Application of The-sum-of-the-parts Method to Forecast Taiwan Stock Market Returns 姚冠宇、賴奕豪, 鄭孟玉
E-mail: [email protected]
ABSTRACT
This thesis applies the sum-of-the-parts (SOP) forecasting method proposed by Ferreira and Santa-Clara (2011) to firm-level equity returns in Taiwan. SOP method decomposes total equity returns into three components (dividend-price ratio, growth rate of net worth and growth rate of price-net worth ratio), makes the forecasts separately for those three components and then sum up the forecasts of each component into the forecast value for total equity returns. We investigate the improvement of forecasting accuracy as measured by mean absolute percentage error (MAPE) and mean square error (MSE) against the historical-average (HA)
forecasting method across industries and over 1983/12-2011/12. The empirical evidence shows SOP method with only two components of dividend-price ratio and growth rate of net worth dominates HA method in all cases across industries and over periods with the largest improvement up to 27.9% in average. The results also show that SOP method provides stable forecasting performance compare with HA method during turbulent periods such as Taiwan stock market bubble, Asian financial crisis, Dot-com bubble and sub-prime crisis.
Keywords : Stock Returns、Forecasting、The-Sum-of-the-Parts Method Table of Contents
中文摘要……… ii 英文摘要……… iii 誌 謝……… iv 目錄……… v 圖目 錄……… vi 表目錄……… vii 第一 章 緒論……… 1 第二章 文獻探討……… 5 第三章 研究方法 第一節 報酬率公式拆解……… 10 第二節 SOP預測方法………
……… 11 第四章 實證結果 第一節 研究期間、資料處理及資料來源……… 14 第二節 實證結果……
……… 15 第五章 結論……… 23 參考文獻…………
……… 25 附錄……… 30 REFERENCES
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