摘要 本研究建立一投資決策模型,以公司獲利能力、股票殖利率與自由現金流量的基礎建立之PDF 模式(profit, dividend, and free cash flow)。採用買進並長期持有的方式加以分析,並以大盤及賴靖宜等(2011)修正後之F_SCORE模式為對照組進行比較。本研究實證結果發現PDF模式 與F_SCORE及大盤之間的平均累績報酬比較,2004年累積報酬PDF模式優於大盤與F_SCORE。2005年之後,PDF模式的累積報酬率由13.51%增加至2007年的86.82%,雖然在2008年因為金融海嘯,累積報酬剩下35.36%,但於隔年2009年即提升至149.46%,至2013年更提升至300.34%。2008~2013年累積報酬率大盤與F_SCORE的表現皆落後於PDF模式。顯示本研究結果能夠協助投資者進行投資,達成獲利之目的。
Abstract In this study, an investment decision-making model called the profit, dividend, and free cash flow (PDF) model was established based on companies’ profitability, dividend yield, and free cash flow. This study analyzed the stocks purchased and retained for a long period of time, and compared the PDF model with the Taiwan Capitalization Weighted Stock Index (TAIEX) and the modified F-score model modified by Lai, Doong, Yang, and Miao (2011). The empirical results indicated that the average cumulative return on TAIEX was lower than that on the PDF and modified F-score portfolios. Further, from 2008 to 2013 the cumulative return on the PDF portfolio increased from 35.36% to 300.34%. The performance of PDF was superior to that of the modified F-score portfolio.