本研究主要參考Piotroski (2000 )做法,以台灣證券交易所之上市962家與上櫃787家公司為研究對象,資料來源使用台灣經濟新報 (TEJ )資料庫,研究期間於2015年1 月5日至2020年12 月31 日止共6年,採用買進持有 (Buy and Hold )的投資策略,連續持有六年,基本面分析選股模型,再搭配一般投資人常用的本益比 (PER )及股息殖利率 (Yield )作為選股指標建構投資組合,再計算出6年平均年報酬率及市場調整後平均年報酬率與6年累積總報酬率及市場調整後6年累積總報酬率,投資組合報酬率採簡單加權計算,以檢視比較不同類型的成長型股及價值型股投資組合之績效。實證結果如下: (1 ) 以F-score平均值比較,顯示上市股票基本面財報分析評分結果比上櫃股票佳。 (2 )台灣上市及上櫃股票市場,財務體質佳的價值型股及成長型股的投資報酬率皆優於大盤。根據上述結果顯示,運用公司歷史財務資訊為基本面的長期投資選股策略是可行的,但是,投資是有風險的,建議投資人應該審慎為之。
The purpose of this study is to adopt Buy and Hold strategy to examine the relative performance of stock portfolios based on the three sorting criteria: F-score indicator proposed by Piotroski (2000 ), price-to earnings ratio and dividend-to-price ratio for the Taiwan stock markets. The sample period is from January 5, 2015 to December 31, 2020. The empirical results of this study are as follows. First, the results of F-score show that fundamental analysis of listed stocks in Taiwan Stock Exchange out perform those of listed stocks in OTC stock markets. Second, the performance of value and growth investment portfolios in Taiwan Stock Exchange and OTC stock markets are better than the market index. In short, the conclusion is that investors can improve the performance of the value and growth strategy based on F-score with price-to earnings ratio and dividend-to-price ratio. Our results expect to have investment implications for investors in emerging Taiwan stock markets.