現金流量投資組合擊敗市場可行性評估

陳柏齡

doi:10.6846/TKU.2015.00078

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現金流量投資組合擊敗市場可行性評估

Availability of beat the market of per share cash flow portfolio

陳柏齡 , Masters　　Advisor：李又剛　　

繁體中文 DOI： 10.6846/TKU.2015.00078

相對績效；絕對績效；每股現金流量投資組合；擊敗市場； relative performance ； absolute performance ； cash flow per share ； beat the market

Abstract │ Reference (15) │ Altmetrics

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Through the relevant literature, we can find that the earnings per share is the most important variable for investors in Taiwan to invest in the stock market. But in international financial markets “cash flow” evaluation model is another be adopted theory. In our research, we utilize TSM's listed companies announce the financial reports at each quarters. We construct two appropriate portfolio types of cash flow per share and changes in the value of cash flow per share. We calculate rate-of return of both cash flow portfolios, to compare the performance with the market and domestic open-ended mutual funds. We try to find available investment strategy in order to assess its feasibility to beat the market. The main empirical study findings as below:
1. Generalized Investment Portfolio
(1) Relative Performance
After examining with the market and open-ended mutual funds, we find the performance of the cash flow per share portfolio is the best in the two portfolios.
(2) Absolute Performance
By evaluating with the market and open-ended mutual funds, we can see that the performance of the cash flow per share portfolio is still the best in the two portfolios.
2. The Fundalization Investment Portfolio
(1) Relative Performance
     By summarize the number of the fundalize portfolio,s performance with the domestic open-ended mutual funds in the top 20%, we find the cash flow per share portfolio is better in the two portfolios.
(2) Absolute Performance
After calculating the rate-of-return of the two fundalization portfolios and the domestic open-end mutual funds, we can find the cash flow per share portfolio is better than the others.
After all, the performance of cash flow per share portfolio can really beat the market. As compared to the open-ended mutual funds, it,s performance is also well done.

Reference ( 15 ) 〈TOP〉

1.林建銘，「擊敗市場可行性評估─以台股高獲利、轉機與成長型投資組合為例」，淡江大學國際企業學系碩士班碩士論文，2014年6月
連結：
2.鍾坤衡，「轉機型的最佳代言人：虧轉盈V.S.大虧轉小虧｣，淡江大學國際企業學系碩士班碩士論文，2011年6月
連結：
3.李詠晴，「自由現金流量、每股盈餘、國家間公司治理與公司績效─以世界前六大經濟市場為研究樣本」，國立交通大學財務金融研究所碩士論文，2010年6月
連結：
4.鄭有宏，「台股上市、櫃高獲利、轉機與成長型投資組合V.S.整體市場與開放式基金績效評估｣，淡江大學國際貿易學系國際企業學碩士班碩士論文，2010年6月
連結：
5.王炳智，「高獲利、轉機與成長型電子股投資組合V.S.基金化績效評估｣，淡江大學國際貿易學系國際企業學碩士班碩士論文，2009年6月
連結：

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