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Exploring the Dynamic Model of the Returns from Value Stocks and Growth Stocks Using Time Series Mining

Tue, 04 Aug 2015 05:50:01 GMT

title: Exploring the Dynamic Model of the Returns from Value Stocks and Growth Stocks Using Time Series Mining abstract: This study considered that value stocks and growth stocks are 2-dimensional concepts. We defined the book-to-market ratio as the value factor and the return on equity as the growth factor. We used these 2 factors to divide stocks into 4 types: high-value, low-value, high-growth, and low-growth stocks. Furthermore, we explored the change in stock prices and stock returns for these 4 categories before and after the formation of investment portfolios. We also established a dynamic model showing the returns from value stocks and growth stocks, called the exponential decay model. Finally, we used Taiwan Stock Exchange data to examine effectiveness of the model during the period from 1995-2009. The results are as follows: First, high-value stocks and low-value stocks exhibit a significantly over-reacting phenomenon. Second, high-growth stocks and low-growth stocks exhibit an obviously under-reacting phenomenon. Third, in each current quarter, high-value stocks exhibit the lowest returns; however, in the subsequent quarter, they have the highest returns, and then demonstrate a slow declining trend in the following quarters. These results showed that the stock market can exhibit a dramatic response to extraordinary information and proved that the stock market requires considerable time to correct themselves from an excessive reaction, thus high-value stocks exhibited a higher return. Fourth, in each current quarter, high-growth stocks had the highest return, followed by a rapidly decreasing trend in the following quarters. The t+3 quarter returns were lower than those of low-growth stocks. This result demonstrated that the stock market does not exhibit an adequate reaction, but still remains rather efficient for routine financial information. Finally, regardless of value stocks or growth stocks, exponential decay models could accurately match with the data.

隧道工程

Mon, 16 Dec 2013 01:41:49 GMT

title: 隧道工程 description: 101學年度教學優良教材/教材教案編製

人工智慧的工程應用e-learning教材

Tue, 06 Nov 2012 03:08:05 GMT

title: 人工智慧的工程應用e-learning教材 description: CD

生態保育工法

Tue, 06 Nov 2012 03:07:59 GMT

title: 生態保育工法 description: CD

Engineering Applications with Computers I (Aspect in Numerical Methods)

Sat, 01 Sep 2012 16:31:32 GMT

title: Engineering Applications with Computers I (Aspect in Numerical Methods) description: 教材教案編製

CAD電腦輔助設計e-learning教材

Sat, 01 Sep 2012 16:30:43 GMT

title: CAD電腦輔助設計e-learning教材 description: 教材教案編製

樁基礎設計與簡易一維結構分析於樁基礎耐震設計應用

Sat, 01 Sep 2012 16:29:33 GMT

title: 樁基礎設計與簡易一維結構分析於樁基礎耐震設計應用 description: 教材教案編製

e-learning:建築耐風設計規範及解說

Sat, 01 Sep 2012 16:28:14 GMT

title: e-learning:建築耐風設計規範及解說 description: 教材教案編製