臺灣博碩士論文加值系統

本研究依據Chan, Karceski, and Lakonishok 所提提出風格投資概念，加入Markowitz的投資組合策略，檢視2001年1月至2004年12月共241檔股票區分為傳統產業與電子產業，在樣本期間內利用市價盈餘比、市價淨值比與市價銷售比區分成長型與價值型股票，站在投資人的角度於各分類指標所分類的成長型與價值型股票建立投資組合，分別進行持有一個月、一季、半年、一年、兩年及三年的不同持有期間的組合，本研究探討以貝他值與變異數來衡量投資組合的風險加以分析，並利用Sharpe指標、Treynor指標及Jensen指標，探討不同風格投資的績效是否具顯著差異。此外，本研究分別將不同的兩群風格投資形成不同的投資組合，以模擬其投資組合績效。實證結果如下：

1. 傳統產業以市價盈餘比、市價淨值比及市價銷售比三個區分指標中顯示，價值型股票的投資組合報酬率優於成長型股票投資組合與市場(大盤)報酬率有顯著差異。
2. 電子產業以市價盈餘比、市價淨值比及市價銷售比三個區分指標中顯示，價值型股票的投資組合報酬率優於成長型股票投資組合沒有顯著差異，但價值型股票的投資組合報酬率優於市場報酬率有顯著差異。
3. Treynor、Sharpe、Jensen三個績效評估模式模擬投資組合績效，一致顯示價值型股票投資組合優於市場組合。

This research is according to the concept of risk investment from Chan, Karceski, and Lakonishok; furthermore, Markowize’s investment portfolio is added. It totally checks 241 stocks from January 2001 to December 2004, and it is separated into the traditional industry and the electronic industry. During the research, use the ratio of P/E, P/B, and P/S; also, separate into the growing-type stock and the value-type stock. In the status of investors, each index has the growing-type and value-type to establish portfolio combinations. Also, the combination of portfolios will be separated into a month, a quarter, a year, two years, and three years. The research discusses the beta value and the variance to measure the risk of portfolio, and analyze. In addition, use the Sharpe index, the Treynor index, and the Jensen index to discuss different kinds of achievements that it exist the difference or not. Additionally, the research will separate two different types of portfolio combinations to establish, and simulate the achievement of portfolio combination. The result will be shown as below:
1. The traditional industry will be announced by three indexes; furthermore, these are P/E Ratio, P/B ratio, and P/S ratio. The rate of value type’s investment portfolio return is better than the growing type portfolio. Also, there is a baldly difference with the rate of market return.
2. The electronic industry will be announced by three indexes; furthermore, these are P/E Ratio, P/B ratio, and P/S ratio. There is no baldly difference to announce that the return rate of value type investment portfolio is better than the growing type investment combination. However, the return rate of the value type stock investment portfolio is better than market return rate. Also, there is a baldly difference.
3. The achievement of simulate portfolio from Treynor, Sharpe, and Jensen are agreeably announced that the value type stock investment portfolio is better than the market portfolio.

摘要…………………………………………………………I
Abstract…………………………………………………II
誌謝…………………………………………………………IV
目錄…………………………………………………………V
圖目錄………………………………………………………VII
表目錄………………………………………………………VIII
第壹章 緒論………………………………………………1
第一節 研究動機………………………………………1
第二節 研究目的………………………………………2
第三節 研究流程與研究架構…………………………3
第貳章 文獻探討…………………………………………5
第一節 股票風格分類之相關文獻……………………5
第二節 國內外成長型與價值型股票的相關文獻……13
第三節 報酬率與財務比率之關聯性…………………16
第四節 投資組合之相關文獻…………………………19
第五節 投資組合績效評估之文獻…………………………22
第參章 研究方法…………………………………………25
第一節 樣本選取標準及資料來源……………………25
第二節 變數定義與選取………………………………26
第三節 建立模型………………………………………30
第四節 投資組合設計…………………………………32
第肆章 實證研究…………………………………………39
第一節 股票報酬率與財務比率之關聯性……………40
第二節 投資組合報酬率與持有期間報酬率…………44
第三節 成長型與價值型投資組合之績效評估……………56
第伍章 結論與建議…………………………………………70
第一節 結論…………………………………………………70
第二節 研究限制……………………………………………71
第三節 研究建議……………………………………………72
參考文獻……………………………………………………74

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