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標題: Warren Buffett's Investment Philosophy in Taiwan's Stock Market Buy and Hold Strategy and Price to Earning Ratio Strategy
巴菲特投資哲學於台灣股市之應用 買進持有策略與本益比調整策略
作者: 王志能
關鍵字: Buffett's Investment philosophy;巴菲特選股策略;Economic Value Added;Mean Reversion;Margin of Safety;Intrinsic Value.;經濟附加價值;回歸均數;安全邊際;內含價值
出版社: 財務金融系所
引用: 參考文獻 1. 涂宏任,經濟附加價值解釋科技產業經營績效能力之研究,國立中正大學企業管理研究所碩士論文,1999。 2. 張耿豪,經濟附加價值資訊內含之研究-以台灣上市公司為例,國立交通大學科技管理研究所碩士論文,1999。 3. 劉秉龍,成長型與價值型投資策略之實證分析-以台灣股票市場為例,私立靜宜大學企業管理研究所碩士論文,2002。 4. 林偉業,現值模型於台灣股票市場之實證研究,國立高雄第一科技大學財務管理研究所碩士論文,2001。 5. 吳啟銘,企業評價-個案實證分析,智勝文化。 6. 黃資婷,利用巴菲特模型來區分贏家和輸家-以美國大型股為實證樣本,國立中興大學財務金融研究所碩士論文,2005。 7. 陳正平等譯,Robert S. Kaplan and David P. Norton,策略地圖,城邦文化事業股份有限公司。 8. James A. Abate, James L. Grant, and G. Bennett Stewart ,The EVA Style of Investing,. Journal of Portfolio Management Summer 2004 p61~p72. 9. Ryan Garvey and Anthony Murphy, Are Professional Traders Too Slow to Realize Their Losses? Financial Analysis Journal 2004 p35~p43 10. John B. Carlson, Eduard A. Pelz, and Mark E. Wohar. Will Valuation Ratios Revert to Historical Means? Journal of Portfolio Management Summer 2002 p23~p35 11. Harold Bierman, Jr., The Price-Earnings Ratio. Journal of Portfolio Management Summer 2002 p57~p60 12. Parvez Ahmed, Larry J. Lockwood, and Sudhir Nanda., Multistyle Rotation Strategies. Journal of Portfolio Management Spring 2002 p17~p29 13. White, C. B. ,What P/E will the U.S. stock market support? Financial Analysts Journal 2000 (November/December) p30~p38 14. Helene Harasty and Jacques Roulet , Modeling Stock Market Return. Journal of Portfolio Management Winter 2000 ,p33~p45. 15. Hershey, M. and V. J. Richardson, and S. Scholz., “Foolish Are Internet Inventor?” Financial Analysis Journal, 2000, Vol 56, NO.1:p62-p69. 16. Thomas K. Philips.Why do Valuation Ratios Forecast Long-Run Equity Returns? Journal of Portfolio Management Spring 1999 p39~p44 17. S. David Young . “Some Reflections on Accounting Adjustments and Economic Value” The Journal of Financial Statement Analysis 1999,Winter p7-p19. 18. Paul A Dierks ,“What’s EVA, and How Can It Help Your Company?” (1997) Management Accounting ,Vol.79 (Nov.) p52-p58. 19. Campbell, J. Y., and R. J. Shiller, Valuation ratios and the long-run stock market outlook. Journal of Portfolio Management Winter 1998, p11~p25 20. Al Ehrbar, John Wiley, “EVA The Real Key to Creating Wealth”, 1998. 21. Milunovich, S., and Tsuei, A. “EVA in the computer industry, ”(1996)Journal of Applied Corporate Finance, v9, p105-p115. 22. Dierks, P.A. and Patel, “What is EVA, and how can it help your company? ” A.(1997)Management Accounting, 79, p52-p58 23. Lev, B. “Information disclosure strategy”. California Management Review 1992. Summer p9-p32 24. Hong, H. and J. Stein., “A United Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets” Journal of Finance, 54, p2143-p2184 25. An Owner''s Manual to Berkshire''s shareholders written by Warren Buffett, Warren E. Buffett, June 1996. 26. Debra Sparks, Commentary: Does Warren Buffett Deserve Special Treatment? Businessweek: September 22, 1997. 27. Manjeet Kripalani, Will Indian Silver Tarnish Buffett’s Plans? Businessweek: February 23, 1998. 28. Anthony Bianco, “The Warren Buffett You Don’t Know”, Businessweek: July 5,1999. 29. Pallavi Gogoi, Some Sage Wisdom for Warren Buffett, Businessweek: May 13, 2003. 30. Dean Foust, Buffett''s Trailer Deal Could Get Trashed, Businessweek: September 8, 2003. 31. Amey Stone, Beyond Berkshire''s Cult of Personality, Businessweek: MARCH 10, 2004. 32. Timothy Vick, Want to Invest Like Warren Buffett? Businessweek: May 4, 2004. 33. David Braverman, Applying the Oracle of Omaha''s Wisdom, CFA, Businessweek: August 5, 2004. 34. Olga Kharif, More Than Buffett Is Behind It, Businessweek: August 23, 2004. 35. Joseph B. Treaster, Berkshire Hathaway Millionaires Gather, Businessweek: May 2, 2004. 36. Revised Edition, Benjamin Graham, The Intelligent investor, Harper Business Essential.
Warrant Buffett是價值型投資大師 Benjamin Graham的得意門生,Buffett過去40年創造出傲人的投資績效,年複合報酬率達21.5%,也引起許多創投基金的經理人想要效法,本研究將Buffett的投資哲學量化成一些投資準則,主要為1996年“An Owner’s Manual”的13點,把這13點量化,並在台灣股市中尋找符合的企業,搭配一些投資策略,加以實證這些標的股票的績效。主要的投資策略有買進持有投資組合、本益比調整投資組合與EVA投資組合等方式,藉由不同的投資策略來比較面對相同的投資組合所產生的績效差異。依1996年~2000年台灣上市櫃公司的財務資料,去尋找一些過去績效良好且穩健的公司,篩選出符合巴菲特投資原則的公司,使用2001年4月至2006年4月的實際的股價作實證分析,所得到的結果為,長期績效都優於短期績效,本益比調整法投資組合的績效最佳,其次為買進持有投資組合,再來是5% EVA法投資組合,最差的是10% EVA法投資組合。

As the outstanding pupil of Benjamin Graham, the father of Value Investing, Warrant Buffett has been creating overwhelming performance for 40 years. Buffett's excellent investment performance of annual return rate achieves 21.5% that promotes many venture capital fund of managers to follow Buffett's lead. This thesis aims to make quantitative analysis of Buffet's investment philosophies as 13 rules of “An owner's Manual” in 1996. Following the proven rules, we select the enterprises which correspond with these rules and operate investment strategies on their stocks as well as probe into the specific examination on investment. The main investment strategies are Buying and Hold portfolio, PE ratio adjustment portfolio, and EVA portfolio. We compare and overview the different performances by proceeding varied investment strategies on the same targets. According to the financial reports of the public offer companies in Taiwan, we search outperformed and stable companies and at the same time we make systematically analysis of their actual share price from April 2001 to April 2006. We find out that the long-term investment performance is better than the short-term, the best investment performance is PE ratio adjustment portfolio, next goes to Buying and Hold portfolio, the third is 5% EVA portfolio, and the investment performance of 10% EVA portfolio is abysmal.
其他識別: U0005-2306200614043800
Appears in Collections:財務金融學系所

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