Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/99558
|
| Title: | 財務比率對於股票投資組合建構之研究
Building an Investment Portfolio with Financial Ratio |
| Authors: | 陳羿君
Chen, Yi Chun |
| Contributors: | 廖四郎
Liao, Szu Lang
陳羿君
Chen, Yi Chun |
| Keywords: | 投資組合
財務比率 |
| Date: | 2016 |
| Issue Date: | 2016-08-02 17:13:25 (UTC+8) |
| Abstract: | 本文延伸GVI選股模型，每月一次，利用價值指標（股價淨值比、股價營收比、股價自由現金流比、本益比、本益成長比）與成長指標（股東權益報酬率）合成之多因子指標，並選出市場上GVI指標最大的特定比例之股票，並以算數平均的方式分配資金，組成一投資組合，並實證其在2011年1月1日至2015年12月31日之從台股上市股票、上市大型股、上市電子股選出之投資組合與市場的報酬狀況，如投資組合金額變化、各時間報酬率與夏普比率之比較。
在實證結果中，可以發現由財務比率選出之股票會有較好的報酬表現，其中，由股票淨值比和股東權益報酬率選出之股票表現特別突出。對於上市股票而言，但對於大型股而言，由考慮FCFP之GVI選股，也有相當優良的表現；而對電子股來說，由考慮EP之GVI選出之投資組合表現亦優良。
此外，當由市場中選出股票的GVI指標最大的前1%時，容易選出較為極端的股票，造成投資組合投資表現不穩定，而在20%時，投資組合是受市場影響大，因此，表現與大盤一致性較高，另外，在所有上市股的部分，選股比例為5%時，報酬表現最佳，而由電子股和大型股選股比例為10%，報酬表現優良。
Growth Value Index contains growth index, return on equity, and value index, like price to book ratio, price to sales ratio, price to free cash flow, price to earning ratio and price earning to growth ratio.
I use Growth Value Index to select stock portfolios from Taiwan Stock Exchange (TSE) Market, and I will especially discuss big stock and electric stock market. In the result, the stock portfolios selected by price to book ratio and return on equity or their GVI Index have better performance than other index. And it will have a better performance when stocks of TSE market selected by 5% or stocks of big stock or electric market selected by 10% proportion to build a portfolio. |
| Reference: | 方智強, & 姚明慶. (1998). 台灣上市公司的淨值市價比現象. 管理學報, 15(3), 367-391.
廖育旻. (2008). 台灣上市公司自由現金流量與營收成長是否影響公司績效? 縱橫門檻迴歸模型之運用.
Aras, G., & Yilmaz, M. K. (2008). Price-Earnings Ratio, Dividend Yield, And Market-To-Book Ratio To Predict Return On Stock Market: Evidence From The Emerging Markets. Journal of Global Business and Technology, 4(1), 18.
Barbee Jr, W. C., Mukherji, S., & Raines, G. A. (1996). Do Sales-Price and Debt-Equity Explain Stock Returns Better than Book-Market and Firm Size? Financial Analysts Journal, 52(2), 56-60.
Clubb, C., & Naffi, M. (2007). The Usefulness of Book‐to‐Market and ROE Expectations for Explaining UK Stock Returns. Journal of Business Finance & Accounting, 34(1‐2), 1-32.
Easton, P. D. (2004). PE Ratios, PEG Ratios, and Estimating The Implied Expected Rate of Return on Equity Capital. The accounting review, 79(1), 73-95.
Fama, E. F., & French, K. R. (1998). Value Versus Growth: The International Evidence. The journal of finance, 53(6), 1975-1999.
Lintner, J. (1965). The Valuation of Risk Assets and The Selection of Risky Investments In Stock Portfolios and Capital Budgets. The review of economics and statistics, 13-37.
Malkiel, B. G., & Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The journal of finance, 25(2), 383-417.
Martani, D., & Khairurizka, R. (2009). The Effect of Financial Ratios, Firm Size, and Cash Flow From Operating Activities in The Interim Report to The Stock Return. Chinese Business Review, 8(6), 44.
Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica: Journal of the Econometric Society, 768-783.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. The journal of finance, 19(3), 425-442.
Yeh, I., & Hsu, T.-K. (2011). Growth Value Two-Factor Model. Journal of Asset Management, 11(6), 435-451. |
| Description: | 碩士
國立政治大學
金融學系
103352031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103352031 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 640 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
