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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/32852

    Title: 利用統計分析於財務比率篩選臺灣上市上櫃公司
    Other Titles: A study on selecting Taiwan publicly traded companies using statistical analysis of financial ratios
    Authors: 林倫廷;Lin, Lun-ting
    Contributors: 淡江大學數學學系碩士班
    陳順益;Chen, Shun-yi
    Keywords: 財務比率;統計分析;廣義估計方程式;financial ratios;Statistical analysis;Generalized Estimating Equations
    Date: 2009
    Issue Date: 2010-01-11 02:51:49 (UTC+8)
    Abstract: 投資人在投資前須先了解公司的財務狀況,而要取得公司財務資訊,最容易的方法就是參考公司每三個月發表一次的財務報表。本文為利用台灣經濟新報(TEJ)所建立的財務報表資料庫下載資料,計算出財務比率來做資料分析。
    An investor must comprehend a company''s financial reports before investing in the company. It is easy to access the financial information of publicly traded companies in Taiwan through the official financial reports that are published every three months as required by regulation. This study calculates financial ratios and performs statistical analyses using data from a financial reports database, which is established by the Taiwan Economic Journal (TEJ).
    However, it is time-consuming and difficult to draw any conclusion by looking at all the financial ratios simultaneously. This article first standardizes data by using median and mean absolute deviations to eliminate company category differences as well as outlier influence. Then the generalized estimating equations model (GEE) is used to develop a practical selection rule (PSR). Only five ratios are incorporated into PSR: accounts receivable turnover ratio, equity ratio (debt ratio), asset turnover ratio, return on assets, and cash flow ratio.
    The prediction accuracy of PSR is validated and reaches as high as 0.822 (in terms of the traditional rate of accuracy, it reaches as high as 0.960). Thus the PSR can be used as a reliable investment tool.
    Appears in Collections:[數學學系暨研究所] 學位論文

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