- 期刊
價值投資法於台灣股市適用性之研究－電子產業與非電子產業之配對比較
The Comparative Study of Valuation Models In Taiwan's Electronic and Non-electronic Stock-Listed Companies
摘要
價值投資法主要之精神係在透過對公司營運債權的分析，找出公司的真實價值。本文乃選取台灣股市1994-1999年上市之電子產業為主要樣本，並依該產業樣本之規模、成立年數、銷貨額、每股盈餘等標準，於傳統產業中尋找對應樣本，該對應樣本與主要樣本雖在規模、年數、銷貨額、每股盈餘上相似，但卻有不同的股價。再以七種不同的評價模式如折現價值評價法、相對指標法、實質選擇權評價法等，來驗證這二組樣本在真實價值與市場價值之差異，並找尋各組樣本最適用之評價模式。本文以時間數列與橫斷面混合資料為樣本，並發現在折現價值評價法中，電子業以FCFF評價較佳；而非電子產業以EVA評價較佳。而FCFE法均不適用於兩產業評價上。而非電子產業在市價帳面價值法及銷售比法評價上，顯著較電子產業有較佳之預估準確度。
並列摘要
The insight of value investing is to find the intrinsic value of firms. We select Taiwan's stock-listed companies in electronic and non-electronic industries from 1994-1999 based on the similar sizes, history, sales and earnings per share. Comparing and testing these two pairs of industries in seven different valuation models, such as DCF, relative valuation model and OPM, this paper tries to find the optimal valuation model fitted to each industry. Using Theil's U and t test, we find that electronic industries show more correct valuation in FCFF and EVA than nonelectronic industries, but not significant. While non-electronic industries show more significant and correct valuation in P/BVPS and P/Sales than electronic industries. Non-electronic industries show more correct valuation in OPM but not significant.