本研究分別利用以本益比(P/E)及市價/淨值比(M/B)為選股模式之基本價值與成長投資策略(VGS)分析1999至2008年間的標準普爾500指數(S&P500),研究結果顯示以本益比(P/E)為選股模式之VGS可創造出9%之年平均價值溢酬,而以市價/淨值比(M/B)為選股模式之VGS可創造出17%之年平均價值溢酬。在調整了暫時性盈餘並重新計算本益比(P/E)後,能夠將以本益比(P/E)為選股模式之VGS績效提高,年平均價值溢酬約增加5%至7%,但另一方面,卻無法找到充足證據證明在調整了會計保守穩健後,能夠將以市價/淨值比(M/B)為選股模式之VGS績效提高,調整後之年平均價值溢酬並未改善。
This study shows that value and growth strategies(VGS) based on price-to-earnings (P/E) and market-to-book (M/B) performed on the Standard & Poor 500 index (S&P 500) between 1999 and 2008, P/E based VGS can generate an annual value premium of 9%, M/B based VGA can generate an annual value premium of 17%. When adjusting for transitory earnings and recalculate the P/E ratio, it increases the P/E based annual value premium by 5 to 7%, but adjustments for the accounting conservatism does not provide sufficiently strong evidence that it can increase the M/B based annual value premium, that is, the adjustments for the accounting conservatism can’t improve the M/B based annual value premium.