台灣股市價值投資之實證研究

An Empirical Study of Value Investing in Taiwan’s Stock Market

鄧毓雯(Yu Wen Teng)

指導教授 ： 吳忠敏 ； 劉助

國立臺北科技大學/管理學院/商業自動化與管理研究所/碩士(2010年)

https://doi.org/10.6841/NTUT.2010.00528

摘要

投資分析的方法有很多，有技術分析、基本分析等，無論是強調技術指標的分析方式，或以基本經濟指標、社會指標、產業動態分析…等方式，都是為了找到投資標的。綜觀多次金融風暴所產生的投資風險與損失，價值投資法則卻能在多次危機中免於投資損失，甚至為投資者創造利潤，本研究運用價值投資的原則，找出適合台灣股市的投資組合，並實證價值投資法則在台灣股市的投資是否有效。
本研究以台灣上市公司一般產業中連續三年交易正常的653家企業為研究對象，自2004年至2008年期間樣本資料以主成份分析萃取出財務比率的共同因素，透過標準化分數計算各上市公司價值分數，擷取價值分數較高的前100名企業，運用五種價值投資組合選出投資標的，分長期及短期計算投資報酬再與大盤報酬比較。研究結果得知，以價值投資的五種組成模式的投資組合用於長期投資的績效表現大幅優於大盤的表現，符合價值型投資可長期持有且能獲得利潤的假說。另以價值投資的五項組成模式的投資組合用於短期投資也優於大盤報酬表現，表示以價值投資法來選股用於台灣股市短期或長期投資均可達到好的投資績效。
研究結果得知價值投資的選股準則在台灣股市投資具參考價值，也證明具價值的個股對於景氣復甦指數反轉時會有明顯與領先的反彈現象，可做為投資研究之參考。

關鍵字

企業價值 ； 價值投資 ； 投資組合

並列摘要

There are different ways of investment analysis, such as technical analysis and fundamental analysis which both are used to find out the direction and objective of investments. However, according to the investment result during the financial crisis period, it can be showed that investors could avoid loss even or create profits by value investing. This research is trying to find out the perfect investment strategy under the principle of value investing and proves whether it is feasible or not in the Taiwan stock market.
This research is based on 653 list companies with normal operation in Taiwan from 2004 to 2008 as the general research targets. Afterwards, the top 100 companies will be chose through common factor analysis. Finally, the best investment portfolio will be selected separately by the four kinds of value investing and calculate the long-term and short-term return on investment to compare with the overall status of the stock market. The findings showed that the investment value of the four component model investment guidelines for long-term investment performance is superior to one-year short-term investment performance; Consistent investment value can be held for long term profit hypothesis. But the value of the four investment criteria for the composition of investment has a short-term investment returns times the performance, said the investment value method to select stocks for the short-term or long-term investment in Taiwan's stock market which can achieve good investment performance.
The findings revealed that the principle of value investing could be used for evaluation of investment objectives in the Taiwan stock market. Besides, it has also been proved that investment objectives were picked by the principle of value.

並列關鍵字

Enterprise value ； Value Investing ； Investment Portfolio

參考文獻

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