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摘要
本研究第一階段先檢驗低股價淨值比投資組合與市場報酬的差異，結果顯示幾乎每年都能勝過大盤，低股價淨值比投資組合12年年化報酬率15.43%，同一期間市場年化報酬率則是7.00%，所以價值型投資在這段期間的台股市場仍是有效的投資策略。第二階段分別檢驗三個因子(流動比率、負債比率、波動度)對低股價淨值比投資組合的影響，結果顯示高流動比率和低波動度能顯著提升低股價淨值比投資組合的績效，而負債比率則是無顯著差別。第三階段共同納入高流動比率和低波動度做綜合排名並分組，結果顯示排名前20%的投資組合比原本單純的低股價淨值比投資組合的表現還要更好，年化報酬率達到19.15%。
並列摘要
This thesis examines whether portfolio composed of low price to book value stocks can beat the market. The answer is yes. In addition, the performance of this portfolio can be further improved by building a new portfolio with stocks having high current ratio or low volatility in the original portfolio.
參考文獻
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