碩士 / 東吳大學 / 國際經營與貿易學系 / 102 / This research explores 12 security fundamentals to test the performance in explaining the stock portfolio returns on Chinese SSE A-share market from 2000 to 2013, followed Fama and French（1992）method. In annual changing stock strategy, an equal-weighted portfolio, which is constructed by earning-price ratio, book-to-market ratio, dividend yield, and size effect, can explain stock excess returns. In three times a year changing stock strategy, an equal-weighted portfolio, which is constructed by earning-price ratio, size effect, return on equity, return on aeest, and sales growth rate, can explain stock excess returns. It is obvious that size effect exists in Chinese SSE A-share market. In addition, the performance of three times a year changing stock strategy is better than annually. Comparing with Taiwan and Hong Kong stock market, we find that value investing is available in earining excess returns.
| Identifer | oai:union.ndltd.org:TW/102SCU00321011 |
| Date | January 2014 |
| Creators | Chang, Ching-Min, 張靖敏 |
| Contributors | Chung, Chun-Wen, 鍾俊文 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 114 |
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