摘要
台灣產業發展自2010年代後便以電子業中的半導體業為主軸，多項數據顯示半導體業獲利與市場關注度長年維持在第一名。但同時也可以發現到半導體業成長主要集中於晶圓製造，且在去年的半導體榮景中仍有約 18%的半導體公司面臨虧損，顯示我們值得為半導體業建立指標，並透過指標在表現優秀的半導體產業中分辨公司優劣。 本研究將使用財務指標計算股價異常因子，再透過股價異常因子得到公司品質分數，最後建 立半導體業平台，半導體平台可以為個別公司進行診斷，也能為半導體業上游、中游與下游子產業進行診斷。 協助投資人在選股時納入品質優良的企業與子產業。 本研究接著由公司品質分數與公司總市值出發，選出品質優良且具有產業代表性的公司，組成投資組合並建立 「自建台灣半導體 120指數」 與 「 自建台灣半導體 30指數 」。結果顯示「自建台灣半導體 120指數」投資績效與夏普率能夠超越 台灣加權指數、台灣五十指數與上市電子指數。如果再將成分股個數縮減至 30檔，結果顯示 「 自建台灣半導體 30指數 」無論在報酬、波動率、夏普率與最大回落的表現都比 「自建台灣半導體 120指數」更優秀。顯示以公司品質與產業代表性來挑選成分股可以帶來額外正報酬。 在未來，半導體業平台可以新增公司籌碼面資料，或是法說會財報等非結構性資料來強化判斷公司品質的能力。本研究同樣也能應用至其他產業，建立其他產業的平台與自建產業指數。
並列摘要
Taiwan's industrial development has been centered on the semiconductor industry (in electronics industry) since the 2010s. Data shows that the profitability and market attention of the semiconductor industry have remained the first place for many years. But at the same time, the growth of the semiconductor industry is mainly concentrated in wafer manufacturing, and about 18% of semiconductor companies still face losses in last year’s semiconductor boom. This shows that it is worthy of establishing indicators for the semiconductor industry. The indicator can distinguish the pros and cons of companies in the semiconductor industry that performs well. We will use financial indicators to calculate the stock price anomaly factor, and then obtain the company's quality score through the stock price anomaly factor. Finally, we will establish the semiconductor industry inspection platform. The semiconductor inspection platform can perform inspections for individual companies, as well as for the upstream, midstream and downstream semiconductor industries. Which could help investors to incorporate high-quality companies and sub-industries when selecting stocks. We then use the company's quality score and the company's total market value to selects high-quality and industry-representative companies. Forming two portfolios called "self-built Taiwan Semiconductor 120 Index" and "self-built Taiwan Semiconductor 30 Index". The results show that the return and Sharpe ratio of the "Self-built Taiwan Semiconductor 120 Index" can outperform the Taiwan Weighted Index, the Taiwan Fifty Index and Electronics index. If the number of constituent stocks is further reduced to 30, the results show that the "self-built Taiwan Semiconductor 30 Index" outperforms the "self-built Taiwan Semiconductor 120 Index" in terms of return, volatility, Sharpe ratio, and maximum drawdown. It shows that selecting stocks based on company quality and industry representativeness can bring additional positive returns. In the future, the semiconductor industry platform can add chip information, or non-structured data such as financial reports to strengthen the ability to judge the company's quality. This research can also be applied to other industries to establish a health check platform and self-built industry index for other industries.
參考文獻
延伸閱讀
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