產業類股增進預測能力

Enhance Return Predictability by Industry

蔡嚴毅(Yen-Yi Tsai)

指導教授 ： 李賢源

國立臺灣大學/管理學院/財務金融學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201801326

摘要

早在Graham and Dodd, 1934. Book “Security Analysis”一書中即顯示價值投資之重要性。股價旨在反映公司之真實價值，若有所偏離長期應調整至真實價值的平均水位。本篇文章使用個股P/E ratio過去之歷史平均與亞太區同產業之平均做為限制，並根據訊號放射的原理建立預測模型，並提升模型預測的精準度，內文中稱其為提升之精準程度為預測能力增益。

以個股過去平均以及區域內平均作為限制，能夠簡單且有效的提升模型預測的有效性。此外加入亞太區域內產業的平均值，來避免個股間不同產業之差異。判別個股目前是同時低於過去歷史平均與亞太區域內產業平均，抑或是同時高於上述兩者平均值。偏離兩者平均值是同向的，那麼未來個股報酬的預測方向較為明確，實證的預測能力增益明顯；但若個股P/E ratio介於兩者平均值之間，那未來個股報酬不易預測，實證的預測能力增益低落。

實證發現，根據產業特性及預測期間長短的不同，預測能力之增益在各個產業之間有所改變。在景氣循環週期較長的產業中，如：水泥業、橡膠、電機機械、紡織業、造紙業、汽車業、鋼鐵業。實證結果發現需要較長的時間來使其報酬調整至平均值，因此短期的預測增益效果低落。然而在以季、半年為中長期的預測當中此產業的預測增益效果非常顯著，預測能力較使用benchmark之預測模型增加了近20%。而在景氣循環週期較短，波動較大的產業中，如：金融業、電子業、塑化業、玻璃業。實證發現預測增益在中短期(15天左右)達到高峰。以金融業為例，在預測累積15日報酬時採取本篇研究方法，預測模型增益可達近30%以上。

關鍵字：預測報酬、台股、景氣循環、本益比、基本面因子

關鍵字

預測報酬 ； 台股 ； 景氣循環 ； 本益比 ； 基本面因子

並列摘要

Many Researchers had discussed how to improve the ability of prediction on return predictability of individual stock. Among those research, Fundamental indexes are frequently used, as a proxy of company’s quality. Fundamental indexes aim to reflect how well a company operate, how steady a company’s financial situation are, and how far a company’s prospect can go. If these indexes do reflect a company’s value, then this should pass on to the company’s stock price someday. This thesis is based on those research, and further improve the predictability of predict model. Domestic and foreign investor take fundamental indexes into account while allocate asset, hence fundamental indexes are regarded as an important reference. For example, J.P. Morgan’s guide to the market are provided to investor annually. And this guide includes fundamental indexes from country to country. This thesis imports Asia’s regional fundamental indexes as control variable, and found that this could actually improve model predictability.

We distinguish individual stock by 17 industries, then we can compare the stock to regional average. Further, each stock will compare to it’s own historical average. If the stock’s fundamental index ratio were below historical and regional average at the same time, it shows that the stock might be undervalued; while beyond those, the stock might be overvalued, and in the long run, the stock’s price should adjust to the average. And we further improve the predictability of model by considering restriction model and prosperity of economic.

keywords：return predictability, stock, fundamental index, business cycle, pe ratio

並列關鍵字

return predictability ； stock ； fundamental index ； business cycle ； pe ratio

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