Title page for etd-0530115-113307


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URN etd-0530115-113307
Author Hsin-Yi Yang
Author's Email Address No Public.
Statistics This thesis had been viewed 5568 times. Download 11 times.
Department Finance
Year 2015
Semester 1
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title FCF Value and Momentum Investing: Evidence from Taiwan Stock Market
Date of Defense 2015-06-27
Page Count 51
Keyword
  • efficient market hypothesis
  • momentum strategy
  • free cash flow model
  • disposition effect
  • back test
  • Abstract This study uses the latest information about company’s monthly revenue and financial report to the free cash flow model, FCF, trying to investigate the company’s intrinsic value. In addition, this study also combines the FCF model and the momentum indicator to form the strategy which can provide the investor to make decision.
    Free cash flow mainly focus on forecasting two years’ cash flow and the terminal value. In order to analyze the excess return over the Weighted Price Index of the Taiwan Stock Exchange, this study utilizes the back test to observe this model opt for big data.
    Besides, the momentum strategy is based on efficient market hypothesis and behavior finance. The former believing that the high returns are compensation for company’s unique risk, the latter focus on disposition effect and over-reaction. This study uses market data divided into the fundamental and market aspects. Discussing whether adding the momentum indicator to the free cash flow model will enhance the strategies’ performance.
    Applying above mentioned investment strategy from 2012 to 2015, the empirical evidence shows that, consistent to the valuation aspect, holding long term period has excess return. A combined momentum indicator and free cash flow model can enhance the profits, especially by the net profit margin. This phenomenon is more significant in the top 50 market share company. In contrast, the Taiwan stock market isn’t suitable to use only the momentum strategy.
    Advisory Committee
  • Wen-Gine Wang - chair
  • Chung-Jian Huang - co-chair
  • Der-ming Lieu - advisor
  • Files
  • etd-0530115-113307.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2015-06-30

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