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研究生:蔡佩恂
研究生(外文):TSAI, PEI-HSUN
論文名稱:價值投資在台灣股市之實證:股利殖利率與F-SCORE
論文名稱(外文):The Empirical Study of Value Investing in Taiwan Stock Market:Dividend Yield and F-SCORE
指導教授:廖東亮
指導教授(外文):LIAO, TUNG-LIANG
口試委員:廖東亮江怡蒨王銘輝
口試委員(外文):LIAO, TUNG-LIANGCHIANG, YI-CHEINWANG, MING-HUI
口試日期:2017-06-09
學位類別:碩士
校院名稱:逢甲大學
系所名稱:財務金融學系
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:2017
畢業學年度:105
語文別:中文
論文頁數:41
中文關鍵詞:價值投資股利殖利率F-SCORE隨機優勢
外文關鍵詞:Value InvestingDividend-to-priceF-SCOREStochastic Dominance
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本研究主要利用股利殖利率與Piotroski (2000)之F-SCORE,作為選股指標建構投資組合,再利用隨機優勢為研究方法,檢定相關投資組合之績效表現。以台灣上市櫃股票為樣本,樣本期間自2002年7月至2016年10月。實證結果發現如下,第一,若以股利殖利率區分價值股與成長股,價值股投資組合的投資績效顯著地隨機優於成長股。第二,若以F-SCORE區分高分股與低分股,基本面良好的高分股投資組合投資績效顯著地優於基本面略差的低分股投資組合。第三,利用股利殖利率與F-SCORE進行兩階段選股,並進行績效比較,發現無論是價值股或是成長股投資策略,基本面的財報資訊皆能有效增進投資組合的績效。實證結果隱含投資人利用股利殖利率進行投資時,若可輔以基本面的財報資訊,可有效改善投資績效。
關鍵詞:價值投資、股利殖利率、F-SCORE、隨機優勢
The purpose of this study is to use the stochastic dominance test to examine the relative performance of stocks based on the two sorting criteria: Dividend-to-price ratio and F-SCORE for the Taiwan stock markets. The sample period is from 2002 to 2016. The findings of this study are as follows. First, the value portfolio stochastically dominates the growth portfolio. Second, there is a clear stochastic dominance relation of high F-SCORE stocks over low F-SCORE stocks based on the F-SCORE sorting criteria. Third, regardless of the value or growth strategy, the information of F-SCORE could improve the portfolio performance. In short, the conclusion is that investors can improve the performance of the value strategy based on dividend-to-price ratio with F-SCORE.
Keywords: Value Investing, Dividend-to-price, F-SCORE, Stochastic Dominance
第一章 緒論 1
第一節 研究動機及背景 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻探討 5
第一節 價值投資策略 5
第二節 財務報表資訊 12
第三章 F-SCORE計算與研究方法 15
第一節 F-SCORE之計算 15
第二節 隨機優勢檢定 19
第四章 實證結果與分析 22
第一節 價值投資策略分析:股利殖利率 22
第二節 基本面投資策略分析:F-SCORE 27
第三節 應用F-SCORE於價值股投資策略 31
第四節 應用F-SCORE於成長股投資策略 35
第五章 結論與建議 39
第一節 研究結論 39
第二節 未來研究建議 40
參考文獻 41


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