Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/24278
標題: 低價股能否鹹魚翻身?以台灣股市為例
Can Underpriced Stocks be Invested to Make Abnormal Returns ? The Case of Taiwanese Stock Market
作者: 林祺惇
Lin, Chi-Duen
關鍵字: Panel data model;追蹤資料模型;Underpriced stocks;Tsunami event;Stock index;Trading volume;Key financial ratios;低價股;金融海嘯事件;大盤指數;股票成交量;關鍵財務比率
出版社: 高階經理人碩士在職專班
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摘要: 
本研究利用Klevmarken(1989)與Hsiao(2003)提出的追蹤資料模型,以探討影響台灣股市中低價股股價翻身上漲的因素。定義股價低於面值或淨值的股票為低價股。研究期間從2005年1月到2010年12月之月資料。以樣本期間中至少有12個月股價低於面值或淨值之個股為研究對象。本研究的實證結果如下:
一、低於面值之低價股族群: 在1%的顯著水準下,電子類股、股票成交量及大盤指數與個股股價呈顯著正相關;而金融海嘯、股票殖利率及淨值市價比與個股股價呈顯著負相關。投資人在遇到類似金融海嘯等影響全球經濟的重大事件後,可選擇股票殖利率及淨值市價比較低,且股票成交量漸增的電子類股,作為投資標的。
二、低於淨值之低價股族群: 在1%的顯著水準下,電子類股及營收成長率與個股股價呈顯著正相關,而淨值市價比與個股股價呈顯著負相關。投資人可考慮股票成交量及營收成長率漸增,且淨值市價比較低的電子類股,作為投資標的。
本研究亦以2011年1月到2011年5月之低價股與大盤指數的月平均報酬率資料做一比較,結果發現在符合低價股定義的樣本資料中,逾75%的低價股的表現顯著優於大盤在同一期間的表現,此一績效評估結果頗符合「以影響低價股的重要因素作為選股考慮」的原則,進而可提供給國內投資人未來大盤跌深反彈或處長期回升階段時之選股參考依據。

By employing the panel data model proposed by Klevmarken(1989) and Hsiao(2003),this study tries to explore the determints of the underpriced stocks that can bring investors excess profits in the Taiwanese stock market. The monthly data over the period of year 2005 -2010 on relevant variables used in this study are sourced from the Taiwan Economic Journal (TEJ) databank. The underpriced stocks are defined as the stocks with at least 12 months the prices under their pars or their net worths. The empirical results of this study are summarized as follows.
1. For the group of the stocks with under their pars, stock prices are significantly positively related to trading volumes and the stock index in the electronic industry, but significantly negatively related to the Tsunami(dummy), the dividend yields and the book-market ratios. These results thus suggest that the investors select to buy long the Taiwan's electronic industry stocks with lower dividend yields and lower book-market ratios after suffering from the global financial Tsunami.
2. For the group of the stocks with under their net worths, stock prices are significantly positively related to sales growth while they are significantly negatively related to book-market ratios in the electronic industry, thereby suggesting that the investors choose to buy long the electronic industry stocks with higher trading volumes, higher sales growth and lower book-market ratios in the Taiwanese stock market.
This study also evaluates these underpriced stocks as defined in this study from January 2011 through May 2011 in comparison with the Taiwan stock index. Then the result indicates that, based on student's t test, more than 75% of the underpriced stocks possibly with high profitability outperforms the stock index during the same evaluation period, thereby providing the investors with an important indication in selecting stocks after the stock market declines deeply and seriously and awaits to rebound or rise up in the future.
URI: http://hdl.handle.net/11455/24278
其他識別: U0005-1106201117083600
Appears in Collections:高階經理人碩士在職專班

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