在相關文獻中指出,毎股盈餘為影響個股投資報酬率的顯著變數,有鑑於近年來傳統產業(即非電子業)又再獲得投資大眾青睞之際,本文希望於台股各季公佈獲利的時機分別建構出高獲利、轉機及成長型投資組合,透過買進持有的投資策略,透過相對績效與絕對績效的評核,彰顯它們在實務面上所展現的投資價值,本文所獲致之實證結果如下: ㄧ、上市非電子部份: (一)相對績效 1.大盤上漲時,高獲利投資組合表現較差。 2.大盤、非電子下跌暨大盤勝出時,轉機型投資組合表現較佳。 3.非電子上漲時,所有投資組合均能順利擊敗大盤。 4.非電子勝出時,成長型投資組合表現較佳。 (二)絕對績效 1.大盤上漲及非電子下跌時,成長型投資組合表現最佳。 2.大盤下跌及非電子上漲,暨總報酬率的比較時,轉機型投資組合表現最佳。 二、上櫃非電子部份: (一) 相對績效 1.大盤上漲時,所有投資組合均能順利擊敗大盤。 2.大盤下跌時,高獲利投資組合的表現較差。 (二)絕對績效 不論大盤上漲、下跌暨總報酬率,轉機型投資組合皆表現最佳。
In related literatures, we find EPS(earnings per share)is the predominant variable which significantly affects the rate of return. Because recently traditional industry (non-electronic industry) attracts investors to trade and invest again ,We try to use the quarterly financial report data to establish portfolios of higher profit、turnaround and growth stock. We utilize buy and hold strategy to reveal practical value of portfolios. The main empirical findings are as below: 1. Listing Companies: (1) relative performance a. When market is bull , the performance is higher profit portfolio. b. When market and non-electronic stock index is bear, and market surpass non-electronic stock index, the best performance is turnaround portfolio . c. When non-electronic stock index is bull, all portfolios can beat the market. d. When non-electronic stock index surpass market, the best choice is growth portfolio. (2) absolute performance a. When market is bull and non-electronic stock index is bear, the best performance is growth portfolio. b. When market is bear and non-electronic stock index is bull; if compared with aggregate rate-of-return, the best choice is turnaround portfolio. 2. OTC Companies: (1) relative performance a. When market is bull, all portfolios can beat the market. b. When market is bear, the worst performance is higher profit portfolio. (2) absolute performance No matter bull market is bull or bear and comparing with aggregate rate-of-return, the best is turnaround portfolio.