Contents
Abstract I
摘要 II
誌謝 III
Contents IV
Table of contents VI
1.Introduction 1
2.Literature review 3
3.Model specifications 6
3.1 Model I: Fundamental analysis 6
3.2 Model II: Technical analysis 6
3.3 Model III: Combined fundamental and technical analysis 7
3.4 Determining optimal loadings of the hybrid model (or Model III) 8
3.5 Optimal loadings across firms with high/low earnings management 9
3.5.1 Measures of earnings management 9
3.5.2 Sample segment 10
3.6 Optimal loadings across large/small firms 11
3.6.1 Measure of firm size 11
3.6.2 Sample segment 11
3.7 Optimal loadings across stocks with rise/fall in price 11
3.7.1 Measure of stock price change and sample segment 11
4.Forecasting performance measure 13
5.Data and empirical results 14
5.1 Data 14
5.2 Highbred versus hybrid models 14
5.3 Determination of optimal loading 15
5.3.1 Determining the optimal loading of the hybrid model 15
5.3.2 Determining optimal loading across firms with high/low earnings management 16
5.3.3 Determining optimal loading across large/small firms 17
5.3.4 Determining optimal loading across stocks with rise/fall in price 17
6.Conclusions and discussion 19
References 20
Table of contents
Table 1.Variable definition 23
Table 2.Summary statistics of variables 24
Table 3.Parameter estimates of alternative model specifications for stock return rates 25
(a) Model I: Fundamental analysis 25
(b) Model II: Technical analysis 25
(c) Model III: Combined fundamental and technical analysis 25
Table 4.Performance comparisons of various model specifications for stock return rates 26
Table 5.Optimal loading of the hybrid model (i.e. Model III) 27
Table 6.Optimal loadings across firms with high/low earnings management 28
Table 7.Optimal loadings across large/small firms 29
Table 8.Optimal loadings across stocks with rise/fall in price 30
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