台股風格投資法之研究與探討

張金龍(Ching-Lung Chang)

指導教授 ： 周冠男 ； 何耕宇

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2006年)

摘要

論文摘要
價值投資法(Value Investing)，和成長投資法(Growth Investing)是近年來很多專業投資機構用來選股以及做投資決策的方式。國外專業的資訊機構或網站如Morningstar也對於價值型股票，或是成長型股票做分類，甚至連基金也可分成價值型基金或是成長型基金，以供投資機構或是投資者參考。
國內對於此方面的分類似乎較少見到相關資訊，因此該論文主要是運用一些投資上常見的指標，如本益比、股價淨值比、股利發放率、自由現金流量模型(FCFF Model) 等，參考Fama and French (1992)年有關價值成長股的研究，並以Morningstar 對基金或個股分類的模式，將國內股市十年來所有上市公司，依照價值、混合、成長、橫向分出三類，再將公司依照股本分成大中小三個縱向的分類，如形成一個三乘以三形成九個宮格，每個宮格裏再算出該類型股票之報酬率及變異數，以作為研討台股風格投資箱(Style Box) 之特性。
而實證之結果，台股在1995到2004中毎ㄧ年內成長股的表現大多優於價值股除了2002年外，跟國外一些文獻上價值優於成長股的表現似乎不同，但其實結果不相同主因為期間的不同，本研究主要以短期(一年)追蹤台股報酬，再加上台股屬於淺碟型市場，波動性較大，這點又與其他文獻的研究相符合，當期間較短或波動性較大的情況下，成長股的表現可能表現較佳。

關鍵字

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並列摘要

Abstract
Value investing and growth investing are popular approaches to choose stocks and to make investing strategy by many specialized investment institutes these years. The overseas specialized information institutes or the website (e.g. Morningstar) sort stocks its value stock or growth stock .Mutual funds can be also sorted by value type fund or growth type fund to supply the reference for investment institutes or investors.

We seldom find the above kind of related study in Taiwan, hence the thesis takes advantage of the often seen index of the investment, e.g. ratio of PE, ratio of PB, ratio of dividend granted and FCFF MODEL…etc., We refer to the study of valuable growth stock of Fama and French (1992),and follows the model of Morningstar which sorts funds or stocks to have 3-type by longitude, value, mix and growth, for all of publicly traded companies these ten years. We then sort 3-type by latitude according to company capital--large, middle and small, to form the 3*3 matrix. Every dot matrix can be calculated for its return and variation .

There is the finding that the growing stock is superior to the valuable one within the decade in Taiwan stock. It is different from the results of past literature, The reason might be due to different studying period.
Further more, this study focuses on short time for one year to track the returns of the stock in Taiwan. We note that, Taiwan stock market belongs to shallow-plate market, and the movement is active. From this point, we can still suggest that the results are somewhat identical to other literature when investment period is short or the movement of stock market is large.

並列關鍵字

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參考文獻

3、 Capaul,C.,I. Rowley,and W. Sharpe，International value and growth stock returns，Financial Analysts Journal,1993 Janury/February,pp.27-36

8、 Morningstar Style Box Mrthodology

Morningstar Mrthodology paper 22 March 2004

參考文獻

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