投資專家選股策略於台股應用

由於證劵市場對於一個國家的經濟發展佔有重要地位，能有效的反應一國經濟發展的狀況，因此維持市場的效率與公平變成為各國政府努力的工作之一。此外證劵市場也具有國民儲蓄與企業籌資的重要功能，可使企業在該市場中取得企業發展所需的資金，促進經濟活動來帶動經濟成長。現代人對股票的參與程度愈來愈高，而每個人的選股策略都有所不同，有的交給專業經理人經營，部分的人則自己操作，他們的獲利方法是什麼？「雞蛋不要放在同一個籃子裡」的道理大家都非常清楚，在資訊發達的今天，我們該如何去選擇好的股票？如何判斷手中股票的好壞？我們檢視彼得林區（Peter Lynch）、班哲明葛拉漢（Benjamin Graham）、華倫巴菲特（Warren Buffett），三位專家選股的策略，並利用平均數、標準差、CAPM模型中的β、夏普指數比較其投資績效，再以變異數-共變異數法、歷史模擬法、蒙地卡羅法進行風險值的估計。本文研究目的為彙整三位專家選股條件，並驗證各專家選股條件運用於台灣股票市場的投資績效與風險值，研究結果可作為投資人未來投資決策的參考依據。研究發現，根據CAPM模型就α值而言，數值越大表示預期報酬超越大盤越多，而表現較好為華倫巴菲特組。就β值而言，報酬漲跌幅較高為班哲明葛拉漢組。夏普指數由彼得林區組的平均報酬率63.95%表現為最佳。最後探討在風險值模型95%信賴水準下，金融資產之最大可能損失金額。追求高報酬的投資人可選擇華倫巴菲特組；若是較保守的投資人可選擇彼得林區組來投資。

關鍵字

彼得林區；班哲明葛拉漢；華倫巴菲特；投資績效；風險值

並列摘要

The economic development in one country is greatly influenced by its stock market, which also correspondingly reflects the progress of its own economy. Therefore, to maintain the efficiency and fairness in the stock market has become one of the government's main goals. In addition, national savings and enterprise financing are both vastly dependent upon the stock market, which helps the industry to get necessary capital for development, to facilitate economic activities and to activate economic growth. People nowadays are much more involved in stock markets than before; however, everyone has different ideas about how to invest. Some people seek help from the professional securities managers, while some buy stocks according to their own judgment. How do people actually make profits from the stock market? One basic rule would be "Do not put all the eggs in one basket," which is quite clear to all of us. In this technological era, how should we invest wisely? How to decide whether our stocks are promising or not? By examining and analyzing the stock selection strategies of the three well-known experts: Peter Lynch, Benjamin Graham, Warren Buffett, we can come to some conclusion. In this research, we also compare and observe the average, standard deviation, the beta of CAPM model and Sharp's index to evaluate investment performance. To measure the value at risk, we make use of the historical simulation, variance - covariance method, and Monte Carlo method. The purpose of this study is to offer investors some advice for future references by compiling the three experts’ stock selection strategies and by verifying the investment performance and the value at risk when their strategies are being applied to Taiwan stock market. According to the value of α of CAMP, the anticipative reward is more than share index when the quantitative value is going up, Warren Buffett's group is better than the others. As for the result of the value of β, the price fluctuation of Benjamin Graham's group is better than the others . Besides, Peter Lynch's group gets the highest average rate of return of 63.95% based on the computation of Sharpe Ratio. Finally, we conduct a research on the maximum amount of loss of the financial assets by 95% confidence level. When pursuing high reward, investors may choose the strategies of Warren Buffett's group, while conservative investors may opt for strategies of Peter Lynch's group to make wiser investments.