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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30978


    Title: 價值效應提升及相關投資啟示於台灣整體股市與個別產業之探討
    Authors: 賴佩君
    Contributors: 陳帝富
    賴佩君
    Keywords: 價值股組合
    價值效應
    績效提升
    產業別
    Date: 2005
    Issue Date: 2009-09-14
    Abstract: 本研究以台灣股市為實證對象，首先檢驗價值股組合能否創造出較其他投資組合優異的績效表現。接著，搭配成長因子、財務結構面、市場流動性等指標，探討可否藉由這些方法提升原始價值股組合之報酬。最後，以產業別為基礎，自台灣股市中選取紡織纖維業、電機機械業、化學工業、電子業、營造建材業、金融保險業六個產業，觀察個別產業是否也具有價值效應、規模效應和季節性現象。

    研究結論如下：
    一、不論是盈餘/市價比、淨值/市價比、銷貨/市價比哪一種分類指標，價值股組合之績效均明顯優於所有股票組合與成長股組合，其中又以淨值/市價比價值股組合的表現最好；此外，價值股組合之報酬變異程度亦較小。本研究此部分之結論與多數國內文獻的實證結果一致。

    二、在成長因子、財務結構面、市場流動性三種提升價值股組合績效之指標中，以剔除負債比率最高組（即衡量財務結構面）的方式最有效；此結論與黃淑娟（1998）發現衡量財務結構面及市場流動性對績效提升較有效的結果類似。相對地，結合成長因子之新投資組合的報酬卻嚴重落後所有股票組合和原始盈餘/市價比價值股組合；此結論與Ahmed and Nanda（2001）發現結合成長特徵之價值型股票能提高報酬的實證結果相異。

    三、以產業類股為基礎下，原則上每個產業之價值股組合的績效均優於各該產業所有股票組合及成長股組合，但各產業最適用之價格比率分類指標不盡相同。此外，這些產業也都存在規模效應，即小型股組合之績效均優於大型股組合，同時，各產業大致皆呈現小型股組合的報酬波動程度高於大型股組合。另一方面，每個產業都有月份效應，績效最好之時期為1月份、12月份。
    而進行產業間之比較則可發現，電子產業的表現最為出色，尤其是價值股組合；相對地，紡織業則表現不佳。
    In this study, we detected the characteristics of the stock market in Taiwan. First, we examined whether value stocks perform better than growth stocks. Second, we tried to improve the return of value stocks by using three value enhancers (i.e., the growth factor, the financial structure, and the market liquidity.) Finally, we chose six industries from the stock market, including the textile industry, the electrical machinery industry, the chemical industry, the electron industry, the building/construction industry, and the finance/insurance industry, to see if there exist the value effect, the size effect, and the monthly effect for individual industries.

    Our results are as follows:
    1. The value effect exists in the Taiwan stock market; in other words, value stocks always outperform growth stocks. And the return of value stocks based on book-to-price ratio is the highest among different portfolio examined. Besides, book-to-price ratio is the best indicator to divide stocks into value stocks and growth stocks.

    2. Of the three value enhancers used to improve performance, the financial structure is the most effective one. However, the performance of the new portfolio which incorporates the growth factor to select value stocks is much lower than that of value stocks based on earnings-to-price ratio.

    3. Each individual industry shows the value effect, the size effect, and the monthly effect. Among these six industries, the performance of the electron industry is the best, especially for value stocks, whereas the performance of the textile industry is comparatively poor.
    Reference: 一、中文部分
    朱富春，股票本益比理論及其應用，台灣經濟金融月刊第十一卷第一期，民國64年。
    劉維琪、李佳玲，運用隨機優勢模式再探討台灣股市本益比效應，會計評論第27期第1-24頁，民國82年。
    胡玉雪，本益比、淨值市價比及公司規模對股票報酬之影響─相似無關迴歸法之運用，台灣大學商學研究所未出版之碩士論文，民國83年。
    廖東亮，以隨機優勢理論測試價銷比策略之研究，台灣科技大學管理技術研究所未出版之碩士論文，民國83年。
    陳志和，價值導向投資策略在台灣股市之實證研究，政治大學財務管理研究所未出版之碩士論文，民國86年。
    施純玉，淨值市價比效果之探討，台灣大學財務金融研究所未出版之碩士論文，民國86年。
    黃淑娟，傳統的與強化的價值導向投資策略在台灣股票市場之實證研究，政治大學財務管理研究所未出版之碩士論文，民國87年。
    鄭育杰，台灣股市規模效應實證研究，台北大學企業管理研究所未出版之碩士論文，民國89年。
    林聖哲，產業市價淨值比在台灣股票市場投資績效之研究，政治大學財務管理研究所未出版之碩士論文，民國90年。
    廖淑惠，本益比與成長機會策略組合之投資報酬報告，國防管理學院國防財務資源研究所未出版之碩士論文，民國91年。
    劉秉龍，成長型與價值型投資策略之實證分析，靜宜大學企業管理研究所未出版之碩士論文，民國91年。
    趙志遠，台灣股市之效率檢定及多因素模型之探討─長期追蹤資料之計量分析，中央大學產業經濟研究所未出版之碩士論文，民國92年。
    王智鈴，台灣股市規模效應之再驗證，逢甲大學會計與財稅研究所未出版之碩士論文，民國93年。
    陳巧玲，價值型投資風格於台灣股票市場之研究，政治大學財務管理研究所未出版之碩士論文，民國93年。
    二、英文部分
    Parvez Ahmed and Sudhir Nanda, “Style Investing: Incorporating Growth Characteristics in Value Stocks.” Journal of Portfolio Management, Spring 2001, Vol. 27, pp.47-59
    Bala Arshanapalli, T. Daniel Coggin, and John Doukas, “Multifactor Asset Pricing Analysis of International Value Investment Strategies.” Journal of Portfolio Management, Summer 1998, Vol. 24, pp.10-23
    William C. Barbee, Jr. Sandip Mukherji, and Gary A. Raines, “Do Sales-Price and Debt-Equity Explain Stock Returns Better than Book-Market and Firm Size?” Financial Analysts Journal, Mar/Apr 1996, Vol. 52, pp.56-60
    W. Scott Bauman and Robert E. Miller, “Investor Expectations and the Performance of Value Stocks versus Growth Stocks.” Journal of Portfolio Management, Spring 1997, Vol. 23, pp.57-68
    Francois Bourguignon and Marielle de Jong, “Value versus Growth.” The Journal of Portfolio Management, Summer 2003, Vol. 23, pp.71-79
    Carlo Capaul, Ian Rowley, and William F. Sharpe, “International Value and Growth Stock Returns.” Financial Analysts Journal, Jan/Feb 1993, Vol. 49, pp.27-36
    Louis K. C. Chan, Yasushi Hamao, and Josef Lakonishok, “Fundamentals and Stock Returns in Japan.” The Journal of Finance, Dec 1991, Vol. 46, pp.1739-1764
    Louis K. C. Chan and Josef Lakonishok, “Value and Growth Investing: Review and Update.” Financial Analysts Journal, Jan/Feb 2004, Vol. 60, pp.71-86
    Werner F. M. De Bondt and Richard H. Thaler, “ Further Evidence On Investor Overreaction and Stock Market Seasonality.” The Journal of Finance, Jul 1987, Vol. 42, pp.557-581
    Elroy Dimson, Stefan Nagel, and Garrett Quigley, “Capturing the Value Premium in the United Kingdom.” Financial Analysts Journal, Nov/Dec 2003, Vol.59, pp.35-45
    David N. Dreman and Eric A. Lufkin, “Do Contrarian Strategies Work Within Industries?” Journal of Investing, Fall 1997, Vol. 6, pp.7-29
    Eugene F. Fama and Kenneth R. French, “The Cross-Section of Expected Stock Returns.” The Journal of Finance, Jun 1992, Vol. 47, pp.427-465
    Eugene F. Fama and Kenneth R. French, “Size and Book-to-Market Factors in Earnings and Returns.” The Journal of Finance, Mar 1995, Vol. 50, pp.131-156
    Eugene F. Fama and Kenneth R. French, “Value versus Growth: The International Evidence.” The Journal of Finance, Dec 1998, Vol. 53, pp.1975-1999
    Gerald R. Jensen, Robert R. Johnson, and Jeffrey M. Mercer, “New Evidence on Size and Price-to-Book Effects in Stock Returns.” Financial Analysts Journal, Nov/Dec 1997, Vol. 53, pp.34-42
    Josef Lakonishok, Andrei Shleifer, and Robert W. Vishny, “Contrarian Investment, Extrapolation, and Risk.” The Journal of Finance, Dec 1994, Vol. 49, pp.1541-1578
    George Leledakis and Ian Davidson, “Are Two Factors Enough? The U.K. Evidence.” Financial Analysts Journal, Nov/Dec 2001, Vol.57, pp.96-105
    James P. O’Shaughnessy, “What Works on Wall Street: A Guide to the Best- Performing Investment Strategies of All Time.” McGraw-Hill: New York, 1996
    Donald J. Peters, “Valuing a Growth Stock.” The Journal of Portfolio Management, Spring 1991, Vol. 17, pp.49-51
    K. Geert Rouwenhorst, “International Momentum Strategies.” The Journal of Finance, Feb 1998, Vol. 53, pp.267-384
    Fenghua Wang and Yexiao Xu, “What Determines Chinese Stock Returns?” Financial Analysts Journal, Nov/Dec 2004, Vol. 60, pp.65-77
    Description: 碩士
    國立政治大學
    財務管理研究所
    93357013
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093357013
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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