以改良F-score指標建構投資組合績效之探討

因投資者可藉由基本面分析來衡量公司價值後擬定投資策略，本研究以Piotroski（2000）所提出的F-score原指標為基礎，再增加三個新的指標，包含：股利殖利率、自由現金流量與董監持股比例，共計十二項財務指標逐項給予樣本公司評分去篩選出分數排名前5%的個股來建立投資組合，與大盤（加權指數）互相比較，探討篩選出來的投資組合報酬率是否會較大盤佳。並將篩選出積分排名在前5%的樣本，依據本益比區分成低本益比之價值型股票與高本益比之成長型股票，建構成兩個投資組合，探討哪一群組的投資組合報酬率會較佳。最後加入買進持有的期間長短分別計算投資組合的報酬率，探討哪一種投資策略的投資組合報酬率會較佳。研究結果發現，以改良F-score指標所建構的投資組合績效，不論持有期間的長短，其平均報酬率表現皆優於大盤。而在持有期間為一年與兩年下，價值型選股方式之報酬表現明顯優於成長型選股方式，顯示價值型投資確有其功效。

關鍵字

F-score ；價值投資；本益比

並列摘要

Since investors can use the fundamental analysis to measure the company's value and then formulate the investment strategy, this study is based on the original F-score indicator proposed by Piotroski (2000), adding three new indicators: dividend yield, free cash flow and the stocks holding ratio by directors, totally 12 financial indicators are used to calculate scores to screen out the top 5% of the samples to establish a portfolio. To confirm whether the return of the portfolio will be better, this study compares portfolio performance with the market (Taiwan weighted stock index). Further, using selected samples which the scores are the top 5%, the study divided them into growth stocks and value stocks based on the P/E ratio, and builds two portfolios to explore which performance is better. Finally, adopt the period of purchase and hold to calculate the return of the portfolio, and explore which investment strategy will create a better return on investment portfolio. The study found that the average investment performance of portfolio constructed by the enhanced F-score is better than the market, regardless of the length of the holding period. In the one-year and two-year holding period, the performance of the value stocks are obviously better than the growth stocks, indicating that the value investment is effective.

並列關鍵字

F-score ； Value Investment ； P/E ratio

參考文獻

于慎為(2011)。價值型投資考量法人籌碼動能下的選股策略-以台灣股市為例(未出版碩士論文)，私立淡江大學，新北市。 doi: 10.6846/TKU.2011.00010

陳祐祥、曹慧華、黃秀珍(2017)。上市公司股價報酬率決定因子之研究，管理資訊計算，6卷(4)，1-9。 doi: 10.6285/MIC.6(S4).01

邱志昌(2011)。台灣上市櫃公司盈餘管理運用結構探討，真理財經學報，25，39-66。 doi: 10.29963/TOJEB.201112.0003

Bauman, W. S., Conover, C. M., & Miller, R. E. (1998). Growth versus value and large-cap versus small-cap stocks in international markets. Financial Analysts Journal, 54(2), 75-89. doi: 10.2469/faj.v54.n2.2168

Berkman, H., Cole, R. A.& Fu, L. J.(2009). Expropriation through loan guarantees to related parties: Evidence from China. Journal of Banking & Finance, 33 (1): 141-156. doi: 10.1016/j.jbankfin.2007.11.001

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以改良F-score指標建構投資組合績效之探討

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