions of market structure in this study, will be negatively related to stock return except for Exxon Mobile Corp, with the interest spread generating mixed outcomes and P/S ratio positively related to those returns.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0815112-230632 |
| Date | 15 August 2012 |
| Creators | Wu, Hsiu-Kuan |
| Contributors | Jen-Jsung Huang, Pei-How Huang, Chi-Cheng Wu |
| 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-0815112-230632 |
| Rights | user_define, Copyright information available at source archive |
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