價值型投資考量法人籌碼動能下的選股策略：以台灣股市為例

The Stock Selection Strategy of Value Investing under Institutional investor chip momentum : The Case of the Taiwan Stock Market

于慎為(Shen-Wei Yu)

指導教授 ： 林允永

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00010

摘要

台灣上市股價歷史資料進行研究，探討在傳統的價值型選股策略之下，加入法人籌碼面的考量，希望能得到更佳的投資組合報酬。資料的選取以2006年6月至2010年9月為研究期間，並排除金融類股及資料有所缺漏的個股形成研究樣本。
除考量基本的價值型選股要素如：P/B、P/E，也從公司基本面如：股東權益報酬率、股利殖利率、毛利率及營收成長率進行考量。最後再加入法人籌碼面因素期望能獲得相對低風險且優秀的報酬，也能驗證傳統的價值型投資策略是否透過加入法人籌碼面的因素，有助於提升投資的績效。
研究結果發現：
一、 價值型的投資組合報酬，優於同期之大盤表現：
價值型投資的觀念是尋找價格被低估的股票，買進持有至價格回到合理水準時可以獲利，本研究發現以財務指標評分建立的投資組合，即使經歷金融風暴期間，投資組合仍能有較大盤較高水準的報酬表現。
二、 加入法人籌碼面因素後的投資組合，報酬有顯著提升：
本研究之目的，在分析價值型投資策略在加入法人籌碼面因素之後，是否可以獲得更高的報酬，即法人買賣超的訊號是否對價值型投資組合有加分效果存在。研究結果證實，在加入三大法人籌碼面指標後的投資組合報酬，不僅優於大盤，也優於本研究建立之價值型投資組合。
三、 將外資籌碼面予以加權，證實外資買賣超個股加強權重後能有較佳的結果：
先前研究顯示外資與自營商具有一定程度的市場領先效果，本研究將投組中的外資買賣超得分予以提高加權，比較經由外資加權的投資組合是否能獲得較高的投資報酬率。研究結果發現，在研究中建立的多個投資組合中，以外資加權1.5倍的投資組合之報酬率最高。

關鍵字

價值型投資 ； 法人籌碼面 ； 選股策略 ； 買賣超動能

並列摘要

The study conducts a research on the listed stock price historical data of Taiwan under the traditional value stock selection strategy with the bargaining counter of a juristic person and hopes to acquire a better investment portfolio compensation. The data selection uses the period of June, 2006 to September, 2010 as the research period and excludes the financial stock and the individual stock in lack of the data to form the research sample.

Besides considering the basic value stock selection factor, such as P/B and P/E, the study bestows a consideration on the company fundamental, the rate of return of the shareholders’ equity, the yield rate of the stock dividend, the rate of gross profit and the sales growth rate. Finally, the study adds up the bargaining counter factor of a juristic person in expectation of acquiring a relatively low risk and an ample compensation and also verifies whether the traditional value investing strategy is beneficial to raise the investing performance through the adding of the bargaining counter factor of a juristic person.

The findings are as follows:
一、 The value investment portfolio compensation is superior to the overall stock market performance at the same period:
The value investing concept is to look for the stock with the underestimated price, to buy in and to hold until the stock can profit when the price returns to a reasonable level. The study finds that the investment portfolio established by the finance indicator grading can still have the compensation performance of a higher level than the overall stock market, even undergoing financial crisis.

二、 The compensation of the investment portfolio rises significantly after adding the bargaining counter factor of a juristic person:
The research purpose is to analyze whether the value investing strategy can acquire a higher compensation after adding up the bargaining counter factor of a juristic person; namely, whether the overbought and oversold signal of a juristic person has the positive effect on the value investment portfolio. The finding attests that the investment portfolio compensation is not only superior to the overall stock market compensation but also to the value investment portfolio compensation established by the study after adding up the bargaining counter index of the three main juristic persons.

三、 Weighting the bargaining counter of the foreign capital attests that the overbought and oversold individual stock of the foreign capital can have a better result after intensifying the weight:
The previous study indicates that the foreign capital and dealer have the market leading effect to some extent. The study raises the weight of the overbought and oversold point of the foreign capital in the investment portfolio and compares whether the investment portfolio weighted by the foreign capital can acquire a higher investment rate of return. The research result finds that the rate of return of the investment portfolio weighted 1.5 times by the foreign capital is the highest among the multiple investment portfolios established in the study.

並列關鍵字

value investing ； bargaining counter of a juristic person ； stock selection strategy ； overbought and oversold kinetic energy

參考文獻

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