政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30845

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/30845

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政大典藏 > College of Commerce > Advanced MBA, NCCU > Theses > Item 140.119/30845

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30845

Title:	PBV投資策略-以台灣50指數為實證研究 PBV investment strategy － emperical studies in Taiwan 50 index
Authors:	黃俊翔 Huang, Chun Hsiang
Contributors:	吳啟銘 Eric Wu 黃俊翔 Huang, Chun Hsiang
Keywords:	相對評價法股價淨值比報酬率 relative valuation price to equity return
Date:	2007
Issue Date:	2009-09-14
Abstract:	本研究運用相對評價法中之PBV(Price to Book Ratio)乘數，進行橫斷面迴歸分析，判斷股價低估(undervalue)或高估(overvalue)，並利用判斷結果進行投資組合部位建立。選取樣本利用台灣50 指數成分股排除公司規模之影響，而研究結果顯示，利用PBV 低估的股票進行多部位建立，在研究期間全期中，可以明顯超越市場報酬，但在空部位建立則無法超越市場報酬。研究中並發現，極端值對績效造成影響，其因素為金控及銀行類股與景氣循環股產業特性所致。 This research applied the multiple of the price to book value in the relative valuation to begin cross-section regression analysis and to evaluate if the stock price was overpriced or underpriced. The result can be used to develop the investment portfolios. This research used the constituents in Taiwan 50 Index as samples in order to avoid the size effect. During the whole period, we found that we could gain excess profit obviously and defeat the market return by utilizing those stocks underpriced in PBV to develop the long position. However, we could not defeat the market return by developing the short position. In the research, we also found that the extreme value could affect the investment return, which result mainly from both stocks of financial holding companies and banks and stocks of business cycle industries. 第壹章緒論................p1 第貳章文獻探討.............p3 第參章研究方法.............p13 第四章實證結果與分析........p21 第五章結論與建議............p40
Reference:	一、中文文獻 1. 王韻晴(2003)，我國指數股票型基金上市後之績效分析，國立政治大學，財務管理研究所碩士論文。 2. 王士維(2006)，發光二極體封裝產業企業評價之研究，國立政治大學企業管理研究所碩士論文。 3. 田玲菱(2004)，指數股票型基金投資組合最適避險策略，國立政治大學財務管理研究所碩士論文。 4. 吳啟銘(2001)，企業評價－個案實證分析，台北市：智勝文化事業公司。 5. 林炯垚(1999)，企業評價－投資銀行實務，台北市：禾豐企業發展文教基金會。 6. 施純玉(1997)，淨值市價比效果之探討，國立台灣大學財務金融學研究所碩士論文。 7. 黃國彰(2007)，各項選股指標於台灣股票市場的實用性探討--應用對象與應用時機之研究，國立台灣大學國際企業研究所碩士論文。 8. 胡玉雪(1994)，益本比、淨值/市價比及公司規模對股票報酬之影響— 相似無關迴歸法之應用，國立台灣大學商學研究所碩士論文。 9. 葛思惠、陳正斌(2001)， ETF 在臺灣發行交易之可行性研究，臺灣證券交易所。 10. 歐宏杰等(2003)，臺灣50 指數ETF 投資實務，秀威資訊科技，台北市。 11. 蔡佳蓉(2001)，公司淨值市價比的落後及偏差因素與其預測未來股東權益報酬率能力之研究，國立成功大學會計學研究所碩士論文。 12. 謝劍平(1997)，財務管理---新觀念與本土化。二、英文文獻 1. Chan L., Y. Hamao and J. Lakonishok (1991), Fundamental and Stock Return in Japan, Journal of Finance, pp.1739-1746. 2. Copeland, T., Koller, T., & Murrin, J. (1995), Valuation-Measuring and managing the value of Companies , 2nd edition, NY:John Wiley & Sons. 3. Damodaran, A. (2002), Investment Valuation: Tools and Techniques for Determining the Value of Any Asset , Second Edition, NY:John Wiley & Sons. 4. Damodaran, A. (2006), Damodaran On Valuation 2E: Security Analysis For Investment And Corporate Finance , NY:John Wiley & Sons. 5. Fairfield, P.M. (1994), P/E, P/B, and the Present Value of Future Dividends, Financial Analysts Journal ,vol 50, pp. 23-31. 6. Fama, E. F. and K. R. French (1992), The Cross-Section of Expected Stock Returns, Journal of Finance, vol 47, pp. 427-466. 7. Fama E.F. and K. R French (1995), Size and Book-to-Market Factors in Earnings and Returns, Journal of Finance, Vol. 50, Iss. 1, pp.131-155 8. Fama, E. F. and K. R. French (2006), The Value Premium and the CAPM, Journal of Finance, vol 61, pp. 2163-2185. 9. Johc C. H. (2006), Options, Futures, and Other Derivatives, 6th edition, New Jersey, Prentice Hall, pp. 75-98. 10. Penman, S.H. (1996), The Articulation of Price-Earnings Ratios and Market-to-Book Ratios and the Evaluation of Growth, Journal of Accounting Research, vol 34, pp. 235-259. 三、網路資料 1. 台灣證券交易所，http://www.tse.com.tw/ 2. 寶來投信，http://www.tw50etf.com/
Description:	碩士國立政治大學管理碩士學程(AMBA) 95362025 96
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0095362025
Data Type:	thesis
Appears in Collections:	[Advanced MBA, NCCU] Theses

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