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標題: 價值投資法結合財務績效投資策略之實證研究
The Empirical Study on the Investment Strategy of Combining Value Investing with Financial Analysis
作者: 陳昭穎
chen, chao-ying
關鍵字: Book-to-Market Ratio
Financial Analysis
Value Stock
出版社: 會計學研究所
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摘要: 本研究主要目在探討於台灣股票市場應用高淨值市價比之價值股,結合財務績效分析所制定之投資策略的有效性。研究對象為1995至2004年的台灣股票市場上市公司,並使用月報酬率與台灣加權股價指數報酬率計算持有超額報酬率。 本研究實證結果顯示,在影響股價報酬率的各變數中,以財務績效總積分對二年持有超額報酬率最有解釋力,且具有顯著正相關,即買入財務績效總積分最高之投資組合可獲取較高之二年持有超額報酬率。此外淨值市價比、權益市值、貝它值、應計項目及庫藏股購回宣告與價值股股價報酬率亦有相當程度的關聯性。而發現在台灣股票市場中,價值股通常分佈在低權益市值、低成交量週轉率及低本益比之群組中,且此投資策略不會受權益市值及成交量週轉率因素影響,但會受到本益本因素影響。
The purpose of this research examines investment strategy of combining value investing with financial analysis. The samples are shares listed on the Taiwan Stock Exchange from the period of 1995-2001. Using monthly date and Taiwan Weighted Stock Index to calculate two-year market-adjusted buy-and-hold return rate of sample companies. The research results showed that financial performance analysis have higher explanation to two-year market-adjusted buy-and-hold return ratio and both are significantly positive correlated. It means if you have the financial performance analysis highest investment portfolio, you'll benefit more from two-year market-adjusted buy-and-hold return ratio. In addition, book-to-market ratio, equity market value, β and accrual and treasury stock repurchase announcement with stock price return rate are all significant correlated. It is also found that value stocks usually are part of low equity market value group, low share turnover group and low price-to-earn ratio group in the Taiwan market stock. This investment strategy doesn't be influenced by equity market value and turnover, but be influenced by price-to-earn ratio.
其他識別: U0005-0906200811240700
Appears in Collections:會計學系所



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