以群集分析法研究每季股票類型的變化

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姓名

胡佑卓(Yu-Cho Hu) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

以群集分析法研究每季股票類型的變化
(Discovering ofQuarterly Equity Styles with Clustering)

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摘要(英)

There is growing evidence that equity market segmentation is not confined to the United States. Many of the market anomalies that originally gave rise to the concept of style in the U.S. have also been observed in the stock markets of other countries. Furthermore, non-U.S. stocks whose issuing companies have characteristics similar to those that define U.S. growth and value companies also appear to produce different risk-adjusted average returns for long periods of time. This evidence, as well as the growing emphasis on global diversification in general, underscores the need for a system of accurate global equity style indices.
The important distinguishing features of this paper is:
We measure growth and value with three and four variables, respectively, not just book to price, or EPS. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiate these two styles.
We measure growth and value with eight and five variables, respectively, not just book to price. Measuring growth and value with multiple and mutually exclusive variables more accurately characterizes and differentiates these two styles. Our multidimensional approach extends the distinction between growth and value beyond the simple distinction between expensive and cheap.

關鍵字(中)

關鍵字(英)

★ quarterly equity styles
★ Clustering analysis

論文目次

Chapter 1 Introduction ...........................................................................- 1 -
1.1 Background.............................................................................................. - 1 -
1.2 Purpose/ Motivation................................................................................. - 2 -
Chapter 2 Related Work.........................................................................- 4 -
2.1 Classification and Characterization of Equity Styles............................... - 4 -
2.1.1 Value Style .................................................................................... - 4 -
2.1.2 Growth Style ................................................................................. - 6 -
2.1.3 Summary ....................................................................................... - 9 -
2.2 Cluster .................................................................................................... - 10 -
Chapter 3 Research Methodology .......................................................- 13 -
3.1 Research Flow........................................................................................ - 13 -
3.2 Variable Identification ........................................................................... - 13 -
3.2.1 The Growth Variables ................................................................. - 14 -
3.2.2 The Value Variables .................................................................... - 16 -
3.3 Data Description .................................................................................... - 17 -
3.3.1 Source of the Data....................................................................... - 17 -
3.3.2 Treatment of missing Data.......................................................... - 17 -
3.3.3 Data Standardization................................................................... - 18 -
3.4 Designs of experiments.......................................................................... - 19 -
Chapter 4 Research Results .................................................................- 20 -
4.1 Experiment 1.......................................................................................... - 21 -
4.2 Experiment 2.......................................................................................... - 21 -
4.3 Summary................................................................................................ - 21 -
Chapter 5 Conclusion...........................................................................- 22 -
5.1 Research Limitation ............................................................................... - 22 -
5.2 Conclusion ............................................................................................. - 23 -
References............................................................................................- 25 -
Appendix 1：Assessing Overall Fit for Value Equity.........................- 27 -
Appendix 2：Assessing Overall Fit for Growth Equity .....................- 43 -

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指導教授

許秉瑜(Ping-Yu Hsu)

審核日期

2005-6-16

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