英文摘要 |
This research adopts the value investing strategy introduced by Graham (1973) to construct portfolios by selecting stocks with low P/E ratio, comprehensively considering scale effects and B/P ratio, and matching with holding period and risk premium. Further, this research looks for optimal portfolio, duration and risk premium through empirical analysis. The distinctive feature of this research, rather than just discuss the effect of individual index on return, is to adopt the low P/E ratio strategy first, and followed by other picking indices to form multidimensional investing strategies to determine the optimal strategy. The research shows that strategy (3) low P/E ratio + exclusive of large-scale companies + exclusive of low B/P ratio may yield better return on investment. In respect of holding period, the duration of half-year yields the best performance, while portfolio with low risk premium stocks may achieve better return if risk premium is considered. |