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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Quant Research
Comparison of the fund’s similarity
Investments always come with risks, and not all are inevitable. Through risk diversification, the distribution of different asset types could help investors efficiently manage risk and reduce the influence of market volatility on their portfolios. Today’s article will mainly discuss how to use data, comparing the similarity of funds from a scientific point of view.
Industry Insights
What are Carbon Credits and Carbon Trading? Exploring the Paths of Taiwan’s Net Zero in 2050
Can carbon trading in Taiwan simultaneously promote business profitability and foster a sustainable environment?
Quant Data Science
【Quant】Black Scholes model and Greeks
In 1997, Robert Merton and Myron Scholes won the Nobel Prize in Economics for their Black-Scholes options pricing formula, beating out many other contenders. The Black-Scholes model is still a widely-used option pricing model in the financial industry and by investors due to its excellent mathematical properties, simplicity, and ease of use. Today, we will focus on programming this model and Greeks derived from Black Scholes model.
Industry Insights
PCB Industry Shakeup: Southeast Asia Emerges as New Battleground
How Will Taiwan’s PCB Industry Navigate Geopolitical Winds and Trade Turmoil to Ensure Growth in Exports and Manage Capacity Migration?
Event & Alternative Signals
【Data Analysis】TESG Event Radar Topic Modeling
Today we will use the “TESG Event Radar” data to fulfill topic modeling, which can help us easily and quickly understand the ESG trends or topics of open data of the government, shareholders meeting report, and ESG report.
Industry Insights
Women in Boardroom in 2023: From Critical Minority to Majority
The current trend emphasizes gender equality, and the role of women in the corporate world is increasingly important. This article will explore the changes in the global proportion of female directors, the enactment and implementation of laws in various countries, and the impact of female directors on corporate performance. Through this research, we aim to raise awareness and attention to women in the corporate field, promote more outstanding women to step onto the stage of corporate decision-making and bring more value to enterprises.
Industry Insights
Women in Boardroom: Are They Driving Growth in Taiwanese Companies?
Do female directors in Taiwanese companies drive growth in corporate governance and the ESG score?
Event & Alternative Signals
ESG Investment Portfolio (Part 2)
In the previous article, we introduced TESG’s scoring mechanism in detail and its rating ratio among popular ETFs in China. This article will teach readers how to further use the ESG rating provided by TESG, and use Python to construct a concurrent An investment portfolio with sustainable operations and financial growth potential.
Quant Data Science
GRU and LSTM
Highlights: Preface Profit-chasing and risk-averse are the innate naturals of all investors. One way to achieve these goals is to predict the future stock movement. In the past, time series models such as ARIMA and GARCH are widely used to characterize the trajectory of future stock prices. Nowadays, As the boom of artificial intelligence, […]
Industry Insights
Understanding the Cybersecurity Industry Chain
The business opportunities incurred by cybersecurity crises are much larger than you imagine. But before putting your cash in, do you understand the cybersecurity industry chain and its components?
Industry Insights
A New Way of Incorporating ESG Factors into Business Valuation
In 2014, the CFA Institute in the US began discussing the incorporation of ESG (Environmental, Social, and Governance) factors into investment decision-making and business valuation. However, the measurement involved in each rating varies greatly, thus confusing users. Given this, TEJ released the “TESG Rating Index (TESG Rating) ” on March 31, 2022, a tool for reference in investment and credit. What’s more, we use the TESG Rating to explore its correlation with commonly-used valuation multiples, such as the price-to-book (P/B) ratio and price-to-earnings (P/E) ratio.
Quant Research
Bollinger Bands Trading Strategy
Highlights Difficulties：★☆☆☆☆ Using the Moving Average and standard deviation to construct a Bollinger Band, determine when to buy and sell. Preface Bollinger Band is a technical indicator that John Bollinger invents in the 1980s. Bollinger Bands consist of the concepts of statistics and moving averages. The moving Average(MA) is the average closing price of […]