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題名 Searching for the Sustainably Profitable Stocks: Evidence on S&P 500 Companies
作者 Chiang, Gengnan;Liu, Chin-Chi
貢獻者 財務管理學系
關鍵詞 Institutional Investors; Stock Returns; Stocks
日期 2017-02
上傳時間 11-Jan-2018 15:50:50 (UTC+8)
摘要 Using a balanced panel dataset of 214 firms from S&P 500 during 2001-2012, the main purpose of this study is to search for the possibility of the sustainably profitable stocks by utilizing a nonlinear panel smooth transition regression (PSTR) model. We document three important empirical findings on this study. First, we show that the concurrent total asset growth rate and the change in EPS positively correlate with the market adjusted stock returns, while one-year lagged market-to-book asset ratio (MBA) had negative impact on market adjusted stock returns. Second, we find that most value stocks remained in the same regime over the sample period and the annual average market-adjusted return of these value stocks is 7.80%, approximately 10.56% higher than growth stocks. Third, we further report that 116 valued firms in our sample are most likely to be sustainably profitable stocks over the entire sample period and the annual average market-adjusted return of these stocks is 6.53%. Especially now, with an investment environment that has been somewhat ungenerous in offering returns, we expect these interesting findings provide rich implications for institutional investors to design profitable and effective investment strategies.
關聯 Accounting and Finance Research, 6(1), 89
資料類型 article
DOI https://doi.org/10.5430/afr.v6n1p89
dc.contributor 財務管理學系zh_TW
dc.creator (作者) Chiang, Gengnan;Liu, Chin-Chien_US
dc.date (日期) 2017-02
dc.date.accessioned 11-Jan-2018 15:50:50 (UTC+8)-
dc.date.available 11-Jan-2018 15:50:50 (UTC+8)-
dc.date.issued (上傳時間) 11-Jan-2018 15:50:50 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/115562-
dc.description.abstract (摘要) Using a balanced panel dataset of 214 firms from S&P 500 during 2001-2012, the main purpose of this study is to search for the possibility of the sustainably profitable stocks by utilizing a nonlinear panel smooth transition regression (PSTR) model. We document three important empirical findings on this study. First, we show that the concurrent total asset growth rate and the change in EPS positively correlate with the market adjusted stock returns, while one-year lagged market-to-book asset ratio (MBA) had negative impact on market adjusted stock returns. Second, we find that most value stocks remained in the same regime over the sample period and the annual average market-adjusted return of these value stocks is 7.80%, approximately 10.56% higher than growth stocks. Third, we further report that 116 valued firms in our sample are most likely to be sustainably profitable stocks over the entire sample period and the annual average market-adjusted return of these stocks is 6.53%. Especially now, with an investment environment that has been somewhat ungenerous in offering returns, we expect these interesting findings provide rich implications for institutional investors to design profitable and effective investment strategies.en_US
dc.format.extent 952230 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Accounting and Finance Research, 6(1), 89en_US
dc.subject (關鍵詞) Institutional Investors; Stock Returns; Stocksen_US
dc.title (題名) Searching for the Sustainably Profitable Stocks: Evidence on S&P 500 Companiesen_US
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.5430/afr.v6n1p89
dc.doi.uri (DOI) https://doi.org/10.5430/afr.v6n1p89