Browsing by Author "Shen, Kao-Yi"

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An Integrated MCDM Model for Glamour Stock Selection
(2012-01-01)
Shen, Kao-Yi
;
Chen, Vivien Y. C.
;
Tzeng, Gwo-Hshiung
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科技管理研究所
;
Institute of Management of Technology
Stock market is full of opportunity and uncertainty, which is characterized by return and risk. Investors have to utilize their knowledge and experience to explore the available information for selecting stocks with good prospects. Investment professionals mainly utilize available financial information for making evaluation, which is often termed as fundamental analysis. Nevertheless, which financial information (variables/criteria) should be considered and the way for analysis is still inconclusive. Furthermore, while making comparison among a group of stocks, different criteria sometime reveal inconsistent signals. To handle the complexity of financial information analysis, this study proposes an integrated method to deal with the glamour stock evaluation problem. The method is based on an examined financial model. In the first stage, the weights of criteria are obtained by DANP method, and the second stage integrates the influential weights with expert's assessment for each criterion to complete the modified TOPSIS based on influential network relation map (INRM) for making decision in improvement direction. This study provides an empirical case for 5 real stocks in the Taiwan market as example. The suggested ranking result generated high correlation with the 5 stocks' subsequent holding period returns, which indicates the usefulness of the proposed method.
Combining VIKOR-DANP model for glamor stock selection and stock performance improvement
(2014-03-01)
Shen, Kao-Yi
;
Yan, Min-Ren
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Tzeng, Gwo-Hshiung
;
科技管理研究所
;
Institute of Management of Technology
This study proposes a multiple attributes decision making (MADM) method for solving glamor stock selection problem based on fundamental analysis. Traditional analyzes rely on choosing key financial ratios in making comparison, or by observing the trends of change in various financial variables (also termed as criteria or signals in this study). However, most of the criteria for stock selection have interdependent/interactive characteristics. In practice, investors often have to make compromising decisions when target stocks indicate conflicting performance outcomes in different criteria. Traditional methods have difficulty in making decision while facing inter-dependent criteria and compromise alternatives. Thus, this study proposes a combined MADM method to retrieve financial experts' knowledge for glamor stock selection. The proposed method not only helps to identify the ideal glamor stock, but the pertaining insights may also be used for the management teams of glamor stocks to prioritize their improvement plans. In addition, this study provides an empirical case in analyzing five glamor stocks of semiconductor industry in Taiwan. The result indicates that the proposed method for glamor stock selection is effective and provides meaningful implications for investors and management teams to refer. The selected top ranking stock consistently outperformed the other four glamor stocks in 32 month and 44 month holding periods from May 2009 to December 2012 with statistical significance, which indicated the effectiveness of the proposed model. (C) 2013 Elsevier B.V. All rights reserved.