Price-to-Book Ratio Strategy and Market States

Price-to-Book Ratio Strategy and Market States

李丁文(Ting Wen, Lee)

指導教授 ： 陳安行

國立中正大學/管理學院/財務金融學系/碩士(2013年)

摘要

本篇研究測試股票的市價淨值比是否會影響股價的報酬率以及以市價淨值比所建構之投資組合報酬率。本研究使用四種模型來測試使用市價淨值比策略所建構的投資組合是否有顯著的超額報酬。並且列出不同市場情勢下的這些投資組合的報酬率。最後，本研究發現市價淨值比介於1附近的股票在向上的市場情勢有顯著的超額報酬，但是在向下的市場情勢大部分都無法獲得顯著的超額報酬。

並列摘要

In this study, I test whether the price-to-book ratio of the stock affects return of the stock, and the profit of portfolios constructed by different price-to-book ratios. I apply four models to test if there is abnormal return for these portfolios constructed by different price-to-book ratios. And presents the profitability of these portfolios on condition of different market states. Finally this study find the stocks whose price-to-book ratios around 1 generate significant abnormal returns at UP market state but most of them can’t generate significant abnormal return at DOWN market state.

並列關鍵字

price-to-book ratio ； market state

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