價值型選股法則之實證比較-以台灣電子股為例

Empirical Comparison of Value Investing Principles in Taiwan Electronic Industry Stock Market

伍峻廷(Chun-Ting Wu)

指導教授 ： 羅淑娟

國立臺北科技大學/管理學院/資訊與運籌管理研究所/碩士(2012年)

https://doi.org/10.6841/NTUT.2012.00412

摘要

市場上已經有許多投資專家提出價值型選股法在實證上有較優良之績效，所以本研究利用價值型投資法的專家選股法則運用於台灣股票市場分析其報酬率後與大盤進行比較。實證得知，在投資一年期，2008年的金融危機下各投資專家所選之投資組合數受到影響使得報酬率偏低，以平均報酬績效來說布蘭帝和皮氏選股規則較其他方法高，投資三年期時，布蘭帝績效最好與其認為投資持股間平均達3~5年概念相同，報酬率之標準差反應2008年金融危機後，各股的變異程度偏高變動較大。總體而言，一年期在考慮風險下布蘭帝和大盤處於效率前緣，三年期布蘭帝、大盤和葛拉漢處於效率前緣，布蘭帝三年期比一年期在報酬上有些略高但並不顯著，且風險也未明顯降低，顯示並無延長投資期間。

關鍵字

價值型選股 ； 績效評估 ； 財務比率

並列摘要

Since the investors in the stock market has been wanted to know whether the stock market is bull market or not. An investigation shows that, the rate of return for the investment experts is similar to the Index during 2003-2010 years. For the portfolio of the one-year investment, because of the financial crisis in 2008, investment experts selected the low rate of return, and stock selection rules of Joseph D. Piotroski can obtain much better performance than other methods. Then, for the portfolio of the three-year investment, our result is same with the Charles Brandes proposed stock selection rules which suggest holding stock for 3 to 5 years has the best performance. Finally, for the standard deviation, our research shows that the rate of return has high standard deviation which the situation is same with financial crisis in 2008. Over all, for the portfolio of the one-year investment which consider the risk, Charles Brandes and Index are on the efficient frontier. Then, for the portfolio of the third-year investment which considers the risk, Charles Brandes, Index and Benjamin Graham are all on the efficient frontier. Finally, we find Charles Brandes’s rate of return for three-year is higher than one-year, but not significant. In addition, the risk is also not significantly reduced, it is show that Charles Brandes is not extend the investment duration.

並列關鍵字

Value Investing Principles ； Performance Evaluation ； Financial Ratios

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