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  • 學位論文

以各國企業益本比及國內生產毛額成長率建構國際投資策略含各國風險及公司治理分析

International Investing Strategies Based on Earnings-to-Price Ratios and GDP Growth with Consideration for Risk and Corporate Governance

指導教授 : 林修葳

摘要


中文摘要 本研究主要目的在提供美國投資者一種報酬率優於美國及亞洲9國平均值的財務市場的投資策略。 直到近幾年,此領域的研究才有其重要性及財務上的應用價值。因為在1994至1999年中,美國的累積股市報酬率超過了200%( Dow Jones index 從3800點成長到9000點;NASDAQ100從775成長到1928點),但是在過去的5年中 (1999~2003) 道瓊工業指數累積的報酬率只成長了10%,而NASDAQ 100指數呈現零成長( Dow Jones index 從9000點成長到9800點;NASDAQ100依舊在2000點左右徘徊)。亞洲地區恰巧相反,在1999至2003,過去5年9個亞洲金融市場的累積成長率高達56%。在這情況下,對未來而言,美國的金融市場相較於亞洲市場是否有好的表現仍是個未知數。因此,本論文將提供為想要投資美國的投資者一種具有邏輯及可獲利的國際投資策略。 本文所應用的策略必需先計算加總平均每個國家市值最大的前20家公司的股價,盈餘,股利及每個國家的預期GDP。再結合這些因素以求得”領先指標”。這個指標將幫助投資者決定他們該投資那個國家。風險和每個國家不同的會計報表差異均已考慮。總括來說,本文提供了5種投資決策和比較了每個國家的年度報酬率,風險及財務管理差異…等等。

並列摘要


Reference Information Dunn, Roger Y. “International Investing Strategies Based on Earnings-to-Price Ratios and GDP Growth with Considerations for Risk and Corporate Governance” National Taiwan University, International Business MBA Graduate School Advisor: Professor Lin Xiu-Wei January 31, 2005 Abstract This thesis attempts to equip the American investor with an international investing strategy that outperforms the US financial markets (Dow Jones and Nasdaq) and the average return across nine Asia-region financial markets (Hong Kong, Singapore, China, Taiwan, Korea, Japan, Malaysia, India, Thailand). This field of study did not seem important or financially worthwhile until recent years because although the US stock market has realized over 200% cumulative gains from 1994 to 1999, (Dow Jones index increased from 3,800 to 9,000, and NASDAQ100 index increased from 775 to 1928), however, in the past 5 years from 1999 to 2003, the United States stock market gained only 10% for the Dow Jones and 0% for the NASDAQ (Dow Jones index moved from 9,000 to 9,800 and NASDAQ 100 index remained unmoved at 2000). In contrast, from 1999 to 2003, the cumulative five-year stock returns across nine Asia-region financial markets was 56% vs. 10%(Dow Jones) vs. 0% (Nasdaq). As for the future, it is unknown whether US financial markets will under-perform or out-perform the Asia-region financial markets, however this thesis provides American investors keen on investing internationally a logical and profitable strategy. The strategy applied in this thesis requires the knowledge and calculation of the weighted-average of the top twenty companies on a country’s stock exchange in terms of market capitalization: Price (P), Earnings(E), Dividends(Div), and each country’s expected annual GDP growth for the next year (G). These factors are combined to create an “indicator value” (known as “EG/(P+Div)” in this paper) calculated as E multiplied by G divided by the sum of P and Div, which assists investors in deciding which country to invest in. Risk and accounting reporting differences across countries are taken into consideration. In total, this thesis offers five strategies and compares then against each other in terms of annual returns, risk, corporate governance, etc. Analysis of the five strategies reveals a higher return on investment compared to averages ranging from 163% to 288% of average return, with a risk higher than the averages ranging from 18.3% to 21.68% standard deviation. When returns is divided by standard deviation, strategy #1 proves to be the best in terms of % return per % risk (standard deviation). The concepts in this thesis are easy to understand, logical and simple. Its innovative methodology integrates previously existing concepts, thus only subject-related previous work could be found, but little previous research could be found directly related to this field. In conclusion, the author feels there is further research that can be done to verify and build upon this basic structure and strategy.

參考文獻


Guenther, D.A. (2002) Discussion of Empirical Evidence on the Evolution of International Earnings. The Accounting Review Vol. 77 (Supplement) p. 135-138.
Harvey, C. (Autumn, 1995) Predictable Risk and Returns in Emerging Markets The Review of Financial Studies, Vol. 8, No.3, p. 773-816
IAS and Country Accounting Updates
Land, J., and M. Lang. (2002) Empirical evidence on the evolution of international earnings. The Accounting Review Vol. 77 (Supplement): p. 115-133.
Lang, M., KI Lins, and D. Miller 2003. ADRs, analysts, and accuracy: Does cross-listing in the United States improve a firm’s information environment and increase market value? Journal of Accounting Research Vol. 41, p. 317-345

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