成長股與價值股的投資策略：以臺灣股市（1999－2019）為例

Investment Strategy for Growth and Value Stocks: Empirical Evidence of Taiwan Stock Market from 1999-2019

張俊評(Chang, Chun-Ping) ； 蔡永順(Tsai, Yung-Shun) ； 廖梅如(Liao, Mei-Ru) ； 臧仕維(Tzang, Shyh-Weir)

《藝見學刊》 22期 (2021/10) Pp. 87-111

https://doi.org/10.6207/ART-VISION.202110_(22).087-111

摘要

本研究是以Penman and Reggiani（2018）的文獻為研究依據，探討1999年至2019年的臺灣股市全產業上市公司普通股中價值股與成長股的投資策略是否與報酬率具有相關性，並提出合理的解釋。採用股價盈餘比和股價淨值比建立投資模組，對照平均報酬率和累積報酬率進行研究。研究發現在1999年至2019年的臺灣股市中，投資績效最高的並非股價盈餘比和股價淨值比最低的投資組合，而高股價盈餘比搭配高股價淨值比的組合投資績效最低。所以臺灣股市在過去21年中確實存在價值效應，價值股的投資績效優於成長股。

關鍵字

價值股 ； 成長股 ； 股價盈餘比 ； 股價淨值比

並列摘要

Based on Penman and Reggiani (2018), we try to explore whether the investment strategies of value stocks and growth stocks in the common stocks of listed companies in the Taiwan stock market from 1999 to 2019 can generate significantly different portfolio performance, and propose possible explanations and directions for investors. Whether by selecting stocks based on their price-to-earnings ratios or price-to-book ratios to construct portfolios will generate substantial different portfolio performance is a widely discussed issue. We find that based on the sampled period, the highest investment performance is not delivered by the portfolios with the lowest price-to-earnings and price-to-book ratios. In addition, portfolios with high price-to-earnings and price-to-book ratios deliver the lowest investment performance. Therefore, the Taiwan stock market has indeed had a value effect in the past 21 years, and the investment performance of value stocks is better than growth stocks.

並列關鍵字

value stock ； growth stock ； price-to-earnings ratio ； price-to-book ratio