臺灣博碩士論文加值系統

本研究探討一般投資者以Piotroski(2000)所提出的F-score指標進行股票篩選，據此檢測投資人的獲利績效。此外既有文獻指出公司資訊揭露與透明度也會對股票報酬產生影響，通常資訊透明度較高的公司，資訊不對稱的問題可以降低，提高投資人的投資意願，產生較佳的獲利。因此，本文藉由證券暨期貨市場發展基金會所提供的公司治理評鑑系統，檢測Piotroski F-score對股票篩選預測能力是否會因公司治理評鑑的好壞而受到影響。結果顯示，投資者確實可以透過F-score分數指標的篩選，找出基本面較好的公司，且由此預測可以產生正的報酬；其次，公司治理評鑑指標的高低對於股票報酬好壞，並沒有產生顯著的影響力，因此投資人無法依據評鑑系統當作選股的依據；同時公司治理評鑑指標的高低對於F-score篩選預測能力也沒有產生影響力。最後，發現台灣股票市場中低淨值市價比公司在短期投資時，會得到較高的報酬，與過去文獻所提出的高淨值市價比股票組成的投資組合勝於低淨值市價比的投資組合結果不符。

This study explores the general investors' use of the F-score index proposed by Piotroski (2000) to screen stocks, and accordingly to detect the profitability of investors. In addition, existing literature indicates that company information disclosure and transparency will also affect stock returns. Generally, companies with higher information transparency can reduce the problem of information asymmetry, increase investors' willingness to invest, and generate better profits. Therefore, this paper uses the corporate governance evaluation system provided by the Securities and Future Institute to test whether Piotroski F-score's ability to predict return of stocks will be affected by the quality of corporate governance evaluation. The results show that investors can indeed find companies with good fundamentals through the screening of F-score indicators, and thus predict that they can generate positive returns ; Second, the level of corporate governance evaluation indicators has no significant impact on stock returns, so investors cannot use the evaluation system as a basis for stock selection; at the same time, the level of corporate governance evaluation indicators for F-score ability to screen and predict has no impact. Finally, it is found that companies with the lower book- to- market ratio in the Taiwan stock market will receive higher returns when investing in the short-term, which is inconsistent with the existing literature findings which show higher book-to-market companies outperform the lower book-to-market companies.

圖目錄 VI
表目錄 VI
第一章 緒論 1
1.1研究背景與動機 1
1.2研究目的 2
1.3研究架構 2
第二章 文獻回顧 3
2.1基本面評價 3
2.2 PIOTROSKI F-SCORE 3
2.3資訊透明度 4
2.3.1資訊揭露評鑑 4
2.3.2公司治理評鑑 5
第三章 研究方法 6
3.1研究對象 6
3.1.1公司治理評鑑樣本 6
3.1.2公司樣本 7
3.2研究方法 7
3.2.1敘述性統計分析 7
3.2.2迴歸模型 7
第四章 實證結果 9
4.1敘述性統計分析 9
4.2相關係數分析 9
4.3迴歸分析 11
4.3.1 F-score與股票報酬率關聯性結果 11
4.3.2公司治理評鑑對報酬的影響 16
第五章 結論與建議 35
5.1研究結論 35
5.2政策意涵與建議 35
參考文獻 37
附錄一 39

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