- 學位論文
彼得林區投資策略應用於台灣股票市場之實證研究
A Study of Investment Strategies of Peter Lynch－The Case in Taiwan Stock Market
摘要
本研究採用CMoney法人投資決策支援系統，模擬投資大師彼得林區選股模式，將之運用於台灣股票市場，並以平均數、標準差、CAPM模型中的β及夏普比率進行績效評估，以驗證該模式是否適用於台灣股票市場並找出最佳的投資策略。本文的樣本期間為2002年至2013年，研究標的為台灣上市上櫃公司，利用彼得林區六項選股指標，形成各種不同的投資組合來進行實證分析。 本文的實證結果顯示，彼得林區選股模式適用於台灣股票市場，其投資組合的績效大多高於大盤的績效，且長期績效較短期績效來得佳，其中尤以利用林區比率、本益比、每股現金流量以及每股淨現金等四項指標所建構之投資組合可獲得最佳之投資績效。
並列摘要
This research use CMoney corporate investment decision support systems, simulation the Master Investor Peter Lynch picking mode, as applied to Taiwan stock market, and the mean, standard deviation, CAPM model β and Sharpe ratio performance evaluation to verify whether the model applied to Taiwan stock market and find the best investment strategy. This paper is a sample period from 2002 to 2013, studied the subject for the listed companies in Taiwan, the use Peter Lynch Six picking indicators form a variety of different portfolios for empirical analysis. The empirical results show that Peter Lynch picking mode applies to Taiwan stock market, its performance is higher than most of the market portfolio performance, and long-term performance is more excellent than the short-term performance, especially in the use of forest ratio, PE ratio cash flow per share and net cash per share of four indicators constructed investment portfolio for optimum performance.