Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23437
標題: 以財務報表資訊建構投資組合—台灣與中國大陸股市之應用
Using Financial Statement Information To Construct a Portfolio - Application in Taiwan and China Stock Markets
作者: 吳繼先
Wu, Chi-Sheng
關鍵字: Financial Statement Information
財務報表資訊
Value Investing
Market-to-Book ratio
Price-to-Earning Ratio
Warren Buffett
價值投資
股價淨值比
本益比
巴菲特
出版社: 財務金融系所
引用: 參考書籍與資料 杜金龍 ~ 價值分析在投灣股市的應用與訣竅 ,2001 劉心陽 ~ 操盤人教你看財務報表 ,2005 Kenneth A. Kim and John R. Nofsinge ~ 公司治理(Corporate Governance) ,2007 Lynch Peter and Rothchild John ~ 彼得林區選股戰略(One Up on Wall Street : How to Use What You Already Know to Make Money in the Market), 2003 Robert G. Hagstr ~ 勝券在握(The Warren Buffet´s Way) ,1996 Robert G. Hagstr ~ 巴菲特核心投資法(The Warren Buffett Portfolio MasteringThe Power of The Focus Investment Strategy), 2006 William J. O´neil ~ 威廉歐尼爾的股票賺錢術(How to Make Money in Stocks), 2005 參考文獻 張明峰 ~ 股權結構對公司績效影響之研究(1991) 翁碔勝 ~ 臺灣股市選股策略與景氣循環關係之實證研究(1993) 謝淑娟 ~ 權益代理問題觀點觀點探討股權結構與公司經營績效之關係-以台灣股市公司為實證(1994) 劉德明 ~ 企業評價模型有效性之實證(1995) 劉若蘭 ~ 財務比率資訊內涵之實證研究(1995) 姚明慶 ~ 普通股淨值市價比與預期報酬(1996) 施純玉 ~ 淨值市價比效果之探討(1997) 陳羿璇 ~ 臺灣製造業生產力成長之分析(1997) 蕭翠玥 ~ 臺灣地區上市公司股票報酬規模效應之研究(1988) 陳世章 ~ 基本分析與股價報酬之關聯性(1998) 吳建頤 ~ 董事會規模對公司價值的影響(1999) 蔡靜卿 ~ 資訊電子業超額股票報酬之探討(2000) Buffett Warren ,Warren Buffett''s Letters To Berkshire Shareholders ,(1997~2006) Bernard, V “Accounting Based Valuation Methods, Determinants of Market to Book Ratios and Implication for Financial Statement Analysis" Working paper ,University of Michigan(1994) Eugene F. Fama and Kenneth R. French “Common Risk Factors in the Return 91 on Stocks and Bonds"Journal of Financial Economic 33 (1993) Frankel, R. and C.M.C.Lee "Accounting Valuation ,Market Expectation ,and Cross-Sectional Stock Returns" Journal of Accountiong and Economics 21(June 1998) Joseph D. Piotroski “Value Investing:The Use of Historical Financial Statement Information to Separate Winners from Loser"Journal ofAccounting Reasearch 38 (2000) Jeffery S. Abarbanell and Brian J Bushee “Fundamental Analysis, Future Earning, and Stock Price"Journal of Accounting Research 35 (Spring 1997) Jane A. Ou and Stephen H Penman “Financial Statement Analysis and The Prediction of Stock Returns" Journal of Accounting and Economics 11 (1989) Katherine Spiess and John Affleck-graves “Long run stock returns following seasoned equity offerings" University of Notre Dame - Department of Finance & Business Economics paper (July 1994) Louis K. C. Chan, Yasushi Hamao, Josef Lakonishok “Fundamentals and Stock Returns in Japan" The Journal of Finance, Vol. 46, No. 5 (Dec., 1991) Lianzan Xu “Financial Statement Analysis and Beta and Size Effect"IJCM Vol.13 No.1 (2003) Norman Strong, Martin Walker “The Explanatory Power of Earnings for Stock Returns" The Accounting Review, Vol. 68, No. 2 (Apr., 1993) Ronald W. Masulis and Ashok N Korwar “Seasoned Equity Offerings: An Empirical Investigation" Journal of Financial Economics, Vol. 15, No. 1/2, pp. 91-118, 1986 Ray Ball, Philip Brown " An Empirical Evaluation of Accounting Income Numbers" Journal of Accounting Research, Vol. 6, No. 2 (Autumn, 1968) Stijn Claessens, Simeon Djankov, Joseph P. H Fan, Larry H. P Lang“Disentangling the Incentive and Entrenchment Effects of Large Shareholdings" Journal of Finane Volume 57 Issue 6 (December 2002) William H. Beaver, Roger Clarke, William F. Wright " The Association between Unsystematic Security Returns and the Magnitude of EarningsForecast Errors" Journal of Accounting Research, Vol. 17, No. 2 (Autumn,1979) William Hopwood, Thomas Schaefer " Firm-Specific Responsiveness to Input Price Changes and the Incremental Information in Current Cost Income"The Accounting Review, Vol. 64, No. 2 (Apr., 1989)
摘要: Financial statement is one that provides the most open and consistent information for investors. The purpose of this research is to find an investing method which is based on accounting information. Taking Taiwan market as the main subject, the study tries to find an efficient investing model for individual investors who lack information most. Also, because of the openness and growing economy in China, this study also takes China as the minor subject, hoping that the model is still applicable in the China market.This study uses F_SCORE which represents the fundamental in Piotrosk ' s literature (2000), and it constructs a comparison group portfolio by selecting price (low market-to-book ratio、low price-to–earning ratio、low PEG); also, this study changes some disadvantages of F_SCORE by traditional financial rate, using Warren Buffett's investing philosophy and variance of corporate government, and constructing experiment group portfolio by selecting price(low market-to-book ratio、low price-to-earning ratio、low PEG), and it makes a comparison between the two.The conclusion of the study is the following: (1) Taiwan market WU_SCORE is more effective than F_SCORE in selecting stocks. (2) The best effect occurs when Taiwan market WU_SCORE takes PEG as the price standard. (3) The best effect occurs when Taiwan F_SOCRE takes PB as the price standard. (4) China market WU_SCORE is better than F_SCORE, but it can't gain the abnormal return. Therefore, Taiwan stock market reflects the fundamental generally, while the investors in China stock market are more irrational,so the stock price there reflects the fundamental to limited extent.
財務報表是一般投資人可獲得最公開、最一致的資訊,本研究旨在尋找一個以會計資訊為主的投資方式,以台灣市場為主要研究對象,企圖找出一個有效的投資模型,提供給資訊最缺乏的散戶投資人作為參考,同時有鑒於中國大陸市場的開放崛起,將本研究以中國大陸市場作為次要研究對象,希望同樣的模式可以在中國市場獲得成效。本研究以Piotroski(2000)的文獻以基本面評分標準F_SCORE,搭配價格篩選(低股價淨值比、低本益比、低PEG)建構對照組投資組合 ;同時針對F_SCORE 的缺失加以改良,以傳統的財務比率分析配合巴菲特投資哲學及公司治理變數,搭配價格篩選(低股價淨值比、低本益比、低PEG)建構實驗組投資組合,比較兩者間的差異。本研究最後得到以下結論:(1) 台灣市場WU_SCORE 比起F_SCORE 選股方式有效 (2) 台灣市場WU_SCORE 搭配PEG 作為價格標準效果最好 (3) 台灣市場F_SCORE 搭配PB 作為價格標準效果最好 (4) 中國市場WU_SCORE 的效果優於F_SCORE,但是無法獲得超額報酬。由此可知,台灣股票市場大致有反應基本面,而中國市場參與的投資人較不理性,股價反應基本面的能力不足。
URI: http://hdl.handle.net/11455/23437
其他識別: U0005-2906200717161600
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2906200717161600
Appears in Collections:財務金融學系所

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