本研究以中國滬深300做為研究樣本,採用隨機優勢角度檢視價值投資與成長投資是否具有價值與成長之效應以及規模效應,中國滬深300約覆蓋了滬深市場六成左右的市場價值,具有良好的市場代表性。研究過程中以本益比與股價淨值比作為價值與成長之分類,並輔以每年重新檢視投資組合方式進行本研究。實證結果顯示:在本益比的分類下,多頭與盤整時期為「小規模成長型」投資組合表現最為亮眼,此現象具有成長規模效應,而在空頭時期則以「大規模成長型」與「小規模成長型」皆是隨機優勢下的效率組合,此現象具有成長效應;另外在股價淨值比分類下,無論是全樣本之研究期間、多頭時期、空頭時期與盤整時期,實證結果均顯示「大規模成長型」與「小規模成長型」投資組合皆是隨機優勢之效率組合,其中又以「小規模成長型」更為突出。
This study examines the abnormal return of value and growth investment in China Securities Index 300 (CSI300) in terms of stochastic dominance. CSI300 is representative which covers about 60% of market value of Shanghai and Shenzhen market. This study uses P/E ratio and P/B ratio to classify value and growth portfolios and re-examines portfolios annually. The empirical results reveal that in P/E ratio group, “growth in small size” is effective in all market states; “growth in big size” is only effective in bearish market state. In P/B ratio group, both “growth in small size” and “growth in big size” are effective in all market states, especially “growth in small size”.