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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94788


    Title: 價值投資在亞太市場的實證研究
    The Empirical Study of Value Investing in Asia Pacific
    Authors: 王堯昌
    Wang, Yau Chang
    Contributors: 郭維裕
    王堯昌
    Wang,Yau Chang
    Keywords: 價值投資
    神奇公式
    亞太市場
    Value Investing
    Magic Formula
    MSCI Asia Pacific
    Warren Buffett
    Joel Greenblatt
    Date: 2009
    Issue Date: 2016-05-09 11:53:36 (UTC+8)
    Abstract: 德國投資大師科斯托蘭尼（Kostolany）曾用主人牽狗散步來形容股價跟基本面的運行關係，主人從甲地到乙地的路徑像是公司的基本面，而狗跟隨著主人的步伐忽前忽後、亦步亦趨就像是股價，兩者之間短期間不一定會同步，但最終必將一致。這個現象說明了股市投資的一個不變的真理：長期而言，股價必將反映公司經營的基本面。作為一個投資人如果無法掌握基本面的走向，而只知道一味的追逐股價的走向，則無異於捨本逐末，緣木求魚了。
    從基本面來分析公司的價值，最直接正確的方是就是現金流量折現模型，但這個方法對於如何預估公司未來產生的現金流，及如何採用折現率存在著相當大的歧異。再者，一經估算出公司的內在價值後，要在什麼價格買進是另外一個要面對的問題。葛林布雷（Joel Greenblatt）選擇從另外一個角度切入，他藉著資本報酬率（Capital return）來篩選經營績效傑出的公司，加上盈餘報酬率（Earning Yield）來選出便宜的標的，兩者結合在一起過濾出的組合可充分發揮出價值投資者選股的精神。
    本研究應用他所提出的方法，選擇MSCI Asia Pacific ex-Japan指數做為樣本，實際驗證用這兩個神奇公式所選出的投資組合在2002-2007年的表現，結果得到年化報酬率超過指數表現高達40%的績效。對於一般非專業的投資人，可以利用這個低成本及有效的方式建構一個價值型的投資組合，避免跟隨市場波動而頻繁地交易，達到投資而非投機的目的了。
    Andre Kostolany, Germany guru investor, explains the relationship between stock price and fundamental by an example of a man walking a dog. The master’s route expresses the company’s operation fundamental while the follow-up path of the dog is the stock price movement. Their paths are not sure synchronizing at short period of time but it will be corresponding in the long run. Admittedly, this phenomenon tells us the truth that the stock price finally should reflects the operating result of the company. Therefore, it’s in vain if an investor cannot manage to understand the business development but only chase technical price information.
    Basically, the discount cash flow, DCF, is the first and foremost method to evaluate the value of the company. However, how to forecast the future cash flow of the business as well as how much the discounting rate be used are still among debatable. Secondly, when to buy the stock is another dilemma after the intrinsic value is calculated. Joel Greenblatt takes the topic from a different angle. He points out those stocks with high capital yield and earning yield that depicting not only superior capital spending but also relatively inexpensive compare to others. In short, his two magic formulas combine major value investor components indeed.
    This thesis applies his findings to eqiuty portfolio construction in Asia Pacific markets. From 2002 to 2007, the magic 30 basket, composed of 30 constituents with highest capital and earning yield, outperforms the MSCI Asia Pacific ex- Japan benchmark by astonishing 40% p.a. For non-institutional investors, the model is particularly useful in construction a value-oriented portfolio that refrains from frequent transactions in face of market volatility.
    第一章 緒論 1
    第一節 研究背景與動機 1
    第二節 研究目的 4
    第三節 研究架構 5
    第二章 文獻探討 7
    第一節 回顧價值分析學派歷史背景 7
    第二節 學術上對價值投資法的分析 9
    第三節 價值投資的績效實證 14
    第三章 研究方法 24
    第一節 實證流程 27
    第二節 投資組合的模擬及分析 27
    第四章 實證研究與分析 30
    第一節 以歷史資料篩選投資標的 30
    第二節 神奇公式挑出整個市場中最具價值的股票投資 30
    第三節 投資組合績效的計算與檢討 34
    第五章 結論與建議 49
    參考文獻 54
    Reference: 第一部份：中文部分
    1. 劉真如譯（Joel Greenblatt著）（2007），打敗大盤的獲利公式，商周出版社。
    2. 張淑芳譯（Warren E. Buffett, Lawrence A. Cunningham著）（2000），巴菲特寫給股東的信，財訊出版社。
    3. 劉心陽著（2006），操盤人教你看財務報表，智富文化。
    4. 羅若蘋譯（Robert G. Hagstrom著）（1997），勝券在握：股市奇才華倫巴菲特的投資策略，遠流出版社。
    第二部分：英文部分
    [1] Basu S., “Investment Performance of Common Stocks in Relation to Their Price Earning Ratio: A Test of the Efficient Market Hypothesis”, Journal of Finance (1977).
    [2] Rosenberg, Reid, Lanstein, “Persuasive Evidence of Market Inefficiency”, Journal of Portfolio Management (1985)
    [3] Christopher H. Browne, William H. Browne, John D. Spears, Thomas H. Shager, Robert Q. Wyckoff, Jr., “What Has Worked In Investing: Studies of Investment Approaches and Characteristics Associated with Exceptional Returns”, Tweedy, Browne Company LLC (1992)
    [4] A Heilbrum Center for Graham & Dodd Investing Research Project conducted by Andrew Dubinsky, “Value Investing Retrospective”, Walter Schloss Value Investing Archives (2006)
    [5] Eugene F. Fama, Kenneth R. French, “The Cross-Section of Expected Stock Returns”, Journal of Finance (1992)
    [6] Graham, Benjamin (1934), “Security Analysis”, McGraw Hill Book Co
    [7] Warren E. Buffett (1984), “The Superinvestors of Graham-and-Doddsville”, Columbia Business School Magazine
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    94932020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094932020
    Data Type: thesis
    Appears in Collections:[Executive Master of Business Administration] Theses

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