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    Title: “企業市值與銷售額比” 選股策略投資績效之研究 - 以台灣電子業為研究對象
    Authors: 董迺閎
    Dung, Nai-Hung
    Contributors: 吳啟銘
    Wu, Eric
    董迺閎
    Dung, Nai-Hung
    Keywords: EV/S
    價值選股
    潛力股
    地雷股
    超額報酬率
    Date: 2008
    Issue Date: 2009-09-18 20:25:30 (UTC+8)
    Abstract: 本研究之主要目的是想了解當台灣之電子公司,在面臨到企業價值與銷售額比(EV/Sales)為近三年最低點時,如果採用EV/Sales 做為選股依據,持有一年或是二年,其超額報酬為何。是否有關鍵因子可以加強選股績效,資料分為樣本內(1995Q1 - 2002Q4) 和樣本外(2003Q1 - 2006Q4)。其實証結論如下:
    • 實證上於樣本外公司之中,若使用EV/Sales為選股依據,組成對沖投資組合,持有期間為一年,其平均超額報酬績效為51%。
    • 實證上於樣本外公司之中,使用EV/Sales為選股依據組成對沖投資組合,持有期間為二年,其平均超額報酬績效為13%。若用關鍵因子加上EV/Sales為選股依據,持有期間為二年,其平均超額報酬績效大為32%,表示關鍵因子在投資期限較長之交易策略下,確實具有提升EV/Sales之選股能力。
    • 本研究透過ANOVA檢定和相關性檢定,找出選股的關鍵因子,為投入資本報酬率,EBITDA利潤率,毛利率,以及營業利潤率。
    The purpose of this paper is to study the List high-tech Companies in Taiwan, when their EV/Sales ratio become the lowest in recent 3 years, whether if EV/Sales is a good tool to identify the companies are a super stock or not. Or, we should use other financial ratios as auxiliary tool to enhance the effective of screening tool, increasing the return of investment performance.
    The results are summary as below:
    • In the out-of-sample companies, if we use the EV/Sales as screening tool, the top 10% to composite as short portfolio, and bottom 10% to composite long portfolio, the holding period is one year; annualized abnormal return is 51%.
    • In the out-of-sample companies, if we use the EV/Sales as screening tool, the top 10% to composite as short portfolio, and bottom 10% to composite long portfolio, the holding period is two year, annualized return is 13%. If we add the auxiliary key financial ratios, the annualized abnormal return is 32%.
    • We use the ANOVA and correlation analysis, to identify the key financial ratios to enhanced investment return is Gross margin, EBITDA margin, operating margin, and ROIC.
    Reference: 中文部份:
    1.杜振華 (2004),「影響股價的關鍵因子分析---以TFT-LCD產業為例」,國立政治大學商學院經營管理碩士學程財務管理組碩士論文。
    2.吳啟銘(2002),「企業評價-個案實證分析」,台北:智勝文化事業有限公司。
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    4.林聖哲 (2001),「產業市價淨值比在台灣股票市場投資績效之研究」國立政治大學財務管理學系碩士論文。
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    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    95932230
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095932230
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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