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系統識別號 U0026-1512201301564200
論文名稱(中文) 考量企業內部價值之基本分析選股策略-以台灣股市為例
論文名稱(英文) Application of Fundamental and Intrinsic Value Analysis for Stock Selection Strategy in Taiwan Stock Market
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance
學年度 102
學期 1
出版年 102
研究生(中文) 王誼婷
研究生(英文) Yi-Ting Wang
學號 R86001241
學位類別 碩士
語文別 英文
論文頁數 51頁
口試委員 指導教授-王明隆
口試委員-劉裕宏
口試委員-吳宗哲
中文關鍵字 淨值市價比  F-SCORE  公司內部價值 
英文關鍵字 Book-to-market ratio  F-SCORE  Intrinsic value 
學科別分類
中文摘要 本研究主要探討在選股策略中同時考量企業的隱藏價值和基本分析,以期產生比單純考量基本分析的策略更佳的投資績效。首先,Fama and French (1992)和Pontiff and Schall (1998)的研究發現持有淨值市價比偏高的個股,可以獲得較佳的報酬。關於基本分析,採用Piotroski (2000)發展出的F-SCORE系統,運用簡單的財務報表資料,篩選出表現較佳的股票。同時,本研究試圖找出企業隱藏價值的代理變數,考量取得容易和解釋能力,使用研究發展費用占營收比代理創新價值部分,營收成長率代理顧客價值部分。
實證結果顯示,在1992年至2012年的台灣股票市場中,運用內部價值投資組合(即考量淨值市價比、F-SCORE基本分析和R&D/Sales 比率、營收成長率選股策略篩選之組合)所得到的績效不但顯著擊敗單純「高淨值市價比投資組合」、「基本分析投資組合」和台灣加權指數的績效;同時提供最高的夏普值。
雖然本研究產生之投資組合可獲得優良績效;但實證中同時發現,當有特殊外部因素衝及資本市場時,例如亞洲金融風暴、兩國論事件或SARS疫情等等,投資組合的績效將無法擊敗台灣加權指數,推測是受到股價全面下跌時,台灣政府採取維持指數的護盤行為影響。
英文摘要 This paper examines whether an investment strategy that considers both the fundamental and intrinsic value of firms is significantly better than one which considers the fundamental information alone, based on the Taiwanese stock market. Fama and French (1992) and Pontiff and Schall (1998) found that stocks with higher book-to-market ratios can provide higher returns. With regard to fundamental analysis, Piotroski (2000) developed the F-SCORE system by using simple financial statement-based information to separate winner stocks from losers. This paper also uses some proxies to evaluate the intrinsic value of firms, such as R&D/sales ratio for innovation and growth rate of sales for customers.
This paper formulates an “Intrinsic Value Portfolio” for a sample period from 1992 to 2012 based on the book-to-market ratio, composite fundamental score, R&D/sales ratio, and growth rate of sales, and concludes that this not only outperforms the “High BM portfolio” and “Fundamental portfolio”, but also significantly beats the market and generates the highest Sharpe ratio. However, even though our investment strategies can usually provide higher returns than the market, our investment strategies cannot do so when certain special events occur, such as the 921 Earthquake, the Severe Acute Respiratory Syndrome (SARS) outbreak, and the subprime mortgage crisis.
論文目次 Chapter1 INTRODUCTION 1
1.1 Research Background and Motivation 1
1.2 Objectives and Major Findings 3
Chapter2 LITERATURE REVIEW 5
2.1 High Book-to-Market Investment Strategy 5
2.2 Financial Analysis - F-SCORE 6
2.3 Intangible Assets Analysis 7
2.3.1 Definition and Importance of Intangible Assets 7
2.3.2 Innovation Part 8
2.3.3 Customer Part 9
Chapter3 DATA AND METHODOLOGY 10
3.1 Construct Portfolio with High BM Strategy 11
3.2 Construct Portfolio with Fundamental Strategy 12
3.3 Construct Portfolio with Intrinsic Value Strategy 15
3.3.1 Innovation Part 17
3.3.2 Customer Part 17
3.4 Data and Sample Selection 18
Chapter4 EMPIRICAL RESULTS 20
4.1 Financial Descriptive Statistics of High Book-to-Market Stocks 20
4.2 Cross-Section Analysis of Excess Yearly Returns for Value Stocks 21
4.3 Estimation Proxies of Intrinsic Value 22
4.4 Testing the Performance of the Intrinsic Value Portfolio 25
4.5 Performance Analysis of Three Different Investment Strategies 26
4.6 Paired Difference t-test on the Performance of the Three Different Investment Strategies 29
4.7 Sharpe Index Test on the Three Different Investment Strategies 30
Chapter5 CONCLUSIONS 33
REFERENCES 47
APPENDIX 1 Variable Definitions 49
APPENDIX 2 Indicators Definitions 50
APPENDIX 3 Sample Size 51
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