價值投資：財務報表與公開資訊之應用

Abstract

本研究旨在建立一套客觀且系統化的選股指標，期協助投資人在眾多投資標的中篩選基本面表現較佳的公司(好公司)，並進一步辨識其中價格處於適合投資的樣本(好價格)，以獲得較高報酬率與相對較低風險的投資組合。以Piotroski (2000) 所提之F_SCORE 為基本架構，參考Mohanram (2005)以及近期的財務相關文獻，本文另行提出SSCORE 選股策略，除了傳統財務比率外，尚考慮盈餘管理與盈餘穩定性，以及董監事與經理人持股比率等變數作為挑選好公司的要件，並以淨值市價比作為第二階段好價格的篩選標準。應用於台灣股票市場的實證結果發現無論是F_SCORE 或SSCORE 所篩選出的「好公司」，在配合「好價格」的情況下，可獲得超過市場指數的報酬，並顯著高於全體樣本投資組合的帄均報酬，表示能有效區別獲利較高的樣本公司；兩組超額報酬水準雖無顯著差異，但考慮報酬風險後，則以SSCORE的績效較好，樣本期間的累計報酬也以SSCORE 所篩選出的投資組合為高。整體而言，以本文所提之SSCORE 的選股策略優於F_SCORE 的選股策略。

Following the accounting-based fundamental analysis strategy of F_SCORE by Piotroski (2000), this paper proposes a new stock-screening scheme termed SSCORE with an application to the stock market in Taiwan. Coupled with other modification, SSCORE incorporates earning management, earning stability, and ownership structure into consideration, variables which attract great attention in recent financial literatures. An investment strategy that buys winners under SSCORE generates a 19.16% annual excess return during the period from 1997 to 2008. The empirical results also show that both F_SCORE and SSCORE are effective in seperating winner firms from losers in the sense that the formers have higher expected returns and relative lower risks. The difference in portfolio returns by the two strategies is negligibly small. However, the SSCORE has better performances when adjusted to return risks. Overall, the SSCORE outperforms the F_SCORE.