以價值型選股策略建構投資組合－以巴菲特和葛拉漢擇股指標為例

Constructing Portfolios According to Value Investment by Screening Indicators Proposed by Buffett and Graham

李欣盈(Hsin-Ying Li)

指導教授 ： 倪衍森

淡江大學/管理學院/管理科學學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.01105

摘要

目前全球景氣放緩、歐債問題仍然未解，致使台股的震盪加劇，選股的困難度大增。然而是否有一些可參考的擇股方式，此為本研究所欲探討的課題。本研究乃採用巴菲特和其師承葛拉漢兩位大師的擇股法則，來做為篩選台股的依據，進而希望能夠藉由大師的智慧，使投資人在台股投資上能夠避免損失，進而能獲致不菲的利潤。本研究以台灣上市股票為研究樣本，並獲致以下重要的研究發現。其一、以巴菲特與葛拉漢法則所篩的股票，除2008年外，其平均報酬率大於零，而且巴菲特所篩選之標的的報酬率亦較大盤為優。其二、就短期績效而言，依巴菲特法則所篩選股票優於葛拉漢，似乎巴菲特的績效有青出於藍而更勝於藍的表現。其三、在探討哪些因素是影響其所篩選標的的績效時，本研究發現總資產週轉率與短期績效之間有顯著關係，亦為當企業資產周轉率提升，應有助於ROE的提升；董監持股比率、大股東持股與擇股的後續績效有所關連。其四、兩位大師擇股的標的，其公司規模與績效呈顯著的正相關，其可能是當公司規模愈大，其資源配置的效益可能較小規模公司為佳。 是以投資大眾或許可以以見賢思齊的方式，參酌大師法則來篩選股票，依據這些投資大師所篩選出來的標的，其表現不俗，而且巴菲特之所以被稱之股神，亦非浪的虛名。

關鍵字

選股模式 ； 投資績效 ； 投資策略 ； 股票績效持續性

並列摘要

Not only the current global economy slow down but also the European debt problem is still unsettled, which result in the turmoil of Taiwan stock markets. Thus, investors might not be easy to screen stocks as investing shares in Taiwan. This study is to investigate whether market participants could select stock according to the screening rules suggested by two famous mentors, Buffett and Graham to avoid losses, and even make profits. By employing the stocks listed in the Taiwan stock markets, we disclose the following findings as shown below. First, the average returns are greater than zero for the share selected according to the rules proposed by Buffett and Graham, except for the year of 2008. Second, the short-term performance of the shares screened by Buffett rules is better than that of the stocks selected by Graham. Third, we disclose that asset turnover ratio positive affect the performance of these selected stocks, which would promote the ROE by better asset management. Besides, we also reveal that the holding ratio of directors and big ten shareholder would affect the subsequent performance of these screened stocks. Fourth, we find that the scales positively affect the bond fund performance, and we infer that the resource allocation for large-scale funds may be better than that of small-scale funds. The results reveal that investor could take the screening rule proposed by Buffett and Graham into account, especially for the rules suggested by Buffett, since the shares screened by the Buffett rule indeed have excellent performance. Thus, no wonder are Buffett called as the best investors in the world.

並列關鍵字

Stock selection mode ； Investment performance ； Investment Strategy ； Stock performance persistence

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