Insights
In-depth research and data-driven insights on quantitative finance, factor investing, risk, and ESG from the TEJ research team.
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Fundamental Factor Research: Monthly Revenue Information – part1
The Taiwan equity market possesses a rare institutional advantage globally: under the Securities and Exchange Act, listed companies are required to announce and report their operational results for the preceding month by the 10th of each month (Exception: starting from FY2026, insurance companies and entities with insurance subsidiaries may extend their disclosure deadline to the 15th of each month). This is commonly referred to in the market as "Monthly Revenue".
Factor Research – Tracking Smart Money Footprints via Foreign Institutional Concentration – QFII Part 1
Track QFII ‘smart money’ footprints in Taiwan large-cap stocks! Learn how the Foreign-Institutional Trading Concentration (conc_qfii) factor predicts returns.
Empirical Research on Behavioral Factors in the Taiwan Stock Market: A Case Study of the Share Distribution
In an AI-driven Taiwan stock market, mastering chip distribution (ownership structure) is the key to profitability. This study delves into the Share Distribution data from the TDCC, transforming 15 tiers of shareholding data into behavioral finance factors such as investor attention, opinion dispersion, and retail speculation. By utilizing Fama–MacBeth two-stage regression and the alphalens-tej quantitative tool, we precisely validate the predictive power of psychological biases on stock returns, providing investors with actionable Alpha strategies and robust risk management solutions.
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Market Knowledge & Data Guides
Data Analytics in Stock Market: the Power of Data-Driven Investing
Data analytics in the stock market plays a vital role in understanding market dynamics, making informed decisions, and optimizing investment strategies. This process involves deep analysis of extensive datasets to extract market trends, actionable insights, and predictive indicators. It’s the key to forecasting market movements, identifying investment opportunities, and managing risks with a data-driven approach.
Market Knowledge & Data Guides
Mastering M&A Valuation: Key Strategies for Accurate Assessments
In business, mergers and acquisitions (M&A) serve as catalysts for growth, transformation, and enhanced capital market dynamics. For a company, M&A is a strategic decision that can create significant value for business by combining complementary assets, expanding market share, or achieving operational efficiencies; in other words, to achieve synergy.
Quant Data Science
TQuant Lab KD Indicator Strategy: Exploring Stock Price Reversal Timing?
The KD Indicator is a practical and widely used tool in technical analysis. It’s primarily used to determine the short-term strength of stock prices and potential reversal timing.
Quant Research
Should we Buy Measuring Stocks? Backtest performance of measuring stocks
This article selects disposal stocks as investment targets and uses TQuant Lab to conduct backtest performance analysis of buy, sell, and hold targets to confirm whether the investment strategy of popular stocks is a profitable and well-performing target.
Quant Research
Is There an Olympic Market Trends? Analyzing the market trends of Taiwanese stocks and industrial stocks during the Olympic Games Using TEJ API
By analyzing the stock price performance of the market and related industries during the past three Olympic Games, we can reveal the Olympic market trends of the stock market during the events.
Quant Research
Empirical Analysis of Retail Investors Trading Behavior in the Taiwan Stock Market
In the Taiwan stock market, retail investors account for the highest proportion and have the highest trading volume in the market. This article uses factor analysis to delve into the relationship between retail investor trading behavior and stock expected returns.
Factor Investing
Price Momentum Factor Strategy: The Market Favors the Strong
This momentum factor strategy utilizes the concept of momentum factor: “stocks with good past performance are likely to perform well in the future, and vice versa” to simulate backtesting and to verify the profitability of “the strong get stronger, and the weak get weaker” in the Taiwan stock market.
Industry Insights
An Introduction to IFRS S1！Align quantitative method with ESG
Greenwashing refers to companies trying to gain public trust by claiming to have environmental, social, and corporate governance (ESG) contributions or making carbon reduction declarations, but taking little action. To prevent such behavior and to strengthen corporate focus on sustainable ESG disclosure, the International Financial Reporting Standards Foundation (IFRS Foundation) has developed a globally applicable set of sustainability disclosure standards with an accounting foundation—the IFRS Sustainability Disclosure Standards. In this article, we will start by introducing the IFRS Foundation, and then delve into the main content of the IFRS S1 as well as how Taiwan aligns with international sustainability disclosure standards.
Event & Alternative Signals
TQuant Lab Warren E. Buffett’s Business Investment Rules
This article selects five critical stock selection criteria from Buffett’s Business Investment Rules. From utilizing TejToolAPI to fetch financial data and screen targets to using TQuant Lab to backtest investment risks and performance, we will explore Buffett’s investment style and appreciate the ability of Business Investment Rules to generate excess returns.
Quant Research
“Block Trades” as Warning Signals? Analyzing Insider Transfers and Changes in Stock Prices Using TEJ API
By analyzing the motives behind insider block trades, we aim to explore the relationship between stock prices and insider transfers.
Industry Insights
2024 New Independent Director Regulations hits the road! What impacts may be led to?
To strengthen the duties of boards and enhance the sustainable value of enterprises, TWSE and TSE amended the “Corporate Governance Best Practice Principles for Listed and OTC Companies”. Starting from 2024, the new framework mandates that at least a third of the board seats in listed and OTC companies must be held by independent directors, with a maximum of three consecutive terms. By 2027, this requirement will be applied to all listed and OTC companies.
Market Knowledge & Data Guides
Insights into Investment Information Sources: Guiding Financial Decisions
In the realm of financial analysis, understanding the sources of investment information is paramount. Discover where creditors and investors obtain crucial data to make informed decisions about a company. Explore the significant role of investment information sources in quantitative investment analysis, shaping the landscape of informed financial decisions.