探討價值股與成長股以基本分析建構投資策略之適用性－以台灣資本市場為例

Dicussion of the Fundamental Financial Analysis Applied to the Value Stock and Growth Stock－The Example of Taiwan Capital Market

陳柏偉(Po-Wei Chen)

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(2012年)

摘要

Piotroski (2000)利用基本面分析指標建構F_SCORE系統適用於價值股投資策略來賺取超額報酬，Mohamram (2005)則基本面分析指標加以修正過後形成G_SCORE系統適用於成長股投資策略，亦賺取超額報酬。

Feltham and Ohlson(1995)的研究中，基於財務報表組成要素各有不同的會計衡量﹙accounting measurement﹚方式，而將企業活動區分成營運活動﹙operating activities﹚與金融活動﹙financial activities﹚來衡量企業價值。其指出營業用資產與金融資產對盈餘造成的影響不同。Ohlson(2006)研究中指出，使用盈餘數字預測企業價值時，應使用企業經常發生的”淨利”(營運淨利)較具預測價值。Nissim and Penman (2003)實證結果亦指出，融資來源自營運活動(負債)相較於金融活動(負債)更能提高企業的獲利能力，且一般而言有較高的市價淨值比。

本篇研究在價值股及成長股方面分別以F_SCORE及G_SCORE系統為投資策略之基礎架構，將傳統的基本分析指標區分成與營運活動相關及金融活動相關，藉以形成E1_SCORE及E2_SCORE系統作為投資策略以分別區分出價值股及成長股中的好公司與壞公司。期能替投資人發展出獲得更高超額報酬的投資策略。

本篇研究結果指出，價值股方面，在整個樣本期間的綜合效果顯示，E1_SCORE所形成的投資組合所獲得的報酬(0.094)不僅勝過市場報酬(-0.062)，更高於F_SCORE所形成的投資組合(0.091)。在成長股方面，2004年間E2_SCORE形成投資組合所獲得的報酬(0.557)不僅勝過市場報酬(0.076)，更高於G_SCORE所形成的投資組合(0.563)。進一步證實E1_SCORE及E2_SCORE的價值所在。

本篇研究之結果支持過去文獻中指出企業之金融活動及營運活動對企業評價、企業價值預測及盈餘的影響不同。因此依此概念形成之E1_SCORE及E2_SCORE相較於F_SCORE及G_SCORE之投資策略更能替投資人賺取超額報酬。

關鍵字

價值股 ； 成長股 ； F_SCORE ； G_SCORE ； E1_SCORE ； E2_SCORE ； 金融活動 ； 營運活動

並列摘要

Piotroski (2000) use simple fundamental analysis ratios to construct F_SCORE, applied in investment policies to earn abnormal return, Mohamram (2005) use simple modified fundamental analysis ratios to form G_SCORE, applied in investment policies to earn abnormal return as well.

In the study of Feltham and Ohlson (1995), indicating that the enterprise activities should be separated into operating activities and financial activities which based on different evaluation from both of them. Besides, this study suggested that both two activities have different effects on the earnings. In the study of Ohlson (2006), when investors used earnings to predict the enterprise values, they should use "Net Income" which is not only currently occurred in the operations of enterprises but have much more predictable value. Nissim and Penman (2003) suggested that the resources of capital are from operating liabilities are better than the financial liabilities, because the operating liabilities will enhence the profitability of the enterprise, and are good to enterprises’ P/B ratio.
This study respectively served the F_SCORE and the G_SCORE applied in the sample of value stock and growth stock as our foundamental, and then divided the original fundamental analysis ratios into operating activities-related and financial activities-related to form the E1_SCORE and the E2_SCORE to help investors know good or bad objectives in both samples so as to earn much more abnormal returns.

In this study, in the aspect of value stock, the results indicate that the return earned from the E1_SCORE (0.094) is not only better than the market return (-0.062), but also superior to the F_SCORE (0.091) in all sample period. In the respect of growth stock, in the year of 2004, the outcome shows that the returns acquaired from the E2_SCORE (0.557) is better than the market return (0.076) as well as the G_SCORE (0.563). These results support that the incremental value of the E1_SCORE and E2_SCORE.

In sum, the results of this study support prior literatures which argue that the operating activities and financial activities have different effects on evaluation, prediction, and earnings; therefore, if we follow this concept to form the E1_SCORE and the E2_SCORE, then we can get higher abnormal returns than the F_SCORE and the G_SCORE.

並列關鍵字

Growth Stock ； F_SCORE ； G_SCORE ； Financial/Operating Activities ； Value Stock

參考文獻

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