臺灣博碩士論文加值系統

本研究係以1990年至2004年台灣上市上櫃公司為研究對象，探討台灣股票市場中，是否可利用基本財務分析來制定股票之投資策略，並再進一步探討影響股價報酬之因素為何。本研究以結合傳統基本分析如獲利能力、現金流量、盈餘品質與營運風險如獲利穩定度、成長穩定度及會計穩健性等指標創造一財務績效指標積分Gscore （Mohanram 2005），並運用Gscore建構投資組合以獲取正向之異常報酬；異常報酬之衡量方法除原始報酬與調整大盤風險之市場超額報酬外，另外採調整Fama and French（1993）三因子風險之超額報酬去進行相關檢測。
實證結果發現：
1.在控制相關風險因素下，運用G-score投資策略建構之投資組合可獲取正向之異常報酬。在持有一年期下，運用G-score投資策略建構之投資組合可獲取至少11.09%之市場超額報酬。
2.另外在控制相關風險因素下，在成長股中運用G-score投資策略建構之投資組合所獲取之異常報酬高於在價值股中運用G-score投資策略建構之投資組合所獲取之異常報酬。在持有一年期下，在成長股中運用G-score投資策略建構之投資組合可獲取至少13.17%之市場超額報酬。
3.在相關測試中發現，在破產風險之測試中，發現異常報酬隨財務危機之增加而減少，與風險溢酬之解釋不符，且G-score投資策略在中高市值、高度專業機構法人持股率、高成交量與高成長性之公司樣本中，具有較顯著及較高之異常報酬，皆與錯誤評價之解釋相符。
總而言之，本研究實證結果支持本研究之假說，即G-score投資策略在台灣資本市場的實用性。另外，在成長股中運用G-score投資策略相較於價值股中運用G-score投資策略更有效。

This thesis examines whether fundamental investing strategy based on G-score developed by Mohanram（2005）can earn abnormal return in Taiwan capital market. The calculation of G-score consists of four sets of fundamental financial ratios, including：(1) profitability – measured by return on assets and the ratio of operating cash flow to total assets; (2) earnings quality –measured by the ratio of total accruals to total assets; (3) operating risk – includes earnings stability (measured by the standard variation of ROA) and growth stability (measured by the standard variation of sales growth rate) (4) accounting conservatism - measured by R&D, advertising expenditure, and capital expenditure (all scaled by total assets). I also explore whether the investing performance of G-score strategy differs between value stock and growth stock.
The main empirical results are summarized as follows：
1.The G-score strategy earned significant holding period abnormal returns over the investment horizon after controlling common risk factor such as beta, size, book-to-market and price momentum. On average, the G-score strategy earned 11.09% of market-adjusted return over one year investing horizon.
2.The G-score strategy is more successful for low BM firms (growth stock) than for high BM firms (value stock). On average, the G-score strategy earned 13.17% of market-adjusted return for growth stock over one year investing horizon.
3.Our main results are robust after partitioning the sample by size, institution holdings, market liquidity, price momentum, growth and financial distress. In general, the performance of G-score strategy is more prominent in firms with larger size, higher institution holding, higher market liquidity and higher growth rate. These results are consistent with the explanation of market mispricing and inconsistent with risk-premium explanation.
In sum, our empirical results support our hypotheses that G-score strategy is successful in Taiwan capital market and it is more effective for investors to take that strategy for investing in growth stock than for investing in value stock.

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 4
第三節 研究架構 5
第二章 文獻探討 7
第一節 淨值市價比效應 7
第二節 基本分析策略 10
第三節 穩健會計與分析師預測偏誤 12
第三章 研究方法 14
第一節 研究假說 14
第二節 變數定義與衡量 15
第三節 實證模式 22
第四節 樣本選取 28
第四章 實證結果 32
第一節 敘述統計量 32
第二節 單變量分析 34
第三節 多元迴歸結果 44
第四節 敏感性分析 48
第五章 結論與建議 67
第一節 研究結論 67
第二節 研究限制 68
第三節 研究建議 69
參考文獻 70

中文部分：
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沈孟軒，2003，淨值市價比投資策略：財務報表資訊之應用，國立中正大學會計與資訊科技研究所碩士學位論文。
范秉航，2004，風格投資策略：動能風格與基本風格之比較，私立世新大學財務金融學系碩士學位論文。
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