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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Event & Alternative Signals
Revenue Numbers Don’t Lie: How to Gain Insight into Stock Price Movements from Quarterly Reports
How to Gain Insight into Stock Price Movements from Quarterly Reports? This article will use quarterly reports stock selection to filter the top 20% of listed companies in Taiwan by quarterly revenue and implement long positions. Through this revenue-based backtesting approach, we can identify potential strong stocks in the market and verify the effectiveness of this quarterly stock selection strategy with accurate data. It is simple and provides investors with a stable and systematic basis for stock picking, uncovering the hidden signals behind stock price movements.
Market Knowledge & Data Guides
Quantitative Data Analysis Explained: Methods & Finance Uses
What is quantitative data analysis? See how numerical data is analyzed using proven methods, with examples and practical applications in finance and analytics.
Market Knowledge & Data Guides
2 Common DCF Valuations — FCFF and FCFE
In business, managers need a method to assess the value of every decision or project. Hence, valuation is developed to help stakeholders assess the worth of almost everything. It involves determining the fair market value of an asset, company, or investment opportunity. In this article, we will introduce the concept of valuation (DCF) and some common ways to perform valuation in business.
Quant Research
The Momentum Strategy — Does the Trend Remain?
The article delves into the performance of momentum strategy under different take-profit and stop-loss conditions, analyzing how to balance risk and reward in a highly volatile market using actual backtesting data.
Market Knowledge & Data Guides
What Is Odd Lot Trading? TEJ Guides You Through The Basics From The Ground Up
Odd lot trading is all about buying and selling smaller amounts of stock that don’t add up to a full trading unit (usually 1,000 shares). So, instead of needing a lot of money to buy a full unit at once, you can start with a smaller amount of shares. This is super handy for anyone with a limited budget who still wants to get into stock investing!
Quant Research
SuperTrend Strategy: Buy Low, Sell High to Profit from Market Swings
The SuperTrend Indicator is a technical analysis tool used to identify trends in financial markets. It assists investors in determining relative high and low points during market swings, helping them make buy and sell decisions. However, one drawback of the SuperTrend Indicator is its tendency to be less effective during consolidation phases. To address this, we will use the Average Directional Index (ADX) to optimize the SuperTrend strategy in this article.
Quant Data Science
What is a Stock API? A Guide to Quickly Acquiring Taiwan Stock Market Information Using Financial Tools
No matter which brokerage app you use, you can view the historical trading information and real-time market data of various securities on the app. This allows investors to make informed investment decisions based on accurate information. This is possible because the Stock API facilitates smooth data transmission between the market trading system and the brokerage app. In this article, we will introduce what a Stock API is and highlight the three most commonly used Taiwan Stock Market APIs, providing valuable references for investors.
Market Knowledge & Data Guides
What is ESG Data? Its Importance and Key Categories
ESG data is crucial for data-driven decisions, which is why we will focus on its benefits and provide a guide on how to collect ESG data for reports.
Market Knowledge & Data Guides
Alternative Data Explained for Smarter Investing Decisions
Alternative data refers to information from non-traditional sources. This article will explore its advantages and how it can optimize financial decisions.
Market Knowledge & Data Guides
How to Search Data on the Market Observation Post System? Comprehensive Guide to the New Features of the Updated Market Observation Post System
Whether you’re a seasoned expert in the stock market or a beginner just starting to invest, you might be curious about where many stock analysts get their “company information.” Most of this data is obtained from the Taiwan Stock Exchange (TWSE) website and the Market Observation Post System (MOPS). This includes financial statements, the number of issued shares for listed companies, recent dividend distributions, and more. You can even receive real-time updates on significant announcements from listed companies. It’s one of the must-visit websites for investors! As for why the Market Observation Post System exists and how to use its features and functions, let TEJ (Taiwan Economic Journal) explain it all to you!
Quant Data Science
How to Use Python for Algorithmic Trading? A Guide to Understanding the Benefits and Operation of Algorithmic Trading
This article will introduce algorithmic trading with Python, the benefits of using the Python programming language for financial trading, and how to apply it to financial transactions, allowing investors to harness the power of technology to build their ideal investment portfolios.
Quant Data Science
Verifying LSTM Stock Price Prediction Effectiveness Using TQuant Lab (Part 2)
In the first article—Verifying LSTM Stock Price Prediction Effectiveness Using TQuant Lab (Part 1)—we compared the predicted data with the actual data to conduct an initial evaluation of the performance of two trained models (for stocks 2618 and 8615). The results were promising. For a more detailed analysis, you can click the link above to learn more, as we will not go into further details here due to space constraints.