價值投資法實證之研究-以臺灣證券市場為例

蔡素娥(Su-O Tsai)

指導教授 ： 王存國

國立中央大學/管理學院/管理學院高階主管企管碩士班/碩士(2008年)

摘要

股票市場是一個有效率的市場 (Efficient Market Theory)，公司股價長期終究還是會反映實質價值。而投資決策的模式也常藉由價值投資法(Value Investing)和成長投資法 (Growth Investing)風格區分相關探討。目前國際知名的投資研究機構及權威的基金評鑑機構：晨星(Morningstar)也對於股票或基金投資組合，把影響基金績效表現的兩項因素單列出，該方法是給投資分類和追蹤基金標準，嚴謹的投資風格，驅使本研究以此九宮格之風格箱法來區分台股價值型與成長型股票的報酬優劣。
國內在風格分類似乎較少見到投資風格的特殊相關資訊，隨著現代投資產品多變化之發展及電腦資訊科技進步，在實務上以「數量化方法」進行投資分析，以建構策略性投資組合或多空動態投資組合，判斷將可能成為未來計量模組流行趨勢導向。本論文主要是藉傳統組合演進到計量模組及現代著名投資大師，乃運用在投資上最常見的價值因子、規模因子與採用知名機構晨星公司(Morningstar)對基金或股票分類的模式，將國內股市三年來上市公司，依照X軸與Y軸分類，就是規模和風格劃分形成一個三乘以三形的九個宮格即風格箱 (Style Box)。在每個宮格內各規模類型股票：價值型公司(Value )、混合型公司(Core )、成長型公司(Growth)之報酬率，以作為研討台股投資風格之特性。實證之結果發現：
一、台股在近三年內價值股的表現大多稍優於成長股，跟國外一些文獻上價值優於成長股的表現似乎相同，但跟有些國內文獻成長優於價值股不同，其實並不違背，主因為期間的不同差異化。
二、在本研究期間價值型股票與成長型報酬稍優差異不大，報酬率相距微小，亦可判斷一致性。主因時間以短期一年追蹤台股三年間報酬，再加上台股屬於淺碟型市場，波動性較大，當期間較短或波動性較大的情況下，成長股的表現可能表現較佳；探究其原因臺股在這三年總體經濟環境與景氣循環關係，直接顯示台股資本市場內含價值趨勢浮現，最終控制股價的因素則是經濟效益趨勢，公司股價長期終究還是會反映實質價值有效率的市場。

關鍵字

價值投資 ； 投資風格 ； 成長投資 ； 淺碟型市場

並列摘要

The stock market conforms to the Efficient Market Theory. Stock prices eventually reflect the real value of companies. Two models of investment decision making, which are Value Investing style and Growth Investing style, are discussed and compared in this study. Morningstar, an internationally well-known investment research institution and authoritative mutual fund rating agency, also lists two factors that affect the performance of mutual funds for stocks or portfolios of mutual funds. The method gives a conscientious investment style to investment classification and fund tracking criteria, which drives this study to distinguish the level of returns between value stocks and growth stocks by a matrix with nine squares, the Style Box.
In Taiwan, in terms of style classification, there seems to be little specific information for investment style. With diverse development of modern investment products and great progress of information technology, the “Quantification Method” is employed for investment analysis in practice to construct a strategic portfolio or a long-short dynamic portfolio. It is considered that such a method may become the trend of future quantitative modules. This study deduces to quantitative modules and the contemporarily well-known investment genius. The value factors and the scale factors commonly used in investment are applied and the classification model for stocks or funds used by the well-known Morningstar is employed to classify the domestic companies listed on TSE in the past three years according to the X and Y-axises of the Style Box, a matrix with nine squares, divided by scale and style. The average return rates of the stocks in the nine squares, including value companies, core companies and growth companies with small, medium and large scales of portfolios, respectively, can be used as the reference to analyze the characteristics of investment style of Taiwan stocks. The followings are found empirically:
1. In Taiwan, value stocks slightly outperformed growth stocks for the past three years, which appears to be similar to the result that performance of value stocks is superior to that of growth stocks, as shown in some of foreign literature. However, it does not conflict with the result that performance of growth stocks is superior to that of value stocks shown in other foreign literature. The main reason is that the difference of periods makes the divergence.

2. During the period under study, the return of value stocks is superior to that of growth stocks. However, the level of outperformance is tiny and the difference between returns is very small, so these can determine the consistency. The main reason is that returns of Taiwan stocks for the past three years are traced by a short-term (one year) performance. Furthermore, Taiwan stock market is a shallow-plate market with high volatility. Under the circumstances of a shorter period or higher volatility, growth stocks may yield a better performance. When we probe the reason, we find that Taiwan stocks for the past three years directly present that the Taiwan stocks’ embedded value of the capital market has been emerging because of the macroeconomic environment and the business cycle. The final factor that controls stock prices is the trend of economic benefits. Stock prices of companies will eventually reflect their real value in the long term, which conforms to the Efficient Market Theory.

並列關鍵字

Growth Investing ； Investment style ； Value Investing ； Shallow-plate market

參考文獻

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