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

Date of Publication

2013

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Commerce Major in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Tomas Tiu

Defense Panel Chair

Joseph James F Lago.

Defense Panel Member

Alfredo Santoyo
Rodolfo Garganera

Abstract/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.

Abstract Format

html

Language

English

Format

Print

Accession Number

TU17221

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

119 leaves : illustrations (some color)

Keywords

Financial institutions--Management

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