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 Strategy – Integrating Broker Consensus to Enhance Foreign Concentration Strategies – QFII Part 2
Boost your quantitative strategy with QFII concentration & broker consensus! Discover how the conc_qfii fusion strategy delivers a 30.12% annualized return in the Taiwan large-cap market.
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.
Insights
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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.
Industry Insights
Taiwan’s Satellite Communication Industry: An Insightful Overview
Satellite communication, offering broader coverage, is seen as a complementary communication method.
Quant Data Science
TQuant Lab RSI Moving Average Strategy – Identifying Reversals in Oversold Conditions
Creating a convergence strategy with the RSI moving average strategy. The RSI is an oscillating technical indicator representing the comparative strength between buyers and sellers in the market.
Quant Data Science
TQuant Lab Loss Aversion Strategy — Average True Range
The Average True Range (ATR) is designed to assess the extent of price fluctuations within a specific period. ATR is commonly utilized as a tool in technical analysis, assisting traders to determine entry points, exit points, and stop-loss levels for loss aversion purpose.
Quant Data Science
Is There an Election Market Trend ? Research on Presidential Elections Using TEJ API
During the election period, the internet is full of election-related news; some even make relevant expectations on the stock market, affecting investor’s sentiment. However, does the so-called “election market trend” really exist? In this article, we will conduct a quantitative analysis on Taiwan stock index in previous presidential elections using TEJ API.