臺灣博碩士論文加值系統

台灣開放外國投資機構參與我國股市以來，外資在集中交易市場持股市值於2013年占台股總市值比率已達33.41％，至今國際化的市場中，外資在台的，投資效益屢創新高，投資人又該有什麼投資策略以因應外資的巨大資本投資?本研究便是回歸葛拉漢及巴菲特等外國投資大師的想法，以巴菲特主張的投資標的股價與該投資標的之ROE(股東權益報酬率)最終會趨於一致為基礎架構，及葛拉漢與費雪的投資概念進行研究。

本研究主要在探討股東權益報酬率配合杜邦分析作為投資人選擇投資標的投資策略，以股東權益報酬率公式及股價淨值比公式的結合得出股東權益報酬率、淨值、股價、及預期投資報酬率四個變數，在考量台灣金融市場充份國際化的程度後，以美國公債殖利率作為預期投資報酬率的選項，藉此四項變數及公式的運算，投資於合乎預期投資報酬率的企業，再以股東權益報酬率及每月營收的數據表現決定是否賣出股票，將此投資策略運用於台股，以觀察其獲利性。

在進行連續30季的統計分析後，由研究結果顯示，兩個不同預期投資報酬率的樣本在平均每季每股的獲利分別達到7.94%及8.06%，同樣條件、時間、金額投資於大盤加權指數的獲利分別為1.68%及1.69%，說明了投資於企業個股的獲利性顯著高於投資於大盤加權指數的獲利性。也實證了股東權益報酬率配合杜邦分析的投資策略運用對台灣股市的投資具有顯著效益。

Since Taiwan authority allowed foreign institutional investors to trade in Taiwanese stock market, the foreign capital in Exchange Market has reached 33.41% of the total value in 2013.As a result of financial globalization, the investment benefit of foreign capital has been achieving several new highest points. What strategies should local investors apply to respond to the massive foreign investment?This study is to review theories of several foreign masters of investment, such as Benjamin Graham and Warren. E. Buffett. This study will be based on Buffett's claim that the stock price of an investment object will go accordingly with its return of equity, and will follow along with Graham and Philip A. Fisher’s investment ideas.
This study aims to discuss how to use the ROE (return of equity) and the DuPont Analysis as investment strategies for investors in selecting their investment objects. By the formulas of ROE and PBR (price-book ratio), four variables can be derived: ROE, net asset value, stock price and expected rate of return. Taking into consideration that Taiwan’s financial market is fully globalization, the U.S. T-bonds yield curve is used as the expected rate of return. By computing the above four variables with formulas, the investors can find out and invest the enterprises that qualify the expected rate of return. Also, they can decide if they should sell their shares based on the return on equity and monthly revenue. In my study, this particular strategy is used to invest in Taiwan’s stock market in order to observe how efficient it is in making profits.

After running and analyzing the statistics in thirty consecutive quarters, the outcome indicated that two samples with different expected rate of return have made their average quarterly profits of 7.94% and 8.06% on EPS (earning per share). Under the same conditions, within the same time-span, and with the same amount of money invested in Price-weighted index, the profits made were 1.68% and 1.69%. This explained that the profit earned by investing in individual stock is apparently higher than investing in Price-weighted index. The result of this study also verified the strategy of combining the ROE and DuPont Analysis has remarkable benefits when applying in Taiwan’s stock market.

目錄
摘要 ......................I
目錄 ......................VI
表目錄 ......................VIII
圖目錄 ......................X
第壹章 緒論 ..............1
第一節 研究背景 ..............2
第二節 研究動機 ..............6
第三節 研究範圍與目的 ......10
第四節 研究架構 ..............11
第五節 研究流程 ..............14
第貳章 文獻探討 ..............15
第一節 淨值 ..............15
第二節 股東權益報酬率 ......24
第三節 杜邦分析 ..............35
第四節 投資報酬率 ......46
第參章 研究方法 ..............51
第一節 觀念性架構 ......51
第二節 研究理論 ..............53
第三節 研究假說 ..............56
第四節 研究架構 ..............58
第五節 樣本資料來源及選取標準....61
第六節 變數定義及衡量 ......63
第七節 實證模型及資料分析方法....67
第肆章 實證結果與分析 ......79
第一節 樣本來源及資料統計 ......79
第二節 敘述性統計量 ......93
第三節 實證結果 ..............122
第伍章 結論與建議 ......129
第一節 研究結論與研究假說印證....129
第二節 研究限制 ..............132
第三節 研究建議 ..............134
參考文獻 ......................135
一、 中文部份 ..............135
二、 英文部份 ..............136

參考文獻
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二、英文部份

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