The relative performance of the PER and PSR filters with stochastic dominance: evidence from the Taiwan Stock Exchange

Chou, Peter Shyan-Rong; Liao, Tung Liang

doi:10.1080/096031096334439

Cited by 9 publications

(6 citation statements)

References 23 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In no case did either a simple P/S or P/E portfolio provide the highest return of the six strategies investigated. Taken together, these results are consistent with previous studies that found the P/S ratio was a better selection criterion than the P/E ratio (e.g., Nathan et al, 2001;Vruwink et al, 2007;Barbee et al, 2008), and inconsistent with previous studies that found the opposite (e.g., Senchak & Martin, 1987;Chou & Liao, 1996). However, our results strongly suggest that reliance upon either single investment criterion is no guarantee of superior investment performance.…”

Section: Resultssupporting

confidence: 69%

Another Look at the Relationship between Portfolio Returns and Market Multiples

Akhbari¹,

Ainina²,

Larsen³

2020

berj

View full text Add to dashboard Cite

Equity investors are always interested in identifying profitable trading strategies. The price-to-earnings ratio (P/E) and price-to-sales ratio (P/S) are two simple metrics that researchers have reported may meet this objective under particular market conditions. During our study period, which is longer in duration than most of the previous works, the performance of portfolios based on P/S dominated those based on P/E. However, portfolios based upon the combination of low P/E and net profit momentum outperformed all other strategies tested. Another way the predictive power of P/E may be improved is by dividing it by a measure of the firm's earnings growth, yielding a composite metric known as the price-to-earnings-to-earnings growth ratio (PEG). This metric has gained the attention of professional investors and researchers. Because many investors prefer P/S over P/E, it is surprising that a counterpart to PEG has not gained similar traction. Our results provide evidence that helps explain why the price-to-sales-to-sales growth ratio (PSG) has failed to gain attention. Our results also indicate that none of these market multiples alone can be employed to provide consistently profitable investment performance.

show abstract

Section: Resultssupporting

confidence: 69%

Another Look at the Relationship between Portfolio Returns and Market Multiples

Akhbari¹,

Ainina²,

Larsen³

2020

berj

View full text Add to dashboard Cite

show abstract

“…With risk-free rate Saturday Levy and Lerman (1985) and Chou and Liao (1996). b The mixture quantile Q b (p) = aQ W (p) + (1 À a)r f calculated for r f = 0.0137% and a = 0.47 as Q b (p) = 0.47Q W (p) + 0.53 · 0.0137%.…”

Section: Discussionmentioning

confidence: 99%

Day-of-the-week effect in the Taiwan foreign exchange market

Chiang

Liao

2007

Journal of Banking & Finance

Self Cite

View full text Add to dashboard Cite

“…The similar calculation can also consult Levy and Lerman (1985) and Chou and Liao (1996) paper. a. C.D.F.…”

Section: Notesmentioning

confidence: 94%

Size Anomaly on the Taiwan Stock Exchange

Liao¹

2005

Journal of Emerging Market Finance

Self Cite

View full text Add to dashboard Cite

This study uses the stochastic dominance theory, which is distribution-free, to examine the relationship between realised returns and firm size for companies listed on the Taiwan Stock Exchange between 1982 and 1999. The findings show that small-cap and large-cap portfolios outperform both medium-cap portfolios and the market, when investors are allowed to borrow and lend money at prevailing risk-free rates. The ‘traditional’ size effect exists only when investors are permitted to borrow and lend money at very high risk-free interest rates. As compared to mature markets, like in the US or UK, our findings also indicate that the widespread use of size in asset pricing is doubtful in emerging markets after 1980.

show abstract

The relative performance of the PER and PSR filters with stochastic dominance: evidence from the Taiwan Stock Exchange

Cited by 9 publications

References 23 publications

Another Look at the Relationship between Portfolio Returns and Market Multiples

Another Look at the Relationship between Portfolio Returns and Market Multiples

Day-of-the-week effect in the Taiwan foreign exchange market

Size Anomaly on the Taiwan Stock Exchange

Contact Info

Product

Resources

About