名家投資法應用於台灣股票市場之表現

The Performance of Gurus Investment Strategy in Taiwan Stock Markets

李苡芯(Yi-Hsin Li)

指導教授 ： 段昌文

淡江大學/商管學院/財務金融學系碩士班/碩士(2019年)

https://doi.org/10.6846/TKU.2019.00026

摘要

本研究根據James, Cheh and Kim (2016) 針對七位名家的投資分類中，分別選出保守型的葛拉漢、積極型的林區及介於保守與積極型之間的葛林布雷三種類型之投資名家。將其投資方法應用於台灣股票市場，扣除2007年及2008年金融海嘯期間，挑選出2006年至2017年共十年期，符合三位名家及兩位以上之名家重複選股之投資組合，再利用買入持有法與重疊法，觀察報酬率表現是否較大盤優異。
　　實證結果顯示，名家選股在買進持有法中，葛林布雷的投資組合持續獲利，在一至九年之報酬率皆打敗大盤，表現相較穩定，最好的表現在連續持有八年，報酬率高達51.56%。而林區與葛拉漢之投資組合在持有期間七至九年打敗大盤，其投資組合最好的表現皆在持有期間至八年，林區為124.89%，葛拉漢為72.25%。而在兩位以上名家重複選股的組合中，葛拉漢與葛林布雷的投資組合，除了九年報酬率以外，其他持有期間之報酬率皆超越大盤，持有四年報酬率最高，達到201.89%。在固定期間換股之重疊法中，三位名家中僅有葛林布雷的選股法則在四年、五年換股的表現超越大盤，且換股的次數越少，報酬率越高。
　　因此，本研究認為名家選股法則較適合長期投資，且在多數時刻表現較大盤佳。此外，減少換股的次數，投資組合報酬率的表現可能更好。

關鍵字

名家投資 ； 投資組合 ； 買入持有法 ； 重疊法

並列摘要

Based on James, Cheh and Kim(2016)’s seven guru investment strategues, this study chooses three types of gurus which include Graham, who is known to be conservative, Lynch, who is more positive, and Greenblatt, who’s strategy falls in the middle of conservative and positive, and applies their investment methods to the Taiwan stock marke. We focus on the 10 years between 2006 and 2017, excluding 2007 and 2008 due to the financial crisis, and select the investment portfolios that match either the choices of three gurus or the repetitive stock selections of two or more gurus. Then, by using buy-and-hold and overlap investment strategies, we will observe whether the performance is superior to benchmark(TAIEX).
The empirical evidence shows that Greenblatt’s investment strategies continue to make profits using buy-and-hold methods. The performance between the first and the ninth year were all better than the Index and were relative stable. Furthermore, the return reached 51.56%, which was the highest, after holding for eight consecutive years. On the other hand, the performance of Lynch and Graham’s portfolios were also better than the Index after holding for seven to nine years and the best returns, 124.89% for Lynch and 72.25% for Graham, also occurred after holding for eight years. Among the repetitive selections of two or more gurus, the performance of the investment portfolios of Graham and Greenblatt have surpassed the Index during all times except for the nine-year return. The four-year return reached 201.89%, which was the highest. With overlap method, only the performance of Greenblatt’s portfolio among the three gurus surpassed the Index during the stock exchange at the fourth and the fifth year and the less frequent they exchanged the stock, the better rate of return they had.
We concluded that the Guru investment are better for long-term investment and have a better performance than the benchmark index in most of the time. Moreover, it is very likely that the less turnover stock, will be the better performance.

並列關鍵字

gurus investment ； portfolio ； buy-and-hold ； overlap

參考文獻

一、中文文獻

1.陳巧玲 (2004)，「價值型投資風格於台灣股票市場之研究」，國立政治大學財務管理碩士論文。

2.薛仲男 (2000)，「成長型與價值型股票選時策略之研究」，國立政治大學財務管理學系碩士論文。

二、英文文獻

1.Bauman, Conover and Miller (1998). Growth versus Value and Large-Cap versus Small-Cap Stocks in International Markets. Financial Analysts Journal, 75-89.