以財務分數比較價值股與成長股投資組合的績效

Comparison for the performance on value and growth stocks by financial scores

張舜迪(Shun-Di Chang)

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(2022年)

https://doi.org/10.6846/TKU.2022.00151

摘要

本研究旨在分析2006年至2020年的台灣上市(櫃)普通股股票市場，以本益比、股價淨值比、股價營收比、現金殖利率、EPS成長率、每股營收成長率及資產報酬率作為分類標準，篩選出價值股與成長股，並依市值權重及均等權重兩種方式持有，建立各種價值股與成長股投資組合，隨後檢測其績效優劣，另外，納入三大法人買賣超張數共同作為評分依據，觀察是否能進一步提升績效。其中建立期為一年，而測試期分為一年、三年及五年，考量實際財務資訊並非於建立期末立即公布，因此測試期始於四月的第一個交易日，確保在實際投資上能夠依據完整財務資訊以建立投資組合。
根據本研究實證結果發現，不論分類標準及持有權重為何，皆是以持有一年期優於持有三年及五年期。然而價值股或成長股可提供較高收益，以及依市值權重或均等權重持有較佳，則是根據不同分類標準而有不同結果。本研究之最佳投資策略為綜合全部財務比率所建立的財務分數，優於僅使用單一財務比率或雙財務比率作為分類標準，在此分類標準下，成長股投資組合優於價值股投資組合，且依市值權重持有優於使用均等權重。最後，納入三大法人買賣超張數共同選股不但無法提高收益，反而會大幅降低績效。因此本研究建議投資人以財務分數選股建構成長股投資策略，並依市值加權持有一年期，可獲得較高收益。

關鍵字

三大法人 ； 市值與均等權重 ； 財務分數選股 ； 價值與成長股

並列摘要

This research aims to analyze the common stocks of Taiwan listed companies from 2006 to 2020. P/E ratio, P/B ratio, P/S ratio, cash yield, EPS growth rate, revenue per share growth rate and ROA are used to filter value stocks and growth stocks, and the stocks are held in two ways: market capitalization weight and equal weight. Build various value stock and growth stock portfolios and test their performance. In addition, the institutional investors’ transactions are also included as a basis for scoring stocks to observe whether the performance can be further improved. The establishment period is one year, and the test period includes one year, three years, and five years. Considering that the financial information is not released immediately at the end of the establishment period, the test period begins on the first trading day of April to ensure that the actual investors can construct a portfolio based on complete financial information.
According to the empirical results, the one-year holding period is better than the three-year and five-year holding period, no matter how the portfolio is built. However, value stocks or growth stocks, and market capitalization weight or equal weight, can provide higher returns depending on which financial ratio is used. The best investment strategy in this study is the financial scores established by combining all financial ratios, which is better than using a single financial ratio or dual financial ratios as a classification criterion. Under this standard, the growth stock portfolio is better than the value stock portfolio, and holding by market capitalization weight is better than using equal weight. Finally, the inclusion of the institutional investors’ transactions in stock selection will not only fail to improve returns, but will greatly reduce performance. Therefore, this study suggests that investors should use financial scores to create a growth stock portfolio, and hold it for a one-year period weighted by market capitalization to obtain higher returns.

並列關鍵字

Financial Scores ； Institutional Investors ； Market Capitalization and Equal Weight ； Value and Growth Stocks

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