臺灣博碩士論文加值系統

近年來各國公司都越來越重視研發活動，各國公司所投入的研發費用也在逐年增加，但國際財務報導準則要求公司將用於創造無形資本的費用支出計為費用而不是資本化，這一要求導致權益的帳面價值被低估了，從而導致一些可用於篩選價值股和成長股的指標如市值淨值比受到了會計扭曲的影響。本研究將研發費用、銷管費用等能夠創造無形資本的費用資本化，並使用傳統帳面價值與加入無形資本的帳面價值去篩選價值股、成長股並形成多空策略，目的是研究在同樣使用市值淨值比挑選價值、成長股之下，將無形資本考量進去的投資組合是否可以改善傳統價值投資策略的績效，除此之外以滾動報酬分別持有二到五年，看在不同持有期間下會有什麼樣的差異，最後也使用不同指標將公司進行分群，探討在一個指標不同分群下哪些分群的改善效果更加明顯。

實證結果發現:在不同持有期間當中綜合表現以滾動持有五年的報酬率表現最好，報酬率可以比傳統多空策略提高2.15%且標準差僅為持有一年的三分之一；而在公司分群當中，以Tobin’s Q做為分群標準的投資組合表現最好，可以比傳統策略提高10.53%。

In recent years, companies all over the world have paid more and more attention to research and development activities, and the research and development expenses invested by companies in various countries have also increased year by year. However, International Financial Reporting Standards require companies to count expenses for creating intangible capital as expenses rather than capitalization. This requirement leads to the underestimation of the book value of equity, which causes some indicators that can be used to distinguish value stocks from growth stocks, such as market to book ratio, to be affected by accounting distortions. This research capitalizes expenses that can create intangible capital, such as research and development expenses, sales and management expenses, and uses traditional book value and book value that adds intangible capital to screen value stocks and growth stocks and form a long-short strategy. Use market to book ratio to screen for value and growth stocks, whether the investment portfolio that takes intangible capital into account can improve the performance of traditional value investment strategies, in addition to holding them with rolling returns for two to five years, depending on the holding period. What kind of differences will there be under different conditions? Finally, different indicators are used to group companies to explore which groups have more obvious improvement effects under different groups of one indicator.

The empirical results show that the comprehensive performance among different holding periods is the best rate of return for five years of rolling holding. The rate of return can be increased by 2.15% compared with traditional long-short strategy and the standard deviation is only one-third of that of holding for one year. ; And in the grouping of companies, the investment portfolio with Tobin's Q as the grouping standard performed the best, which can increase by 10.53% compared with the traditional strategy.

摘要 i
Abstract ii
目次 iii
表目錄 iv
圖目錄 v
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究架構 2
第二章 文獻回顧 4
第一節 價值策略文獻回顧 4
第二節 無形資本文獻回顧 5
第三節 無形資本折舊率文獻回顧 7
第三章 研究方法 11
第一節 資料來源 11
第二節 建構無形資本存量 11
第三節 建構投資組合 13
第四節 變數定義 16
第四章 實證結果分析 18
第一節 敘述統計 18
第二節 檢定結果 26
第五章 結論 37
第一節 研究結論 37
第二節 研究建議 37
參考文獻 38

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