標題: Combining VIKOR-DANP model for glamor stock selection and stock performance improvement
作者: Shen, Kao-Yi
Yan, Min-Ren
Tzeng, Gwo-Hshiung
科技管理研究所
Institute of Management of Technology
關鍵字: Stock selection;Growth stock investing;Fundamental analysis (FA);Decision-making trial and evaluation;laboratory (DEMATEL);Multiple attributes decision making;(MADM);VIKOR;DEMATEL-based analytical network process;(DANP)
公開日期: 1-三月-2014
摘要: 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.
URI: http://dx.doi.org/10.1016/j.knosys.2013.07.023
http://hdl.handle.net/11536/24301
ISSN: 0950-7051
DOI: 10.1016/j.knosys.2013.07.023
期刊: KNOWLEDGE-BASED SYSTEMS
Volume: 58
Issue: 
起始頁: 86
結束頁: 97
顯示於類別:期刊論文


文件中的檔案:

  1. 000333999000010.pdf