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This study investigates the mean-reversion characteristic in firm-specific earnings-to-price ratios (E/P ratios) and proposes two investment strategies based on the detected mean-reversion feature of E/P ratios. We differentiate our study from other research by analyzing firm-specific time series data. The results show that, of the 1,156 nonfinancial firms listed on the Taiwan Stock Exchange and the GraTai Securities Market in 2006, the E/P ratios of 516 (about 45 percent) exhibited a tendency of mean reversion. Furthermore, we design two investment strategies based on the detected mean-reversion feature of firm-specific E/P ratios and report the dominant investment performances. [ABSTRACT FROM AUTHOR]

This paper investigates the investment preference of foreign institutional investors across different industries in Taiwanese stock market. By employing the idea of Fama and French (1992) three-factor model with investment strategy, the investment preference is a function of beta value, company size, book-market ratio and investment strategy. Our empirical results find that foreign institutional investors in all five industries adopt momentum strategies in their investment preference. Next, in each industry, investment preference has a long-run equilibrium relationship with beta value, company size, book-market ratio, and investment strategy. Moreover, in the electronic, financial, and steel industries, foreign institutional investors' investment preference has corrective power in the short-run. Further, the results of the Granger causality test reveal that the investment preference has a uni-directional leading relationship with beta value in the financial and textile industries. While in case of the steel industry, investment preference and beta value have a bi-directional causal feedback relationship. Industries where company size leads investment preference include electronics, finance, and steel. Book-market ratio leads investment preference only in the textile industry. Generally speaking, in each industry, company size is among the predominant factors that foreign institutional investors take into account when making decisions. The influences of beta value and investment strategy on investment preference do not appear significant. That is, the investment strategy under consideration does not make a difference for investment preference. [ABSTRACT FROM AUTHOR]

We employ the constituent stocks of Taiwan 50 as our sample and explore if investors can beat the market by trading them as trading signals emitted by Bollinger Bands (BBs). Results reveal that investors might beat the market by taking long positions on stocks as share prices hit the lower BBs, as significantly shown in the positive abnormal returns. In addition, investors might also take the long positions instead of short positions when share prices reach the upper BBs. Thus, investors should employ momentum strategies instead of contrarian strategies while hitting upper BBs. • Exploring the profitability of Bollinger Bands (BBs) for trading the constituent stocks of Taiwan 50. • Revealing that investors might beat the market by buying stocks as share prices hit the lower BBs. • Proposing that contrarian strategies would be appropriate when share prices reach the lower BBs. • Disclosing that investors may beat the market by buying stocks as share prices rise to the upper BBs. • Suggesting that momentum strategies would be proper when share prices hit the upper BBs. [ABSTRACT FROM AUTHOR]