- 學位論文
以風險溢酬概念探討台灣股市的最佳投資策略與投資時點
Discussion on the Investment Strategy and Timing in Taiwan Stock Market-Based on Risk Premium Concept
摘要
股票市場在不同風險溢酬下，對投資大眾的資產配置會有不同的影響。故本研究將會以風險溢酬的概念，綜合本益比指標尋求最佳投資策略與投資時點，並驗證台股是否具有本益比效應、週轉率效應、新上市效應與貨幣政策效應。 研究發現台灣股市在2000年12月以後才具有本益比效應、週轉率效應、新上市效應與貨幣政策效應。因而2000年12月以後，採用本研究的最佳投資策略─低本益比、高盈餘品質並排除新上市公司後，再以投資組合的方式持有，才能產生與大盤有顯著差異的績效。 另外，研究也發現低本益比投資策略應選擇在有高風險溢酬保護下的時點進場，才容易獲利。且投資組合的年化報酬率，1年內的短期績效比2至3年的長期績效好，尤其以6個月的持股期間最佳。而低週轉率股雖具有流動性風險，但相對也提供流動性溢酬，並不需要將其從投資組合中剔除。 總結來說，本研究帶給投資大眾的實務操作貢獻為:若要成功打敗大盤，應採取上述的最佳投資策略、持股期間6個月，再以高風險溢酬的概念找尋最佳的投資時點後，其效果最為顯著。
並列摘要
In the stock market, risk premium plays an important role in the investors’ asset allocation. Thus, the aim of this research is to form and evaluate simple and feasible investment strategies and find the optimal investment timing based on the concept of risk premium and P/E ratio. Besides, the research will prove if the P/E ratio effect, turnover effect, IPO effect and monetary policy effect exist in Taiwan stock market. After December, 2000, evidence starts to show the existence of the P/E ratio effect, turnover effect, IPO effect and monetary policy effect. Particularly, it is a superior performance of the investment strategies including stocks with low P/E ratios and high earnings quality but excluding the IPO firms. The investment strategies of low P/E ratio have much better performance under the condition of high risk premium. In terms of the annual holding-period return, the short-term (6 month or 1 year) performance is better than its long-term (2 or 3 year) one. Besides, the stocks with low turnover offer liquidity premium, so it is not necessary to remove those stocks from the portfolio. In conclusion, the optimal investment strategy found by this research is to adopt the above strategy, hold the portfolio for 6 month and rebalance afterwards in the period of high risk premium.