| 摘要(英) |
The main purpose of this study is to examine investment performance of stock picking based on typical financial textbooks beyond that guided by Value or Growth Investment. We choose four major areas which including profitability、security、growth and company value for the selection of stocks and check out if excess returns can be obtained. At the same time, we also compare its investment portfolio risk and market risk. The empirical results show that:
1.These 6 stock indices tested by t test at different
investment time periods were significantly different from
the return of selected portfolios and the return of the
market .
2.Portfolios held between one to five years by regression
analysis reveal their returns and their remunerations
were correlated with market return, but not every index
has significant relevance. In the long term, we found the
data obtained in ROE, net profit rate﹑free cash flow﹑
net debt ratio﹑PBR and long-term revenue growth rate
all have the ability to explain the company′s
remuneration. However, the long-term revenue growth rate
was less significant when judging the relevance between
every portfolio return and market return.
3.After the verification and test conditions, we found the
companies which selected by four major areas were able to
beat the market. Moreover, the systematic risk might be
comparable to market risk or lower than the market risk.
In sum, the filters does not guarantee to achieve higher
returns and lower risk. |
| 參考文獻 |
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