Knowledge Discovery and Data Visualization for Taiwan Stock Market: Using F-Score Analysis

摘要

This study examines the performance of stocks investment portfolio by using accounting information. The sample is selected from Taiwan Economic Journal to test F-SCORE cooperating with Dividend-to-price ratio, Earnings-to-price Ratio and Book-to-Market respectively. The sample period is from May, 2008 to May, 2018. The findings of this study are as follows. First, if we choose Dividend-to-price ratio, Earnings-to-price Ratio or Book-to-Market to distinguish from the value and growth portfolio, the value portfolio is significantly better than the growth one. Second, if we choose F-SCORE to distinguish from high and low score, the high score portfolio is significantly better than the low score one. The result showed that when the investor use Dividend-to-price ratio, Earnings-to-price Ratio or Book-to-Market together with fundamental financial information, they could become more profitable or more effectively improve the performance.