Arriving at an optimal portfolio using financial indicators as criteria in the industrial sector of the Philippine Stock Exchange from the period 2005 to 2009
This paper discusses the six financial indicators namely: book-to-market, capital structure, cash conversion cycle, liquidity, company size and return on assets as a criteria for creating an optimum portfolio. This paper aims to evaluate which financial indicators can be significant in constructing...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2013
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/18522 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | This paper discusses the six financial indicators namely: book-to-market, capital structure, cash conversion cycle, liquidity, company size and return on assets as a criteria for creating an optimum portfolio. This paper aims to evaluate which financial indicators can be significant in constructing an optimal portfolio. The study used the quarterly data of Philippine companies from 2005 to 2009. In this study, the researchers used the Sharpe ratio and Jensen's alpha as proxies for financial success. These two ratios are studied on the entire duration of the study simultaneously and the stock selection for the optimal portfolio will be based on this. The data were gathered from the Philippine Stock Exchange and Securities and Exchange Commission and then analyzed by using both portfolio and parametric analysis. |
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