Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23592
標題: Value Investing: Application from Financial Information and Public Information
價值投資:財務與公開資訊的應用
作者: 苗建華
Miao, Chien-Hua
關鍵字: Financial information
財務資訊
Fundamental
Value investing
Book-to-market ratio
基本面
價值投資
淨值市價比
出版社: 財務金融系所
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摘要: For individual investors in Taiwan stock market, what we learn from Market Observation Post System is the fairest and the most consistent. Therefore, the purpose of this research aims to find a proper investing method on Taiwan stock market by a simple and systematical judgement with easy-to-get public information. This research employs a standard of fundamental analysis as a basis to separate so called good companies as well as bad companies, and also have book-to-market ratio as a measure to take the highest 20% and the lowest 20% as a control group of portfolio, identified F_SCORE. Meanwhile, an experimental group identified as SSCORE, which refers to the measure of financial performance by Mohanram (2005), with more concern of investment masters - Warren Buffet's and Peter Lynch's investing philosophy and my personal investing experience as well. Major findings can be summarized as follows: 1. Earnings information and non-earnings information are both value-relevant. The portfolio developed by a systematical valuation can earn 19% of average annual compound excess return. 2. Compared the whole samples, portfolio of being good companies as well as high book-to-market ratio(good price), which is developed by either the methodology of F_SCORE or SSCORE, both shows having advantages of higher return and lower risk. 3. Overall, the methodology of SSCORE applied to Taiwan stock market shows better than F_SCORE. 4. Our research finds when we use SSCORE to divide into good and bad companies, these so called good companies, whose benefits are concentrated in small size firms, companies with low share turnover, firms with median and low share price. Moreover, those bad companies, whose loss are concentrated in large size and high share price companies.
對一般投資人而言,公開資訊觀測站所提供的財務報表資訊是最公平與一致的,本研究旨在透過唾手可得的公開資訊,以系統化評分且簡單投資的方式,找出一套適合應用於台灣股市的投資模型。本研究以Piotroski(2000)文獻中的基本面評分標準作為公司好壞的篩選依據,搭配淨值市價比做為價格的篩選工具,建構出對照組投資組合(F_SCORE);再以Mohanram(2005)文獻中的基本面評分標準為藍圖,融合投資大師巴菲特、彼得林區的投資哲學與個人投資經驗後,建構出實驗組投資組合(SSCORE)。經過各項評比後,可得到以下結論: (1) 盈餘資訊與某些非盈餘資訊皆具有價值攸關性,透過系統化的評分標準來建構投資組合,可獲得19%以上的平均年複合超額報酬率。 (2) 無論是F_SCORE或SSCORE,所建構的好公司且好價格投資組合,相對於全體樣本投資組合,都有報酬率較高而風險較低的優勢。 (3) 在台灣股市的應用上,SSCORE整體表現較F_SCORE為佳。 (4) 透過SSCORE所區隔出的好公司與壞公司,好公司的獲利偏重於小規模、中低價位、高周轉率這三個族群,壞公司的虧損則偏重於大規模與高價位這二個族群。
URI: http://hdl.handle.net/11455/23592
其他識別: U0005-0907200910303900
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0907200910303900
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