臺灣博碩士論文加值系統

本論文欲研究同時利用基本分析與技術分析之投資策略是否能顯著提升僅利用基本分析建構之投資組合績效。Joseph D. Piotroski (2000) 利用會計資訊建構一個名為F_SCORE的評分指標來篩選高淨值市價比投資組合中之績優股票，故本論文應用Piotroski’s F_SCORE於台灣股票市場進行基本分析之選股策略。另外，過去文獻中利用動能效應所建構的投資策略同樣具有篩選績優股之概念，為求一致性，本研究利用過去報酬率與成交值等技術分析資訊建構投資動能策略，以求進一步改善投資組合之績效。本研究同時利用基本分析與技術分析於台灣股票市場中建構投資組合，且觀察發現此種聯合策略不僅能提升投資績效，也能創造較高的夏普指標與優於市場之表現。

This paper investigates whether investment strategy with both the fundamental and technical information can significantly improve the performance on investment strategy with the fundamental information alone. Regarding to Fundamental analysis, Piotroski (2000) developed the F_SCORE system by using simple financial statement-based information to separate winner stocks from losers. For consistency, technical momentum strategy by using past returns and trading volume is employed along with the fundamental analysis in this paper for unified framework of helping investors with further selecting the best winner stocks among the price winners. This paper formulates the “Combined portfolio” based on the composite fundamental score, past returns and past trading volume in Taiwan stock market, and concludes that combined strategy not only outperforms the fundamental strategy, but also significantly beat the market and generates the highest sharp ratio.

摘要.......................................................i
Abstract..................................................ii
Chapter1 Introduction......................................1
1.1 Research Background and Motivation.....................1
1.2 Objectives and Major Findings..........................3
Chapter2 Literature Review.................................4
2.1 Fundamental Analysis- F_SCORE..........................4
2.2 Technical Analysis.....................................8
2.2.1 Technical Analysis- Momentum Strategy................8
2.2.2 Technical Analysis- BOS Ratio........................9
Chapter3 Methodology and Data.............................11
3.1 Methodology...........................................11
3.1.1 How to Construct Portfolio- Fundamental Strategy....12
3.1.2 How to Construct Portfolio- Combined Strategy.......13
3.2 Data and Sample Selection.............................15
Chapter4 Empirical Results................................17
4.1 Correlation between Variables.........................17
4.2 Cross-Section Analysis of Excess Monthly Return for Value Stocks..............................................18
4.3 Performance Analysis of Three Different Investment Strategies................................................19
4.4 Paired Difference t-test on the Performance of Investment Strategies.....................................23
4.5 Sharp Index Test on the Three Different Investment Strategies................................................26
Chapter5 Conclusions......................................28
Table 4-1 Correlation among three and six-month future monthly stock return, BM ratio, FSCORE index, BOS ratio and past return over the twelve month for value stocks........30
Table 4-2 Average excess monthly return in percentage term of firms with F_SCORE ranging from zero to nine within value stocks in our sample period from 1991 to 2011.............31
Table 4-3 Annualized raw return in percentage term of three different portfolios in sample period from 1991 to 2011...32
Table 4-4 Paired difference t-tests on performance of three investment strategies in sample period from 1991 to 2011..33
Table 4-5 Paired difference t-tests on performance of individual portfolio and Taiwan Stock Exchange Capitalization Weighted Stock Index (TWSE)................34
Table 4-6 Sharp index tests on performance of three different strategies......................................35
Chart 4-1 Cumulative annualized raw return in sample period from 1991 to 2011.........................................36
References................................................37
Appendix 1 Variable Definitions...........................39
Appendix 2 Indicators Definitions.........................40
Appendix 3 Sample Size....................................41

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