台灣股票市場投資週期之研究

Research on the Investment Cycle in Taiwan Stock Market

陳昶樹(Chang-Shu Chen)

指導教授 ： 吳忠敏

國立臺北科技大學/管理學院/管理學院工業工程與管理EMBA專班/碩士(2011年)

摘要

在所有投資理財工具中，股票市場一直是大眾最熟悉的投資工具之一，近年來隨著外資的開放，越來越多的法人投入台灣股票市場，相對的散戶投資大眾卻因為資訊不對稱及對各上市櫃公司財務資訊背後所代表的意義無法透徹了解，以致投資績效遠低於三大法人，如何訂定投資策略與操作紀律，價值投資在長期投資已被實證是一種有效的投資策略，然而台灣的股票市場是以短線(散戶)投資、週轉率高之淺碟型市場，價值型投資在一年期以下短期投資交易的報酬率是否與長期投資一樣有超越大盤或更勝於長期投資報酬率!是值得探討的。
本研究以2004年至2011年4月台灣上市櫃公司為研究樣本，透過價值投資選股策略，選出投資組合在投資週期1年(含)以下之投資績效與大盤比較，研究結果顯示價值投資法選出之投資組合報酬率明顯優於大盤，實證之報酬率以投資週期3個月之投資策略報酬率較佳。另研究結果顯示不論上市、上櫃公司電子業或傳統產業在股市處於上漲多頭格局，投資操作以12個月投資週期報酬率相對較佳，在股市處於盤整或空頭格局，上市公司以3個月投資週期報酬率較佳，上櫃公司則是以3或6個月投資週期報酬率相對較佳。電子業在股市處於盤整或空頭格局，以2或3個月投資週期報酬率相對較佳，傳統產業在股市處於下跌空頭格局，以6個月投資週期報酬率相對較佳，在股市處於盤整格局，則以12個月投資週期報酬率相對較佳。在產業類股方面，則以上市鋼鐵工業、塑膠業、化學生技及觀光業的報酬率相對較佳，價值投資法運用在台股短期投資選股具有參考價值。

關鍵字

價值投資 ； 投資週期

並列摘要

Among all the investment tools, the stock market is one of the most familiar tools to the general public. Since the Taiwanese government permitted Foreign Institutional Investor(s) to directly invest in Taiwan’s stock market, more general foreign juristic persons & natural persons were also allowed to invest in recent years. And it’s always the general public who earn the lowest returns than the foreign & other investors due to lack of information & not thoroughly understanding the meanings behind the financial information of the listed companies. How to set up investment strategies & operation rule to pick right targets is very important to the general public. Backed by a lot of evidence, Value Investing has proved to be an effective investment strategy & could have good performance. As most investors are short-term arbitrators, Taiwan’s stock market is shallow dish market with high turnover, we want to use this study to test how Value Investing performs in the short-term; if the performance is as good as investing in the long-term or better?
This study formed a portfolio, choosing the objectives of Taiwan listed & OTC companies which fit into the principles of Value Investing during the period of April 2004 to April 2011 & comparing the short-term (1 year & less) and TAIEX performance of these objectives. This study results clearly showed that the performance of short-term investment through Value Investing is better than TAIEX performance. Among the 5 investment cycles within one year term, the return rate of a 3-month investment cycle strategy works better than others. Besides, this study results also showed that the investment operation works better for a 12-month cycle when bull market comes, no matter the listed/OTC companies are in ICT or traditional industries; and when bear market comes or in consolidation, the return rates of listed companies work better for a 3-month investment cycle, as to the OTC companies, choosing for a 3- to 6-month investment cycle is better. The return rate of ICT industries works better for a 2- to 3-month investment cycle in bear market or consolidation status. The return rate of traditional industries works better for a 6-month investment cycle in bear market & better for a 12-month cycle when market is consolidating. Concerning to the industry categories, the return rates work better for listed companies in steel, plastic, chemical biology & tourism industries. Overall speaking, it’s worth of reference value using Value Investing in the short term investment in Taiwan’s stock market.

並列關鍵字

Value Investing ； Investment Cycle

參考文獻

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