懶人投資法可以打敗台灣股價加權指數嗎?

Can Lazy Person Investment Method Beat Taiwan Stock Market？

蔡宸蓁(Chen-Jhen Tsai)

指導教授 ： 李樑堅

共同指導教授 ： 黃永成(Yung-Cheng Huang)

義守大學/管理學院/財務金融學系/碩士(2014年)

https://doi.org/10.6343/ISU.2014.00390

摘要

茫茫股海，要如何找到簡單、明確又容易執行的懶人投資法來進行選股及買賣呢？本研究以台灣上市公司中的大型股為研究樣本，採用2003年12月至2013年12月共10年之相關數據資料，進行計算各項選股指標之報酬率，然後和大盤報酬率相比較，並篩選出報酬率優於大盤之指標。研究結果發現短期投資(一年期)中，六項單一指標選股的十年平均年報酬率都優於大盤的十年平均年報酬率，其平均報酬率排名高低順序為現金殖利率、股東權益報酬率、資產報酬率、每股盈餘、本益比及市價淨值比，因此這六項選股指標都可以當作懶人投資法的選股指標。其中將低本益比和高現金殖利率兩指標結合進行複合指標選股後，發現其報酬率為最佳，十年平均年報酬率達25.52%，明顯優於大盤十年平均報酬率7.53%，經過t檢定後，指標選股的報酬率與大盤比較的p值皆具有顯著水準，顯示市場仍存在超額報酬，因此可說明台灣股票市場並不符合半強式效率市場假說。
本研究另外將各選股指標連續三年前20名的個股進行長期投資，發現其報酬率皆優於大盤，顯示懶人投資除了依前述選股指標採每年選股投資外，也可以選取長期表現優異的績優股進行投資。

關鍵字

懶人投資法 ； 現金殖利率 ； 本益比 ； 平均年報酬率

並列摘要

The stock market is complicated and fill with uncertainty, how to set up a simple, clear and easy way which we named it as “the method of lazy person investment” in stock transaction?In this study, we are focusing on Taiwan's large-cap listed companies as samples by using their data from December 2003 to December 2013. By calculating the return of the selected stock as indicators, compared to the market rate of return, and filter out the stocks having higher rate of return than the overall market indicators. The results showed that the ten-year average return of the indicated six target stocks are better than the ten-year average return on the overall market. The average rate of return ranked in the descending order of cash yields, return on equity, return on assets, earnings per share, price earnings ratio and price-book ratio. After using the combination of low PE ratio and high cash dividend yield as a composite stock selection indicators, we found find the best rate of return which ten-year average returns is 25.52 percent, significantly better than the overall market average rate of return of 7.53%. After T-test, there are significant differences in P-value between the rate of return of target stocks and the overall market. It demonstrates that the excess returns still existed in the market; therefore, it explains that the Taiwan stock market is not in line with the semi-strong efficient hypothesis.
By carrying out long term investment on the top twenty target stocks in three consecutive years, the returns are found to be better than the overall market. This result shows that in accordance with the aforementioned method of lazy person investment is effective in indicators collected annually, and is also effective in the selection of the investment of blue chip stocks.

並列關鍵字

Lazy Person Investment Method ； Cash Dividend Yield ； PE Ratio ； The Average Annual Rate of Return

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