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研究生:黃怡仁
研究生(外文):Huang Yi-Jen
論文名稱:台灣公司特徵對未來經濟活動的預測能力
論文名稱(外文):The Predictive Power of Firm Characteristics on Real Economic Activities in Taiwan
指導教授:郭維裕郭維裕引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:英文
論文頁數:43
中文關鍵詞:市場異常經濟成長率公司特徵流動性
外文關鍵詞:market anomalyGDP growthB/Msizemomentumliquidity
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In this article we examine whether the profitability of trading strategies based on size, book-to-market ratio, momentum, and liquidity can be linked to future GDP growth in Taiwan. Using data from Taiwan Stock Exchange, we find that strategies based on size and book-to-market ratio contain significant information about future economic growth. The predictive ability of these two strategies remains significant after taking the domestic market factor into account. Even in the presence of popular business cycle variables, the strategy based on book-to-market ratio maintains its strong power of predicting future GDP growth. In contrast, there is little evidence to support the hypothesis that the strategies based on momentum and liquidity can predict future GDP growth.

In this article we examine whether the profitability of trading strategies based on size, book-to-market ratio, momentum, and liquidity can be linked to future GDP growth in Taiwan. Using data from Taiwan Stock Exchange, we find that strategies based on size and book-to-market ratio contain significant information about future economic growth. The predictive ability of these two strategies remains significant after taking the domestic market factor into account. Even in the presence of popular business cycle variables, the strategy based on book-to-market ratio maintains its strong power of predicting future GDP growth. In contrast, there is little evidence to support the hypothesis that the strategies based on momentum and liquidity can predict future GDP growth.

1.introduction
2.data description
3.methodology
4.empirical results
5.conclusion

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