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URN etd-0722108-200701
Author min-hsiang HSU
Author's Email Address ntust_daniel@yahoo.com.tw
Statistics This thesis had been viewed 5565 times. Download 1283 times.
Department Finance
Year 2007
Semester 2
Degree Master
Type of Document
Language English
Title Stock Selection Performance Analysis using Multi-Factor Model in Taiwan
Date of Defense 2008-06-21
Page Count 119
Keyword
  • market neutral strategy
  • risk factor
  • common factor
  • multi-factor model
  • Abstract  The objective of this study is to discover the sources of securities return in forecasting stock return from different sides of potential factors including fundamental and market information. We test currency sensitivity, earnings variability, earnings yield, growth, leverage, trading activity, momentum, size, value, volatility, capital spending discipline, free cash flow, efficiency, solvency, earnings quality, corporate finance policy and technical 17 factors basing on different factor dimensions in this study. We construct a Taiwan multi-factor model by using the most significant factors for universal stocks according to 0HMSCI Barra’s Multiple-Factor Modeling process, and then apply market neutral investment to build portfolios for performance back-testing.
     As a result, the most significant top five factors in forecasting are respectively “Volatility2,” “Earnings Quality1,” “Trading1,” “Volatility1” and “Growth1” factors. In addition, we find the most useless bottom four factors in forecasting are respectively “Size1,” “Earning Yield1,” “Value1,” and “Capital Spending1.” No matter which strategies we adopt to build the portfolio, the Sharpe ratios of back-testing performance are all higher than the Benchmark, and all bring stable and consistent performance. It actually proves that this model is robust.
    Advisory Committee
  • Kuo,Hsioujen - chair
  • Huang,Jen-Jsung - co-chair
  • Jeng,Yih - advisor
  • Files
  • etd-0722108-200701.pdf
  • indicate accessible in a year
    Date of Submission 2008-07-22

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