Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

Comparison between Crisp and Fuzzy Stock-Screening Models

Authors
Chieh-Yow ChiangLin1
1Department of Finance, National KUAS
Corresponding Author
Chieh-Yow ChiangLin
Available Online October 2006.
DOI
10.2991/jcis.2006.33How to use a DOI?
Keywords
stock screening model, fuzzy
Abstract

Academic researchers and practitioners have proposed various stock-screening models that always contain more than one stock selecting rule and corresponding parameters. However, the criteria in traditional screening models employ crisp norms, which are unreasonable in reality. This paper proposes the fuzzy stock-screening model to select stocks in the portfolio. The screening rules consist of those regarding the price-earnings ratio, the earnings growth rate, market capitalization, return on equity, and the price-book ratio. Empirical studies with datum from Taiwan’s stock market compare the performance of the proposed stock-screening models with the conventional one. Empirical results show that the portfolio selected by the proposed model outperforms the portfolio by the conventional models in terms of investors’ expectations.

Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
Series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
10.2991/jcis.2006.33How to use a DOI?
Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Chieh-Yow ChiangLin
PY  - 2006/10
DA  - 2006/10
TI  - Comparison between Crisp and Fuzzy Stock-Screening Models
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SP  - 137
EP  - 139
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.33
DO  - 10.2991/jcis.2006.33
ID  - ChiangLin2006/10
ER  -