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  • 學位論文

運用價值與成長因子建構台灣股市投資模型

Use of the Value and Growth Factors to Build An Investment Model for the Taiwan Stock Market

指導教授 : 李維平

摘要


股價指數為一國重要經濟指標,也是投資人最重要的交易市場。在各種投資工具中,相較於定存、基金,股市投資具有較高報酬且高風險特性,在茫茫股海中如何選擇合適的股票,對投資人來說一項艱鉅的考驗,本研究將以散戶角度出發,研究適合散戶投資人的投資模型。 常見的股市分析分析方法大致可分為:基本面分析、技術面分析。基本面分析學派認為,以公司過去經營成效,判斷公司未來的成長性和價值性;而技術面分析學派則認為”歷史會再次重演”,透過分析歷史股價走勢及交易量,得以推測出股票未來的行情。 兩者皆有其理論依據及支持者,除此之外,投資過程中心理上的突破也是投資人常見的問題,能否在既定的投資策略中長期及紀律的操作,也將會是影響最終報酬的因素。 本研究以基本面價值因子與成長因子為基礎,透過杜邦分析拆解股東權益報酬率,並結合稅後淨利率、股價淨值比三大指標,建構股市投資模型,實驗以移動式窗法(moving windows),前一年年報數據為選股依據,次年四月第一個交易日進行買進股票,並持股一年後賣出,回測時間為2001年至2014共計14年。 實驗結果發現小型股以杜邦增長模型,長期投資下可獲得極佳報酬,而在中大型股則是以杜邦價值模型優於杜邦增長模型。

並列摘要


The stock market index is a country’s key economic indicator and is also the most important investment market. Compared to various investment tools such as fixed deposits, funds, the stock market has a higher return on investment, a higher risk characteristic. In the vast selection of stocks, how to choose the right one is a formidable challenge for the investors. This study will determine, from the point of view of retail investors, an investment model for them. Common stock market analysis techniques can be divided into two types: fundamental and technical. The school of thought behind fundamental analysis is that, based on a company’s past results, forecast on its future growth and on the value of the company can be made, whereas for technical analysis, “history will repeat itself again”. Through the analysis of historical stock prices and the trading volumes, one can speculate on the future price of the stock. Both have their theoretical basis and supporters. In addition, the psychological breakthrough in the investment process is a common investor problem, as to whether the established investment strategy and discipline will affect the final remuneration. This study considered the value and growth factors as the fundamental basis and through Dupont analysis, dismantled return on equity, integrated net after-tax profit margin, the share price book ratio of the three indicators, and constructed a stock market model experimenting with slide windows. Annual data for the previous year is to be used to choose shares. Buy them on the first trading day of April of the following year and sell them a year after, for a total of 14 years to back-test the trading strategy. Results showed that small-cap stocks had sustainable growth and long-term investments had excellent returns whereas large-cap stocks can reach a better growth on value than on scale under Dupont analysis.

並列關鍵字

Fundamental Analysis Dupont analysis ROE NPM PB

參考文獻


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被引用紀錄


沈君奕(2016)。運用籌碼面建構小型股多空選股模型〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201600451
謝家宜(2016)。運用月營收結合多面向因子建構大型股投資模型〔碩士論文,中原大學〕。華藝線上圖書館。https://doi.org/10.6840%2fcycu201600376

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