碩士 / 國立中興大學 / 財務金融系所 / 99 / The purpose of this study is to examine the practicality of F_SCORE proposed by Pitroski (2000) in Taiwan during the financial crisis (2008). In the past, several researches which explore the investment performance of F_SCORE suppose that the economic condition is stable. However, whether F_SCORE can prove investors’ investment performance efficiency in the financial crisis is still an open question. Therefore, in contrast to the investment strategy used by Piotroski (2000), we define the stocks, which the values of F_SCORE are higher than 8 and appear twice during the period from 2005 to 2007, as the winner, and otherwise. Furthermore, we select the winners to construct a winner portfolio for exploring the efficiency of F_SCORE during the financial crisis. The findings of this study are as follows. First, the 1-year raw return of winners is higher than of losers. Second, the adjusted-market abnormal return of winners is significantly positive. Third, the risk of winners is significantly lower than that of losers. Fourth, when we extend the holding period from 1-year to 5-year, the evidence shows that the performance of winners is still better than of losers and market portfolio but the risk of winners is higher than of losers. Finally, we find that the characteristics of winners are small firms, higher holdings of inside directors and higher degree of financial transparency. According to these findings, we conclude that investors can improve their investment performance by using F_SCORE in both stable and volatile economic conditions.
| Identifer | oai:union.ndltd.org:TW/099NCHU5304011 |
| Date | January 2011 |
| Creators | Wen-Yao Lin, 林紋瑤 |
| Contributors | Yu-Cheng Chen, 陳育成 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 35 |
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