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研究生:張家瑋
研究生(外文):Chia-Wei Chang
論文名稱:基本財務指標分析及信用風險評分與投資報酬之關係
論文名稱(外文):A Research of the Relationship among Basic Financial Analysis, Credit Risk Valuation and Investment Return
指導教授:盧陽正盧陽正引用關係李忠榮李忠榮引用關係
指導教授(外文):Yang-Cheng LuChung-Jung Lee
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士在職專班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:58
中文關鍵詞:G-ScoreF-ScoreO-ScoreFama and French三因數模型
外文關鍵詞:G-ScoreF-ScoreO-ScoreFama and French three-factor model.
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本研究以台灣股票市場上市、上櫃公司為樣本,探討價值股與成長股在面臨不同財務危機發生機率及不同投資策略(G-Score和F-Score)下,其投資報酬率是否出現顯著差异。本研究參考Griffin and Lemmon(2002)研究方法,利用「淨值市價比」作為價值股與成長股之分類依據,再以Ohlson之O-Score財務危機風險評量指標進行區分,將樣本公司發生財務危機風險之機率進行排序比較,探討不同分類之投資組合是否呈現不同之績效,幷進一步采用Fama and French三因數模型之觀念,再納入財務危機風險及價值股與成長股之虛擬變數,試圖對股票報酬結構提供較完整之解釋。本研究實證發現如下:
1. G-Score和F-Score兩種財務績效指標均能提供有效的投資參考依據,但G-Score策略在成長股績效表現更佳,而F-Score策略則在價值股績效表現較佳。因此,成長股可採用G-Score財務績效指標為投資參考指標;價值股則宜採用F-Score財務績效指標為投資參考指標以獲得較佳之報酬。
2. 就全體樣本而言,不論樣本公司財務危機程度高低,在G-Score和F-Score投資策略均能顯著獲得較佳之异常報酬;但若細分為成長股和價值股則發現,低和高財務危機樣本均無法獲得顯著的异常報酬,僅在中度財務危機樣本才有顯著异常報酬,且成長股在G-Score投資策略才有顯著异常報酬,而價值股在F-Score投資策略才有顯著异常報酬。
3. 就迴歸分析實證結果,無論在短、中、長期之投資報酬率,三因素均呈顯著結果。另外,GSc和FSc兩個虛擬變數之係數均顯著為正,此意謂當G-Score(成長股)或F-Score(價值股)愈高,所獲得之异常報酬愈高。且財務危機因素(O-Score)之係數值均呈現負值,且具顯著性,代表財務危機效應將减損投資報酬率。
This research mainly adopts listed and OTC stock markets in Taiwan. We intend to discuss whether there are differences of return on investment between growth stocks and value stocks with different investment strategies. This study adopts the methodology of Griffin and Lemmon(2002) and Ohlson(1980).First, we classify the stocks in three portions with “BE/ME” and difine the highest 30% and the lowest 30% as the value stock and the growth stock. Then we divide each of the portions into 5 portions according O-Score. Altogether there are 15 portfolios, in which we discuss whether there is a difference in their performance. Moreover, this research is an extension of the Fama and French three-factor model, bringing into account the financial distress risk. This research tries to provide a complete explanation for influences of the sources of return of stock markets in Taiwan.
The main empirical results are summarized as follows:
1. Our empirical results support that G-Score and F-Score are successful in Taiwan capital market and G-Score is more effective for investors to take that strategy for investing in growth stock. But F-Score is more effective for investors to take that strategy for investing in value stock.
2. This study finds that regardless of the risk of financial crisis, F-Score and G-Score all can earn the abnormal return significally. Through comparing the difference of the firm size, higher and lower financial crisis all can not earn abnormal return. Only the value stocks have a significant abnormal return with F-Score, while the growth stocks have a significant abnormal return with G-Score.
According to the demonstration resuts of te sources of return, the results of both the Rf and BM factors are positively related to the stock return; while the Size is in negatively related to the stock return. The financial crisis is negatively related to the stock return.
目   錄

第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的與貢獻 3
第三節 研究架構 4
第貳章 文獻回顧 7
第一節 區分成長型與價值型企業之相關文獻 7
第二節 企業財務預警模型之相關文獻 11
第三節 進一步考量財務危機後之價值股與成長股報酬 12
第參章 研究方法 14
第一節 研究方法 14
第二節 變數定義與衡量方式 17
第三節 資料蒐集與處理 23
第肆章 實證結果 25
第一節 績效分析 25
第二節 迴歸分析 47
第伍章 結論與建議 50




















圖表目錄

表1 依淨值市價比及O-Score分類之投資組合…………………………………...16
表2 F-Score與G-Score基本分析系統指標比較………………………………..22
表3 依市場淨值比及O-Score分類下,投資組合各年報酬率………………….29
表4 依市價淨值比及O-Score分類下,買進幷持有各投資組合一年之期間
平均報酬率………………………………………………………………….30
圖1 依市價淨值比及O-Score分類下,買進幷持有各投資組合一年之期間平
均報酬率…………………………………………………………………….30
表5 各投資組合與市場加權指數(不含金融)之t檢定結果…………………….31
表6 運用Gscore投資策略之六個月期報酬……………………………………..32
表7 運用Gscore投資策略之一年期報酬………………………………………..34
表8 運用Gscore投資策略之二年期報酬………………………………………..36
表9 運用Fscore投資策略之六個月期報酬……………………………………..38
表10 運用Fscore投資策略之一年期報酬……………………………………….40
表11 運用Fscore投資策略之二年期報酬……………………………………….42
表12 各年度運用Gscore投資策略之績效表現………………………………….44
表13 各年度運用Fscore投資策略之績效表現………………………………….44
表14 G-Score投資策略與財務危機(O-Score)之一年期超額報酬分析表……45
表15 F-Score投資策略與財務危機(O-Score)之一年期超額報酬分析表……46
表16 模式一之迴歸分析表……………………………………………………….48
表17 模式二之迴歸分析表……………………………………
參考文獻
中文部份
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2.葉承楙,「淨值市價比及信用風險指標(O-score與TCRI)運用在投資績效之分析」,國立成功大學財務金融所碩士論文,民國94年6月。
3.郭敏華、範秉航,台灣股市策略暨戰術資產配置;G-Score系統之建構與應用,民國93年第一屆財務金融及財金未來學術暨實務研討會,民國93年1月。

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