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Using DEA and AHP Approaches in Stock Selection Decision: U.S. Internet Companies as an Example
Data envelopment analysis
Analytical hierarchical process
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|摘要:||本研究採取兩種科學方法，分別為「資料包絡分析法 ( Data Envelopment Analysis, DEA）」與「分析層級程序法（Analytical Hierarchical Process, AHP）」來探討美國網路股的選股策略。雖然網路產業經歷了西元兩千年時的泡沫化，但由於此產業具有高度的成長性與獲利能力，仍舊是股市投資人心中的熱門標的。因此建立一套完整且具科學性的網路股選股流程乃為一重要的議題。本研究目的有：一、衡量網路公司的營運效率；二、比較出網路股選股的重要準則；三、排列出最佳的投資順序以供投資參考。結合DEA與AHP發展成一套量化投資工具是為本研究最主要的貢獻，而選出最有效率且最有價值的網路股亦是本研究的另一大貢獻。若投資人、分析師、基金經理人循此架構而行，可彌補其過分依賴歷史資料或直觀判斷等人為失誤，以期能找出最佳投資順序，減少投資風險。
本研究以「美國證券交易所網路股指數（American Stock Exchange Interactive Week Internet）」與「摩根史坦利網路股指數（Morgan Stanley Internet Index）」中的成分股為實證樣本，共選出三十一檔網路股。為了比較成長性，選取了西元2003、2004兩年的資料。實證研究結果綜述如下。
一、在2003年資料中選出四家100％效率的網路股，建議的投資順序為Aquantive Inc.、F5 Networks Inc.、Amazon.Com Inc.與Google Inc.。2004年資料中共選出八家100％效率的網路股，投資順序為E*Trade Financial Corp.、Check Point Tech. Ltd.、Netease.com Inc.、Amazon.Com Inc.、Shanda Interactive、Google Inc., IAC/Inter Active Corp.與United Online Inc.。
The study adopts two scientific approaches, data envelopment analysis (DEA) and analytical hierarchical process (AHP) to research a stock strategy for Internet stocks. Although the “Internet Bubble” once occurred in 2000, Internet stocks still appeal to numerous inventors by their high growth and profits. Therefore, to build a scientific and complete system for selecting stocks is very important. The purposes of this thesis are 1. To measure the efficiency of U.S. Internet companies 2. To compare the important investment criteria for choosing Internet stocks 3. To rank the priority in U.S. Internet stocks for investors to follow. The main contribution of the thesis is to combine DEA with AHP to a quantitative investment tool so that investors can follow the rule to select efficient and valuable US internet stocks. If investors, analysts and fund managers could follow the rule, they can avoid over relying on the history data and making false decisions subjectively so that the best portfolios and the lower risks of investment will be found. The study samples component stocks from two indices, “American Stock Exchange (AMEX) Interactive Week Internet” and “Morgan Stanley Internet Index”, for selecting thirty-one listed companies. To compare the industry growth, the study gathers the data from 2003 and 2004 year. The empirical results are as following: 1. There are only four Internet companies with 100% efficiency in 2003. The priority for investors to invest is Aquantive Inc., F5 Networks Inc., Amazon.Com Inc., and Google Inc. And there are eight Internet companies with 100% efficiency in 2004 that the priority for the investors to invest are E*Trade Financial Corp., Check Point Tech. Ltd., Netease.com Inc., Amazon.Com Inc., Shanda Interactive, Google Inc., IAC/Inter Active Corp., and United Online Inc., in 2004. 2. The average efficiency score increases from 49.59% in 2003 to 67.29% in 2004. It proves that Internet industry has high profits and growth. 3. According to the efficiency and the stock price, the study computes the best investment priority in Internet stocks. Companies chosen by the rule of this study are well-known and have excellent reputation in the market. It means that the results of the study are reasonable.
|Appears in Collections:||科技管理研究所|
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