與投資領域有關的二篇文章：第一篇：股票的篩選與評估；第二篇：技術分析指標萃取的股價訊息量

Two Essays Related to Investments: Performance Evaluation for the Stocks Screened and Stock Price Informativeness in Terms of Technical Indicators

陳育欣(Yu-Hsin Chen)

指導教授 ： 邱建良

共同指導教授 ： 倪衍森(Yen-Sen Ni)

淡江大學/商管學院/財務金融學系博士班/博士(2018年)

https://doi.org/10.6846/TKU.2018.00937

摘要

本研究參考的訊息包括了涵蓋多項指標的巴菲特的股票篩選法則、多因子模型、技術分析指標、公司治理變數與財務報表變數等。其中第一篇文章乃是採用巴菲特的股票篩選法則是否能裨益在台股投資上的獲利，而且實證也顯示投資人採用巴菲特的擇股法則來篩選台股，確實有可取之處。而第二篇文章乃是以RSI指標來萃取股價超買超賣的訊息量，並發現股價超買的訊息量與有市場力量者如機構法人與大股東行為有關，此或許有助於投資人股價超買之際，應該要更小心來應對。以下為本論文所探討的二篇與投資有關的文章的介紹。
第一篇是對巴菲特提出的選股法則以及Fama-French多因子模型的概念綜合探討。本文使用巴菲特提出的選股法則來篩選在台灣證券交易所上市的股票。令人印象深刻的是，第一年的平均股價報酬率高達29％。扣除市場平均報酬後的平均超額報酬仍達到13％。我們進一步運用Fama-French的多因子模型來探討財務報表上的各種因子，運用在已經由巴菲特選股法則所篩選出來的股票中，其超額報酬是否尚能顯著提升。我們發現，BE/ME最高的組別，其股票報酬率為108％，扣除市場報酬後的股票報酬率仍達到61％。實證發現綜合考量巴菲特選股法則和BE/ME條件，可提供投資者更有效率的參考資訊。
在第二篇文章中，我們以RSI指標所顯示股價過熱（過冷）的天數占全年交易天數為股價超買（賣）訊息量（DOB（DOS））的代理變數，並探討此代理變數是否會受到股權結構、財務報表，甚至具有市場力量等變數所影響。而本實證結果顯示，非擔任董監事的前10大股東，似乎是推升股價超買訊息量（DOB）的主要推手，因為股價推升似能吸引投資人介入；然而，機構投資人卻反而減少持股，亦為機構法人在技術指標高檔時有出脫持股的痕跡，是以本實證結果說明散戶在股市高檔時介入時，更需謹慎以對。
因此，吾等認為，股票篩選法則、技術指標、公司治理、財務報表、有市場力量者的行為等因素，都是可供市場參與者用於投資決策時的重要參考資訊。是以在投資者或可收集這些相關資訊，因為這些資訊不僅有助於投資者篩選投資標的，也可以讓投資者瞭解有市場力量者在資本市場上著墨的痕跡。

關鍵字

股價表現 ； 股票篩選 ； 投資策略 ； 股權結構 ； 相對強弱指數 ； 機構投資人

並列摘要

This study takes several indicators including the screening rule which proposed by Warren Buffett, multiple factor models, technical indicators, corporate governance, and financial statements into account in stock market investments. In this dissertation, we include two papers related to investments for further investigation. The first paper is to explore whether investors are able to make profits by investing the stocks according to the screening rule suggested by Warren Buffett, and the results show that screening the stocks according to Warren Buffett does matter in investing stocks listed in Taiwan Stock Exchange. This second paper is propose a new proxy for stock price overreaction informativness, and the results show this proxy might be related to the behaviors of the investors with market force such as top 10 shareholders and institutional investors. In addition, the revealed results might indicate that investors should be careful in copying with stock markets as stock price overbought informativeness occurred. We then introduce these two essays as below.

In Essay one, we aim to select stocks by employing the screening rule proposed by Warren Buffett, thereby deriving several impressive findings. First, the stock and abnormal returns of up to 29% and 13%, respectively, for the screened stocks impressed investors. Second, we divided our screened observations into 10 groups by using the BE/ME factor in accordance with the Fama–French three-factor model and affirmed that BE/ME would be considered for the stock classified and screened, especially for the top BE/ME. Third, the stocks screened according to the insight of Buffett significantly matter due to their superior performance.

In Essay two, we argue that stock price overreaction phenomena such as overreaction zones are likely measured by technical trading indicators like relative strength index (RSI). In this study, we propose whether a new proxy for share price informativeness, the days falling into overbought (oversold) zones defined by the RSI over the total number of trading days in a year (hereafter referred to as DOB (DOS)), would be affected by financial performance, and even board structure. Result reveals that the top 10 shareholders without being recruited as directors might enhance DOB instead of DOS resulting in raising share prices, which might appeal investors to pursue stocks at a rather higher price; however, institutional investors might decline their shareholding as share prices falling into overbought zones measured by the RSI. We argue that these impressive findings undisclosed before might contribute to the existing literature.

In sum, we argue that the approach of screening stocks, technical indicators, corporate governance, financial statements, and the behaviors of investors with market force could be taken into account seriously in stock market investments. As a result, investors might take the relevant information in terms of these concerns mentioned above into account, which might be beneficial to know how to enhance profitability by investors stocks screened according to the wisdom of Warren Buffett. In addition, while investors know the trace of the investors with market force, this study suggest that investors had better not purse higher prices as the occurrence of stock market overreaction.

並列關鍵字

Stock price performance ； Screened stocks ； Investing strategies ； Board structure ； Relative strength index ； institutional investors

參考文獻

Aggarwal, R., Erel, I., Ferreira, M., & Matos, P. (2011). Does governance travel around the world? Evidence from institutional investors. Journal of Financial Economics, 100(1), 154-81.

Aharony, J., & Swary, I. (1980). Quarterly dividend and earnings announcements and stockholders' returns: An empirical analysis. The Journal of Finance, 35(1), 1-12.

Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.

An, H., & Zhang, T. (2013). Stock price synchronicity, crash risk, and institutional investors. Journal of Corporate Finance, 21, 1-15.

Armstrong, C. S., Core, J. E., & Guay, W. R. (2014). Do independent directors cause improvements in firm transparency? Journal of Financial Economics, 113(3), 383-403.