Combining VIKOR-DANP model for glamor stock selection and stock performance improvement

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/29237

Title:	Combining VIKOR-DANP model for glamor stock selection and stock performance improvement
Authors:	Shen, Kao-Yi Yan, Min-Ren Tzeng, Gwo-Hshiung
Contributors:	財務金融學系
Keywords:	Stock selection Growth stock investing Fundamental analysis (FA) Decision-making trial and evaluation Multiple attributes decision making laboratory (DEMATEL) (MADM) VIKOR DEMATEL-based analytical network process (DANP)
Date:	2014-03
Issue Date:	2015-01-27 11:49:37 (UTC+8)
Abstract:	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.
Relation:	KNOWLEDGE-BASED SYSTEMS 卷: 58 頁碼: 86-97 特刊: SI
Appears in Collections:	[Department of Banking & Finance ] periodical articles

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