以基本分析建構投資策略於在台灣資本市場之適用性

Using Fundamental Financial Analysis to Construct a Investment Strategy in Taiwan's Stock Market

江侃倫(Kan-Lun Chiang)

指導教授 ： 王瑄

元智大學/管理學院/商學碩士班(會計學程)/碩士(2011年)

https://doi.org/10.6838/YZU.2011.00100

摘要

Piotroski (2000)利用簡單的財務報表資訊所建立的F_SCORE指標，可區出高淨值市價比企業中的好壞公司，並藉以形成投資組合賺取超額報酬。Olson and Feltham (1995, 1999)指出，企業之淨資產和淨利皆應區分係營業或金融性活動所產生，因為兩類活動下之淨資產與利益之評價對企業價值之影響有所不同。本篇研究旨在探討，若以F_SCORE為投資策略之基礎架構，但將其使用之會計數字區分為營業和金融活動兩部份，是否更有助於區分出高淨值市價比企業中的好壞公司，並獲得較F_SCORE投資策略下更高之異常報酬。
本研究發現：1. Piotroski (2000)的F_SCORE投資策略，在台灣資本市場2007年及2009年間能區分出高淨值市價比中的好公司與壞公司。2. 本研究進一步將會計數字區分為營業和金融活動兩部份後所得之J_SCORE，在2009年間之多空投資組合的市場調整報酬為34.1%，顯著高於F_SCORE投資策略之報酬。
本篇研究之結果支持會計文獻上需將會計數字區分為營業活動或金融活動所產生，因其對企業價值和未來預期獲利能力之影響性不同；依此區分法形成之價值投資策略，較傳統F_SCORE之投資策略能提供更佳之報酬。

關鍵字

價值投資 ； F_SCORE ； 營業資產 ； 金融資產

並列摘要

Piotroski (2000) used simple accounting-based fundamental analysis information to construct F_SCORE, which can separate good firms and bad firms from value stocks. Piotroski (2000) also formed a buy-and-hold strategy by using F-SCORE to earn abnormal returns. Ohlson and Feltham (1995, 1999) suggest that firm’s net assets and income should separate into operating and financial activities, because the two activities have different implication on firm’s value. The purpose of this study is to modify F_SCORE by separate accounting numbers into operating activities and financial activities, and to examine whether this modified index can lead to a higher abnormal return when we form a investment portfolio. .
The findings of this research includes: 1. F_SCORE (Piotroski, 2000) can separate good firms and bad firms from high book-to-market firms in Taiwan Capital markets. 2. after separating accounting numbers into operating activities and financial activities, an buy –and-hold strategy formed with J_SCORE can generates 34.1% annual return during 2009, while with F_SCORE, the abnormal return is only 33.4%.
This study’s conclusion lends a support to prior research that when evaluation a firms’ value, accounting numbers should be divided into operating activities and financial activities, owing to different implication about firm’s value and future profitability.

並列關鍵字

Value Investing ； F_SCORE ； Operating Assets and Financial Assets

參考文獻

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