Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23791
標題: 公司治理資訊應用於財務分析之研究
An Application of Corporate Governance Information in Financial Analysis
作者: 許嘉文
Hsu, Jia-Wen
關鍵字: 財務資訊
Financial Information
基本面
淨值市價比
公司治理
Fundamental
Book-to-Market Ratio
Corporate Governance
出版社: 財務金融系所
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摘要: 由於財務報表資訊是一般投資人了解公司經營狀況最公開且一致的資訊來源,因此本研究希望能藉由分析會計數據,以淺顯易懂的篩選機制,建構出一套基本面投資策略,並期望能應用於台灣股市。本研究以Piotroski(2000)所提出的F_SCORE為第一階段基本面評分之參考範本,評分標準則參考Soliman(2004)所提出的產業平均概念,第二階段再透過公司治理面進行篩選,最後以淨值市價比挑選出價值被低估的股票,並以此建構出投資組合(V_SCORE)。經實證分析後可得以下結論: (1) 在台灣股市的應用上,以產業平均作為篩選標準之V_SCORE報酬表現優於F_SCORE。 (2) 淨值市價比篩選後的投資組合有大幅提升報酬以及降低風險的效果,透過淨值市價比現象發現台灣股市投資人有「過度預期」現象,因此逆向操作投資策略能有效獲取高報酬。 (3) 透過V_SCORE篩選出的高分群與低分群,高分群主要獲利偏重在小規模、低價位這兩種群組,低分群主要虧損落在大規模、高價位。 (4) 非盈餘資訊:公司治理因素同樣對股價具有訊息內涵,有效提升投資組合報酬表現。
For individual investors, the financial statement is the most open and consistent source of information to learn a company’s performance. Therefore, the purpose of this research is to establish an investment strategy with simple filter mechanism by analyzing the accounting information, and expect this strategy is profitable in Taiwan stock market. This research employs F_SCORE which represents the fundamental analysis in Piotroski (2000) as the framework of the first filter process, and the measure of financial performance refers to the median of the same industry from Soliman (2004). Next, this research conducts the second filter process by corporate governance factors for those that pass the previous examination. Finally, this research takes stocks with the highest 25% book-to market ratio as a group identified as V_SCORE. The major empirical findings are summarized as follows: 1. The performance of the V_SCORE is better than F_SCORE in Taiwan stock market. 2. The book-to-market effect brings the portfolio with higher return and lower risk, and this research finds out that investors in Taiwan have “extrapolation” phenomenon. Therefore, the contrarian strategy can be profitable in Taiwan stock market. 3. This research divides the good and bad companies by V_SCORE, and finds that the benefits of good companies are concentrated in small size and low price. Moreover, the loss of bad companies is concentrated in big size and high price. 4. Corporate governance factors are informative to stock price and effective in enhancing the return of portfolio.
URI: http://hdl.handle.net/11455/23791
其他識別: U0005-0907201315274400
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-0907201315274400
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