臺灣博碩士論文加值系統

本論文利用Barrett and Donald (2003)之隨機優勢法來檢測股票是否有價值溢酬的現象。我們將股票市場分為全球、非美國及美國三種類型並使用BE/ME, E/P, D/P, 及C/P四個比率為基準來組成價值型投資組合(比率前30%)及成長型投資組合(比率後30%)。我們的研究期間為1981/07~2005/06。結果顯示除了投資組合用D/P比率組成時發現價值股與成長股沒有隨機優勢的關係外，其餘的結果均支持全球性股票存在價值優於成長的現象。此結果又以非美國股票最為顯著。我們的研究代表大多數投資人仍偏好持有價值型股票而價值溢酬的現象確實存在。

This study follows Barrett and Donald’s (2003) stochastic dominant methods to test value premium on international stocks. We test global, non-US, and US markets respectively. We form value (top 30% of the ratio) and growth (bottom 30% of the ratio) portfolios based on BE/ME, E/P, D/P and C/P ratios form July 1981 to June 2005. We find that value portfolios stochastically dominate growth portfolios in the global market, except when portfolios are formed based on D/P. The results are most significant for non-US stocks. Our empirical evidence indicates that most of investors prefer value stocks to growth stocks and the value premium exists.

1. Introduction 1
2. Data and Methodology 5
2.1 Data 5
2.2 Methodology 6
3. Empirical Results 9
3.1 Global Market Results 10
3.1.1 Equally-Weighted Results 10
3.1.2 Value-Weighted Results 11
3.2 Non-US Market Results 13
3.2.1 Equally-Weighted Results 13
3.2.2 Value-Weighted Results 13
3.3 US Market Results 15
3.3.1 Equally-Weighted Results 15
3.3.2 Value-Weighted Results 16
4. Robustness Tests 18
4.1 Global Market Results 18
4.2 Non-US Market Results 19
4.3 US Market Results 19
5. Conclusion 20
References 22
Appendix A: Data Formation 25
Appendix B: Methodology Details 27

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