本研究發現使用巴菲特價值型選股模式及財務指標選股策略在多頭市場進行投資之績效均能優於大盤股票報酬,但是在空頭市場卻有部份投資績效劣於大盤之情形。因此,本研究嘗試加入空頭市場指標後進行分析,以檢視所建立之簡單投資策略不管在多頭或空頭市場下之投資績效是否皆能優於大盤之績效。 本研究加入β值將其區分成大中小三個組別,並在上市櫃公司進行區分後,再使用7項財務指標進行個股之篩選。實證結果發現,在多頭市場中不論是上市或上櫃公司各β群組報酬率皆能優於大盤;在空頭市場下,上櫃公司各β群組也皆能優於大盤;上市公司只有大β群組報酬率能優於大盤,其中又以現金殖利率及負債比率的績效表現為最佳。第二階段利用績效較好的財務指標組成複合式指標,其表現更能有效優於大盤,並且檢視在多空頭市場情況下,依照複合式指標做為擇股的門檻,其表現可以有效優於大盤,因此投資人可以選擇自己的投資風格進行擇股。
How to increase personal wealth and enhance the quality of life has become more important these years. By reviewing the value investment strategies and the financial indicators selection strategies in domestic and foreign literature to find out some financial indicators and establish investment strategies to compare with TAIEX. The results show that using Warren Buffet’s value stock selection strategy and financial indicators selection strategy of stock market investment performance in the bull market can show better than the TAIEX return, but there are some investment performance are worse than the TAIEX in the bear market. Therefore, we examine the relationship between TAIEX return and combine β groups with Earnings Per Share, Price to Earnings Ratio, Price-to-book Ratio, Return on Stock Holders’ Equity, Cash Dividend Yield, Liability Ratio and Price-sales Ratio for a sample ranging from Taiwan listed firms in 2001 to 2016. We uses seven financial indicators to select firms stock from January 2001 to December 2012, and invest in January 2013 to December 2016, looking for whether the strategies performance can better than TAIEX performance.