台灣股市本益比之影響因素及投資績效分析

The analysis of factors influencing P/E ratio and investment performance measurement in Taiwan equity market

劉上旗(Shan-Chi Liu)

指導教授 ： 李存修

國立臺灣大學/管理學院/財務金融學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.01473

摘要

有「台灣先生」之稱的谷月涵先生在其「投機到投資」一書中提及，其服務過的美林證券集團研究部門曾針對數十個與企業營運相關聯的數字，試圖找出最貼近股票市場的指標，最後他們發現，長期評估下來，愈複雜的指標，預測的準確性愈低，反倒是愈簡單的指標預測的準確性愈高，本益比(P/E Ratio)即是其中之一。
面對近幾年來市場本益比每況愈下的現象，引發本論文研究動機，本研究將針對此一股市慣用的評估指標，以實務運用的角度，探討其主要因素以及對投資績效之應用與影響。
實證結果如下：
一、全球股市近幾年本益比並不同調，而台股本益比確實隨美國股市、內部資金及籌碼因素而逐年下降。
二、台股本益比可藉由兩岸關係和緩、企業整合及現金股利發放率的提升，由過去幾年的de-rating轉而變為re-rating
三、依個股本益比高低選擇交易時點的實證中，台積電及台塑等屬“穩定景氣循環並可於每波循環榮景高獲利”的產業龍頭股，模型勝率可達75%以上，模型平均報酬亦有15%以上。

關鍵字

本益比 ； 風險溢酬 ； 現金股利發放率 ； 企業評價

並列摘要

Peter Kurz, founder of the well-known financial consulting company Mr. Taiwan.com, wrote in his book “Speculation to Investment” that the research department at Merrill Lynch has tried to find the best indicators to the stock market among dozens of figures relating to companies’ operations. According to Merrill Lynch’s research, the more complex the indicators are, the less accuracy the results show in the long term. On the contrary, simple indicators exhibit higher accuracy in predicting the market, and price to earnings (P/E) ratio is one of such indicators.

The P/E ratio of the Taiwan stock market has been trending down in recent years. The author has tried to use this simple and popular indicator with real world aim to investigate the reasons behind the downtrend and impacts on the portfolio performance.

The findings are as follows:

1. The levels of P/E ratios vary from market to market. The P/E ratio of the Taiwan stock market indeed shows a downtrend on the U.S stock market, domestic fund flows, and liquidity issues.

2. There will be a re-rating of the Taiwan market with the easing of cross-strait relations, integration of enterprises and the improvement in dividend payout ratio.

3. In the empirical study that uses PER as the only determinant of trading, the bellwethers such as Taiwan Semiconductor Manufacturing Company and Formosa Plastics Corp. are the best examples of the industries that have predictable business cycles and the profits are repetitive at the peak of each cycle. The odds of this model are as high as 75% and the model exhibits an average return of more than 15%.

並列關鍵字

P/E Ratio ； Risk Premium ； Dividend Payout Ratio ； and Enterprise Valuation

參考文獻

吳啓銘，2001，企業評價(個案實證分析)。

劉維琪、李佳玲，1993，運用隨機優勢模式再探討台灣股市本益比效應，會計評論，第27期，第1-24頁。

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