Please use this identifier to cite or link to this item:
標題: Value Investing: Application from Financial Information and Public Information
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
引用: 國內文獻 [1]方志強及姚明慶,1998,台灣上市公司的淨值市價比現象,交大管理學報,第15卷,第3期,367-391頁。 [2]王錦清,台灣地區股票上市公司之財務比率與股價關係之研究,民 79,文化大學企管系未出版碩士論文。 [3]古永嘉、李鑑剛,台灣股票市場報酬率之橫斷面與縱斷面混合分析,民87,輔仁管理評論,第5卷第1期,頁77-96。 [4]林美花,財務報表資訊與股票投資報酬率關係之研究,民 79,行政院國科會專題研究計畫成果報告。 [5]林煜宗,市場型態、股價淨值比、本益比及公司規模對股票報酬率之影響,民 83,行政院國科會專題研究計畫成果報告。 [6]陳立恆,股權結構對公司個別風險與籌資型態之影響,民 94,中興大學會計系未出版碩士論文。 [7]陳世章,基本分析與股價報酬之關聯性,民 85,台灣大學會計系未出版碩士論文。 [8]陳榮昌,台灣股票報酬之結構分析,民 91,中山大學財管系未出版碩士論文。 [10]張介銘,持續性高現金儲備政策對公司長期營運績效與長期股價之影響,民 93,成功大學企管系未出版碩士論文。 [11]張明峰,股權結構對公司績效影響之研究,民 80,政治大學企管系未出版碩士論文。 [12]施純玉,淨值市價比效果之探討,民86,國立台灣大學財金系未出版碩士論文。 [13]馮志卿,營運活動現金流量、應記項目、業外損益之盈餘持續性及市場效率研究,民 88,台灣大學會計系未出版碩士論文。 [14]孫幸琪,營業淨利、淨利及綜合淨利於解釋股票報酬有用性之比較-台灣股市之實證研究,民 83,政治大學會計系未出版碩士論文。 [15]詹家昌、張永和、陳碧瑩,會計異常報酬現象與資訊不確定關連性研究,民95,交大管理學報,第26卷,第2期,155-186頁。 [16]鄭宗記、賴弘能、蔡佩芬,二階段估計Fama-French三因子模型-台灣股市之研究,民 95,交大管理學報,第26卷,第2期,21-48頁。 [17]蔡佳蓉,公司淨值市價比的落後及偏差因素與其預測未來股東權益報酬率能力之研究,民 90,成功大學會計系未出版碩士論文。 [18]蔡靜卿 ,資訊電子業超額股票報酬之探討,民 88,台灣科技大學企管系未出版碩士論文。 [19]歐進士、李佳玲、詹茂昆,我國企業盈餘管理與經營風險關聯之實證研究,民 93,風險管理學報,第6卷,第2期,頁181-206。 [20]薛健宏,董監持股、盈餘平穩化與企業風險之關連性研究,民 97,會計評論,第46期,頁107-130。 [21]盧麗安,財務基本分析與台灣股價表現,民 84,中山大學財管系未出版碩士論文。 [22]謝淑娟,觀點探討股權結構與公司經營績效之關係-以台灣上市公司為實證,民 82,交通大學管科系未出版碩士論文。 國外文獻 [1]Abarbanell, J., Bushee, B., 1997. Fundamental analysis, future earnings, and stock prices. Journal of Accounting Research 35, 1–24. [2]Ali, A., Hwang, L., Trombley, M., 2003. Arbitrage risk and the book-to-market anomaly. Journal of Financial Economics 69, 355-373. [3]Ball, R., Brown, P., 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research 6, 159–177. [4]Bartov, E., Kim, M., 2004. Risk mispricing and value investing. Review of Quantitative Finance and Accounting 23, 353-376. [5]Beaver, W., Clarke, R., Wright, F., 1979. The association between unsystematic security returns and the magnitude of earnings forecast errors.Journal of Accounting Research 17, 316–340. [6]Beaver, W., Ryan, S., 1993, Accounting fundamentals of the book-to-market ratio. Financial Analyst Journal (Nov./Dec.), 320-332. [7]Beaver, W., Ryan, S., 2000. Biases and lags in book value and their effects on the ability of the book-to-market ratio to predict book rate of return on equity.Journal of Accounting Research 38, 127–148. [8]Beneish, M.D., Lee, C.M., Tarpley, R.L., 2001. Contextual financial statement analysis through the prediction of extreme returns. Review of Accounting Studies 6, 165–189. [9]Chan, Louis K.C., Yasushi Hamao, and Lakonishok J., 1991. Fundamentals and stock returns in japan. Journal of Finance 46, 1739-1764. [10]Chen, N.F., Zhang F., 1998. Risk and return of value stocks. Journal of Business 71,501-535. [11]Claessens, S., Djankov, S., Fan, J. P. H., Lang, L. H. P., 1999. Corporate Diversification in East Asia: The Role of Ultimate Ownership and Group Affiliation. World Bank. [12]Cooper, M., Gulen, H., Vassalou, M., 2001. Investing in size and book-to-market portfolios using information about the macroeconomy: Some new trading strategies. Unpublished Manuscript, Columbia University. [13]Datar, S.M., Feltham, G.A., Hughes, J.H., 1991. The role of audits and audit quality in valuing new issues. Journal of Accounting and Economics 14 (March), 3-49. [14]DeBondt, W.,Thaler, R., 1985, Does the stock market overact? Journal of Finance 40(July), 793-805. [15]Dechow, P., Sloan, R., 1997. Returns to contrarian investment strategies: tests of naive expectations hypotheses. Journal of Financial Economics 43, 3-27. [16]Fama, E., K. French, 1992, The cross-section of expected stock returns. Journal of Finance 47 (June), 427–65. [17]Fama, E., K. French, 1993, Common risk factors in returns on stock and bonds. Journal of Finance Economics 33(February), 3-56. [18]Fama, E., K. French, 1995, Size and book-to-market factors in earnings and returns. Journal of Finance 50:131–55. [19]Fama, E., K. French, 1997. Industry costs of equity. Journal of Financial Economics 43,153–193. [20]Fama, E., 1998. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49, 283–306. [21]Foster, G., Olsen, C., Shevlin, T., 1984. Earnings releases, anomalies and the behavior of security returns.The Accounting Review 59, 574–603. [22]Gadhoum, Y., Ayadi, M. A., 2003. Ownership structure and risk: a Canadian empirical analysis. Quarterly Journal of Business and Economics 42 (Winter), 19-39. [23]Griffin, J., Lemmon, M., 2002. Book-to-market equity, distress risk, and stock returns. Journal of Finance 57, 2317-2336. [24]Holthausen, R., Larcker, D., 1992. The prediction of stock returns using financial statement information. Journal of Accounting and Economics 15, 373–411. [25]Hopwood, W., Schaefer, K., 1988. Incremental information content of earnings and nonearnings-based financial ratios. Contemporary Accounting Research (Fall), 319-342. [26]Huberts, L., Fuller, R., 1995. Predictability bias in the U.S. equity market. Financial Analysts Journal 51, 12–28. [27]Kesner, I.F., 1987. Directors’ stock ownership and organizational performance: an investigation of fortune 500 companies. Journal of Management 13 (Fall),499-507. [28]La Porta, R., 1996. Expectations and the cross section of stock returns. Journal of Finance 51, 1715-1742. [29]Lakonishok, J., Shleifer, A., Vishny, R., 1994, Contrarian investment, extrapolation and risk. Journal of Finance 49(December), 1541-1578. [30]Lev, B., Thiagarajan, R., 1993. Fundamental information analysis. Journal of Accounting Research 31, 190–215. [31]Lev, B., Sougiannis T., 1996, The capitalization, amortization, and value-relevance of R&D. Journal of Accounting and Economics 21, 107–138. [32]Lipe, R., 1986. The information contained in the components of earnings. Journal of Accounting Research 24, 37–64. [33]Mikkelson, W., Partch, M., 2003. Do persistent large cash reserves hinder performance. Journal of Financial and Quantiative Analysis, Vol.38, No.2, JUNE, 275-294. [34]Mohanram, S., 2005. Separating winners from losers among low book-to-market stocks using financial statement analysis. Review of Accounting Studies 10,133-170. [35]Ou, J., Penman, S., 1989a. Financial statement analysis and the prediction of stock returns. Journal of Accounting and Economics 11, 295–329. [36]Penman, S., Zhang, X., 2002. Accounting conservatism, the quality of earnings, and stock returns. The Accounting Review 77, 237-264. [37]Piotroski, J., 2000. Value investing: the use of historical financial statement information to separate winners from losers. Journal of Accounting Research 38, 1-41. [38]Rosenberg, B., Reid, K., Lanstein, R., 1985. Persuasive evidence of market inefficiency. Journal of Portfolio Management 11, 9–17. [39]Ryan, S., 1995. A model of accrual measurement with implications for the evolution of the book-to-market ratio. Journal of Accounting Research 29, 95–112. [40]Sloan, R., 1996. Do stock prices fully reflect information in accruals and cash flows about future earnings.The Accounting Review 71, 289-316. [41]Soliman, M., 2004. Using industry-adjusted dupont analysis to predict future profitability. Working paper, Stanford University. [42]Stickel, S., 1998. Analyst incentives and the financial characteristics of wall street darlings and dogs. Working paper, LaSalle University. [43]Stober, T., 1992, Summary financial statement measures and analysts’ forecasts of earnings. Journal of Accounting and Economics 15, 347–372. [44]Vassalou, M., Xing, Y., 2004. Default risk in equity returns. Journal of Finance 59, 831-868.
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.

(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。
其他識別: U0005-0907200910303900
Appears in Collections:財務金融學系所

Show full item record

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.