Insights
In-depth research and data-driven insights on quantitative finance, factor investing, risk, and ESG from the TEJ research team.
Trending
Editor's picks from our research desk.
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.
Insights
Browse all articles by topic.
Market Knowledge & Data Guides
What is the Look-ahead Bias ?
Look-ahead bias is the phenomenon that unconsciously uses unavailable or unrevealed data in analyzing or simulating historical events. It exists in the processes of making decisions or evaluations which use information or data that was unknown at that time. Look-ahead bias may cause distortion and misleadingness of the result because it violates the principle of using only information available during analysis. It could emerge in any field, such as finance, economy, and data analysis, and influence investment strategy, backtesting of the trading system, and performance grading.
Industry Insights
AboCom (2444.TW): Pioneering Transformation through Multiple Generations of Leadership
Once a dominant player in the global PCMCIA market, AboCom lost its core competitiveness due to a market misjudgment. Furthermore, it recently involved in an unconventional transaction…
Quant Data Science
Options Pricing with Monte Carlo Simulation
Monte Carlo simulation has been widely adopted in the field of financial research. In 【Quant(19)】Prediction of Portfolio Performance, we have introduced how to use Monte Carlo simulation for stock price prediction. In today`s article, we will extend the application to more complex options pricing. In 【Quant】CRR Model and 【Quant】Black Scholes model and Greeks, we respectively used the principles of binomial trees and the Black-Scholes formula to calculate theoretical prices of options. These articles also explained many fundamental concepts related to options. For those who have a limited understanding of options, it is recommended to read these two articles first before continuing with the current one. In the subsequent sections, we will demonstrate how to use Monte Carlo simulation to predict stock prices. We will then extend the discussion to pricing European options and finally introduce some variance reduction techniques to assist us in using Monte Carlo simulation.
Industry Insights
Analyzing the Current State and Trends of Taiwan’s Networking Communication Industry
Behind Taiwan’s Networking Communication industry’s flourishing development, what fuels this growth, and what is industry ecosystem like?
Market Knowledge & Data Guides
Survivorship Bias
Highlights Preface Survivorship bias refers to a type of error in research or observation where only the successful or surviving entities or events are considered, while the failures or disappearances are ignored or excluded. This bias can lead to a misunderstanding of the overall situation because observing only the successful or surviving entities may not […]
Industry Insights
Battle for Control in Taiwan: Cases of TaiShan and Shin Kong Financial
The ongoing battle for control in Taiwanese companies has been escalating. Let’s take a look at the two renowned cases!
Industry Insights
Unprecedented Inverted Yield Curve Spurs Popularity in Bond ETFs
How does an inverted yield curve cause a rise in bond ETFs? Do you know how Bond ETFs works before you put your money in?
Quant Research
【Quant】PE ratio Analyzing
Using PE ratio to assess current stock price Keywords: PE ratio, EPS, visualization Highlights: Preface: The PE ratio is a typical indicator that evaluates the reasonability of the stock’s price. The formula is PE ratio = (Price Per Share) / (Earning Per Share). The higher PE ratio indicates the overestimated price of the stock, which […]
Quant Data Science
Employee Turnover Rate Prediction
Employee turnover rate refers to the fluctuation in human resources within a company during a specific period due to employee departures and new hires. This metric is a crucial concept for assessing the stability of both the organizational structure and the workforce within a company. A lower turnover rate indicates that there are relatively fewer personnel changes, reflecting stability and continuity within the organization. Conversely, a higher turnover rate may imply organizational issues, job dissatisfaction, or other factors that can have a negative impact on company operations and the work environment. Monitoring employee turnover rates helps companies understand and evaluate the effectiveness of their human resource management strategies. It enables them to take appropriate measures to improve employee retention and satisfaction, ensuring long-term stability and growth for the organization. Predicting turnover rates allows companies to better plan and manage their human resources, reduce costs, increase talent retention, and enhance organizational effectiveness.
Industry Insights
An Upcoming ESG Trend in Taiwan: Linking ESG Metrics to Executive Pay
The linkage between executive pay and ESG metric will become new criteria in Corporate Governance Evaluation System! Therefore, linking ESG metrics to executive compensation has become a key focus of ESG in Taiwanese companies.
Quant Data Science
【Quant】CRR Model
Programming CRR model for calculating options theoretical price. Keyword: CRR model, Options, Call, Put Highlight Preface In our previous article — 【Quant】Black Scholes model and Greeks, we introduce how to program the Black Scholes model. However, Black Scholes has its disadvantages and can not calculate the theoretical price for American options. Therefore, three years after […]
Industry Insights
Where are the Happiest Companies? Exploring the Salary & Violation of Labor Law Among Taiwanese Companies.
Prioritizing employee rights and welfare is essential for creating a thriving workplace!