營收觀點的投資策略分析

Investment Strategy Analysis – An Aspect of Firm’s Earnings

賴秉毅(Bing-Yi Lai)

指導教授 ： 張永郎

朝陽科技大學/管理學院/保險金融管理系/碩士(2015年)

摘要

如何在股票市場中獲得超額報酬是財務領域中的熱門話題，許多學者不斷尋找能超越大盤的投資策略，並且已發展出許多能獲得超額報酬的投資策略。本研究主要目標是建構不僅擁有超額報酬並且在控制市場因子後還能存在超額報酬率的投資策略，本研究使用2005年到2009年台灣上市上櫃公司為樣本，根據過去文獻以股票基本面為基礎，挑選出三個選股指標組成投資策略，並用運用超額報酬與異常報酬兩種方式去衡量投資策略的績效。研究結果發現以超額報酬衡量時，在未控制風險因素前，研究期間內的累計超額報酬率皆為正且顯著，且持有2~17個月效果較佳。以異常報酬衡量時，在1~6個月累計異常報酬率為正顯著，但在18~36個月為負顯著，顯示本研究的投資策略在短期之下擁有足以打敗大盤的能力。之後使用時間序列迴歸分析法及橫斷面迴歸分析法來檢驗Carhart四因子模型對投資策略超額報酬與異常報酬的解釋能力。實證結果發現，在控制市場因子、規模因子、淨值市價比及動能因子後，本文發現超額報酬與異常報酬卻消失了，此結果顯示在營收觀點下的投資策略似乎不存在市場無法解釋的超額報酬與異常報酬，此外實證結果亦證明四因子可以解釋本研究的超額報酬與異常報酬。

關鍵字

時間序列迴歸分析 ； 四因子模型 ； 基本分析 ； 投資策略 ； 橫斷面迴歸分析

並列摘要

How to get excess returns in the stock market is a hot issue in the financial market. Many scholars continue to looking for an investment strategy that can earn excess returns. However, prior literature has widely proved that many investment strategies could get the abnormal returns. The main purpose of this study is to construct an investment strategy that could get excess return when controlling market factors. By adopting the dataset of listed firms in Taiwan stock market from 2005 to 2009, three fundamental-based indexes are selected to establish the investment portfolio. The excess return and abnormal returns are used to measure investment strategy performance. When the excess return is used, we find that the excess return is positive and significant before we control the risk factors, and has better returns in 2~17 months. When the abnormal return is used, we find that the abnormal returns is positive and significant in 1~6 months, but is negative and significant during 18~36 months. The evidence indicates that our investment strategy is able to earn excess returns in short term period. Additionally, the results of time-series regression analysis as well as cross-sectional regression analysis of Carhart four-factor model show that the excess returns and abnormal returns are explained by risk factors. In other words, the empirical results show that the excess returns and abnormal returns disappear after control the market factor, size factor, book to market factor and momentum factor. Overall, the evidence indicates that the investment strategy of earnings aspect cannot generate excess return after controlling four risk factors.

並列關鍵字

Time Series Regression Analysis ； Four-Factor Model ； Fundamental Analysis ； Investment Strategies ； Cross-Sectional Regression Analysis

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