產業龍頭股與產業高價股之投資績效評估

Evaluation of the performance between two portfolios: The highest market value Type v.s The highest stock price Type

蘇毓超(Yu-Chao Su)

指導教授 ： 李又剛

淡江大學/商學院/國際企業學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00236

摘要

論文提要內容：
在國內股市裡，產業龍頭股與產業高價股常為政府基金護盤及投資大眾所選擇的標的。本研究將利用台股各季公布財報的時間點，架構出標的持有期別之設定，並針對二十大類的上市、櫃股票，依市價總值以及股價最高兩項標準，作為選股準則，進而建構出龍頭股和高價股兩投資組合，在研究的各期間採用買進持有的策略，透過研究期間的報酬率與整體市場暨國內開放式股票型基金來作績效比較，試著驗證政府基金與一般投資大眾之行為是否有所依據。而再透過散戶版投資組合的建構，嘗試著為一般投資大眾找到明確且實用的投資策略。本文所得到之實證結論如下：

一、一般化投資組合

(一)相對績效
在與整體市場、國內開放式股票型基金比較結果下，得到龍頭股組合在與整體市場績效之比較上表現較好，但與基金報酬率比較時，高價股投資組合之相對績效比龍頭股組合來的好。
(二)絕對績效
在與國內整體市場、開放式股票型基金比較結果下，投資組合績效以龍頭股投資組合報酬率表現的最優異。
(三)法人版與散戶版
用法人版與散戶版作為區分標準，無論是從相對績效抑或是絕對績效的表現來看，得到的結果為散戶版龍頭股組合表現較法人版為佳，而法人版高價股組合的表現比散戶版高價股組合來的好。

二、基金化後投資組合

(一)相對績效
彙總了基金化後投資組合於各期佔基金績效排序前20%之次數後，研究結果發現龍頭股組合基金化後投資組合表現較佳。
(二)絕對績效
計算出龍頭股與高價股兩基金化後投資組合於研究期間之期間報酬率，其中龍頭股組合表現平庸，其報酬率仍差績效最佳的統一大滿貫達41.96%之多;高價股組合表現極糟，這也間接證實了以龍頭股抑或高價股作為護盤標的之作法並不理想。

關鍵字

市價總值最大 ； 股價最高 ； 相對績效 ； 絕對績效

並列摘要

Abstract:
In stock market of Taiwan, stocks with the highest market value and the highest stock price of each industry often are regarded as first choice by government fund and ordinary investors. In this research, we utilize the deadline of quarterly financial reporting to construct two different models of portfolios: the highest market value vs. the highest stock price. Moreover, we will evaluate the performance of two portfolios and compare the two portfolios with the rate-of-return on domestic open-ended mutual funds and weighted stock price index. Besides, we must assess the phenomenon mentioned above is reasonable or not . In the end, for the sake of providing a valuable investment strategy to retail investors, contrast to institutional portfolios, we also establish retail portfolios, The main empirical findings as below：

1. Generalized investment portfolios
(1)Relative Performance
After comparing with the rate-of-return on weighted stock price index, in terms of beating the market, we verify the performance of the highest market value portfolio is better; however, on the part of defeating domestic open-ended mutual funds, the highest market value portfolio is worse.
(2)Absolute performance
By comparing with the market and domestic open-ended mutual funds, we also discover the performance of the highest market value portfolio is better than its counterpart.
(3)Institutional portfolio V.S. retail portfolio
After we sort performance of institutional portfolio and individual portfolio, no matter we utilize relative performance or absolute performance as benchmarks. It is apparent that in the point of the highest market value type, its retail portfolio has preferable performance. Nevertheless, the outcome of the highest market price portfolio is totally opposite.
2. Fundization portfolio
(1)Relative Performance
After summarize the number of fluidization portfolio’s performance which ranking in the top 20%. The highest market value portfolio is a relatively better choice.
(2)Absolute performance
By surveying performance of the two fundization portfolio, the highest market value portfolio shows mediocre rate-of-return. Besides, contrast to the highest market value portfolio, the highest market price portfolio presents extremely awful rate-of-return. It is obviously that if the government tries to hold the stock price index, the traditional strategy which government adopted is to buy the highest market value and highest market price stocks. Our empirical result of showing a poor rate-of-return is not surprised.

並列關鍵字

Market value ； market price ； relative performance ； absolute performance

參考文獻

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