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研究生:江侃倫
研究生(外文):Kan-Lun Chiang
論文名稱:以基本分析建構投資策略於在台灣資本市場之適用性
論文名稱(外文):Using Fundamental Financial Analysis to Construct a Investment Strategy in Taiwan''s Stock Market
指導教授:王瑄王瑄引用關係
學位類別:碩士
校院名稱:元智大學
系所名稱:會計學程
學門:商業及管理學門
學類:一般商業學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:51
中文關鍵詞:價值投資F_SCORE營業資產金融資產
外文關鍵詞:Value InvestingF_SCOREOperating Assets and Financial Assets
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  • 被引用被引用:4
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Piotroski (2000)利用簡單的財務報表資訊所建立的F_SCORE指標,可區出高淨值市價比企業中的好壞公司,並藉以形成投資組合賺取超額報酬。Olson and Feltham (1995, 1999)指出,企業之淨資產和淨利皆應區分係營業或金融性活動所產生,因為兩類活動下之淨資產與利益之評價對企業價值之影響有所不同。本篇研究旨在探討,若以F_SCORE為投資策略之基礎架構,但將其使用之會計數字區分為營業和金融活動兩部份,是否更有助於區分出高淨值市價比企業中的好壞公司,並獲得較F_SCORE投資策略下更高之異常報酬。
本研究發現:1. Piotroski (2000)的F_SCORE投資策略,在台灣資本市場2007年及2009年間能區分出高淨值市價比中的好公司與壞公司。2. 本研究進一步將會計數字區分為營業和金融活動兩部份後所得之J_SCORE,在2009年間之多空投資組合的市場調整報酬為34.1%,顯著高於F_SCORE投資策略之報酬。
本篇研究之結果支持會計文獻上需將會計數字區分為營業活動或金融活動所產生,因其對企業價值和未來預期獲利能力之影響性不同;依此區分法形成之價值投資策略,較傳統F_SCORE之投資策略能提供更佳之報酬。


Piotroski (2000) used simple accounting-based fundamental analysis information to construct F_SCORE, which can separate good firms and bad firms from value stocks. Piotroski (2000) also formed a buy-and-hold strategy by using F-SCORE to earn abnormal returns. Ohlson and Feltham (1995, 1999) suggest that firm’s net assets and income should separate into operating and financial activities, because the two activities have different implication on firm’s value. The purpose of this study is to modify F_SCORE by separate accounting numbers into operating activities and financial activities, and to examine whether this modified index can lead to a higher abnormal return when we form a investment portfolio. .
The findings of this research includes: 1. F_SCORE (Piotroski, 2000) can separate good firms and bad firms from high book-to-market firms in Taiwan Capital markets. 2. after separating accounting numbers into operating activities and financial activities, an buy –and-hold strategy formed with J_SCORE can generates 34.1% annual return during 2009, while with F_SCORE, the abnormal return is only 33.4%.
This study’s conclusion lends a support to prior research that when evaluation a firms’ value, accounting numbers should be divided into operating activities and financial activities, owing to different implication about firm’s value and future profitability.


目錄
第一章 緒論 1
第二章 文獻探討 6
第一節 基本分析之文獻 6
第二節 營運資產與金融資產之文獻 12
第三節 價值投資策略之文獻 15
第三章 研究設計 20
第一節 研究假說 20
第二節 實證設計 22
第三節 樣本選取及資料來源 27
第四章 實證結果 29
第一節 高淨值市價比下之F_SCORE與J_SCORE之敘述性統計 29
第二節 F_SCORE之實證結果 30
第三節 J_SCORE之實證結果 33
第四節 F_SCORE與J_SCORE之結果分析比較 35
第五章 結論與建議 38
參考文獻…………………………………………………………………40


表目錄
表 一 常見之營業資產、金融資產、營業負債與金融負債 42
表 二 F_SCORE與J _SCORE之變數差異對照表 43
表 三 樣本篩選過程 44
表 四 敘述性統計量 45
表 五 Spearman與Pearson相關係數表 48
表 六 F_SCORE與報酬關聯之實證研究 49
表 七 J_SCORE與報酬關聯之實證研究 50
表 八 F_SCORE與J_SCORE之實證比較表 51


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