價值型投資在不同股市循環之績效研究-以台灣股市為例

The Performances of Value Stocks in Different Fluctuation Stages of Taiwan Stock Market

陳昭燕(Chao-Yen Chen)

指導教授 ： 洪仁杰

國立屏東科技大學/管理學院/高階經營管理碩士在職專班/碩士(2012年)

https://doi.org/10.6346/NPUST.2012.00117

摘要

論文摘要內容:
本文旨在探討價值型投資策略之績效。本研究嘗試著加入股利率的概念及股市循環的因素來加以探討。首先採用Lakonishok, Shleifer, and Vishny（1994）的單因子、雙因子分類法，作為區分價值股與成長股的依據；其次，並導入規模之因素，另外以目視法分段區分多空市場轉折之特徵，包含日均量對應指數之變化、大盤融資維持率及股價淨值比之相關性等。

實證結果如下：
(一) 台灣股市的「價值效應」與股市循環無關。
(二) 規模效應存在於小規模投資組合中，但群組標的股過多則無顯著差
異。
(三) 逐年檢視投資組合，剔除股利率為零之投資組合標的股票，有助於
提高投資組合之績效。
(四) 多空市場之投資績效確實有顯著的不同。
(五) 判別股市循環多空轉折點之特徵，是投資者進出股市擇時的重
點。

關鍵字

價值股 ； 股市循環 ； 股利率

並列摘要

The contents of abstract in this thesis：
This study aimed to investigate the performance of value stocks. The dividend yield and the stock fluctuation stages were taken into consideration. This study followed the classification method of Lakonishok, Shleifer, and Vishny（1994）to divide the stocks into value stocks and growth stocks and then capital size was considered. In addition, stock fluctuation stages were divided according the historical fluctuations to describe the characters of bull or bear markets of daily trading volume, the market-to-mortgage ratio and price-to-book values etc.

1. The value stock effect has no relation with stock fluctuations.
2. There existed size effect only in small scale portfolio.
3. Rebalancing the portfolio to delete the stocks with negative dividend yield improved the portfolio performance.
4. There existed differences in performances in bull and bear markets.
5. To judge the characters of bull or bear markets helped investors in terms of investment timing.

並列關鍵字

Value Stock ； Stock Fluctuation Stages ； Dividend Yield

參考文獻

許光華,李見發,嚴宗銘,吳采真(2010)，價值股與成長股的投資策略分析

劉秉龍(2002) ，成長型與價值型投資策略之實證分析-以台灣股市為

Bry, G., and C. Boschan (1971), “Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, ”NY: National Burceau of Economic Research.

Banz, Rolf. W.(1981), “The Relationship between Return and Market Value of Common Stocks,” Journal of Financial Economics, March, 3-18.

Chan, L. K. C. , and J. Lakonishock (2004).“ Value and Growth Investing:Review and Update,” Financial Analysts Journal, 60(1), 71-86.