- 學位論文
現金流量投資組合擊敗市場可行性評估
Availability of beat the market of per share cash flow portfolio
摘要
透過相關文獻可知，每股盈餘是一般台灣投資人投資國內股市之最主要參考指標，但在國際間另項常被採用的則是現金流量式評價模型。而本研究則嘗試以每股現金流量為考量，評估其是否可以成為另項在實務面上具參考價值之指標。我們於台股上市、櫃公司各季之季報公布時，以每股現金流量為主，建構出每股現金流量型與每股現金流量變動值型之兩式投資組合，並利用買進持有的策略，將其所獲得的投資報酬率與整體市場暨開放式股票型基金作績效進行評比，嘗試著找出可實用的投資策略，進而評估其擊敗市場的可行性。而本研究所獲得的實證結論如下： 一、 一般化投資組合 (一) 相對績效 兩式投資組合與整體市場、開放式基金進行績效評比後，以每股現金流量型投資組合表現最佳。 (二) 絕對績效 兩式投資組合與整體市場、開放式基金進行績效評比後，仍以每股現金流量型投資組合的報酬率表現最為突出。 二、 基金化後投資組合 (一) 相對績效 統計出基金化後的兩式投資組合，分別在各研究期間內佔開放式基金績效排名前20%的次數，以每股現金流量型投資組合經基金化後的表現較好。 (二) 絕對績效 計算出兩式投資組合經基金化後與開放式股票型基金，分別各自在研究期間的期間報酬率後，可以發現以每股現金流量型投資組合經基金化後的績效表現較佳。 彙總後，每股現金流量型投資組合的投資績效確實地能擊敗市場，並與所有開放式股票型基金績效比較後，其表現相對上是良好的。
並列摘要
Through the relevant literature, we can find that the earnings per share is the most important variable for investors in Taiwan to invest in the stock market. But in international financial markets “cash flow” evaluation model is another be adopted theory. In our research, we utilize TSM's listed companies announce the financial reports at each quarters. We construct two appropriate portfolio types of cash flow per share and changes in the value of cash flow per share. We calculate rate-of return of both cash flow portfolios, to compare the performance with the market and domestic open-ended mutual funds. We try to find available investment strategy in order to assess its feasibility to beat the market. The main empirical study findings as below: 1. Generalized Investment Portfolio (1) Relative Performance After examining with the market and open-ended mutual funds, we find the performance of the cash flow per share portfolio is the best in the two portfolios. (2) Absolute Performance By evaluating with the market and open-ended mutual funds, we can see that the performance of the cash flow per share portfolio is still the best in the two portfolios. 2. The Fundalization Investment Portfolio (1) Relative Performance By summarize the number of the fundalize portfolio,s performance with the domestic open-ended mutual funds in the top 20%, we find the cash flow per share portfolio is better in the two portfolios. (2) Absolute Performance After calculating the rate-of-return of the two fundalization portfolios and the domestic open-end mutual funds, we can find the cash flow per share portfolio is better than the others. After all, the performance of cash flow per share portfolio can really beat the market. As compared to the open-ended mutual funds, it,s performance is also well done.
參考文獻
延伸閱讀
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