運用財務會計數據來做反向策略-以台灣股票市場為例

The application of accouting measure in contrarian strategy to Taiwan stock market.

凌宏杰(Hung-Chieh Ling)

指導教授 ： 張焯然

國立清華大學/科技管理學院/計量財務金融系/碩士(2013年)

https://doi.org/10.6843/NTHU.2013.00232

摘要

價值投資法自從 Graham and Todd’s security analysis（1934）年出版後提出來，之後該策略的高報酬漸漸開始受到學術界與業界的關注。價值投資法的重點觀念在於安全邊際，而安全邊際的意思即是以遠低於價值的價格來投資證券的想法，以期待在一定的安全下得到理想的報酬。而通常會出現價格遠低於價值的情況通常都是過去表現相對差勁或是遭遇景氣衰退或經濟不景氣以及公司出現問題的情況，而過去學術研究常以反向策略來代表價值投資的研究方式，即是研究投資在價值與價格比率相對高的標的（比率高的為價值股 Value stocks 在實證結果的表中我們以V符號表示，比率低的為成長股 Glamour stocks 在實證結果的表中我們以G符號表示），以期望在市場因為投資人的過度樂觀與悲觀造成的無效率下獲得理想的報酬。
在這裡我們參考過去的文獻並以一些如盈餘、淨值、現金流量等基本會計資料來做反向策略的回測，同時基於過去文獻在討論現金流量時並沒有考慮到資本支出的情況下，我們將以考慮資本支出後的自由現金流量數據來作反向策略研究。

關鍵字

反向策略 ； 自由現金流量

並列摘要

Value strategies published in 1934 proposed from Graham Todd (securities analysis), after that they were beginning to concern by academia. The concept of the central value of value strategies was that the margin of safety. The margin of safety mean that investor purchase on the stock with lower price than its’ intrinsic value of the one, and ensures to earn satisfied return in a quite safety situation. Almostin a bad situation such as recession or depression and the firms are in trouble that the price is in quite lower than its’ intrinsic value. Because of the poor past performance, contrarian strategiespurchase the stock with underestimated price compared to intrinsic value. The strategy supposed that other investors underprice the company with poor past performance and overprice the company with well past performance.
We still use simple measures, like book-to-market, cash flow-to-price and earnings-to-price to test contrarian strategy’s performance. But we take capital expenditure into consideration to form the free cash flow to test contrarian strategies.

並列關鍵字

contrarian strategy ； free cash flow

參考文獻

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