以複式模擬法估計股票買賣價格之最適區間

Abstract

由於分析股票投資市場的基本面、技術面、籌碼面、財務面等相當複雜，一般投資者不容易掌握，而現有之股票投資文獻，大多是探討股票買賣點或買賣技術分析，罕見針對個股股票提出買入價格及賣出價格之合理估計公式。因此，若能建構出一個股股票合理的買入價格區間及賣出價格區間，使股票投資者能清楚知道股票適合投資的時機點，對股票投資者而言，是一項重要的決策依據。因此，本研究應用複式模擬法提出一套計算個股股票買賣價格之最適區間演算法，以供投資者參考。本研究首先利用股東報酬權益、毛利率及營收成長率等財務指標篩選出長期具有投資價值的股票群組，再利用複式模擬法對這些股票群組中的個股估計其本益比信賴區間，進而決定個股股票合理買、賣價格區間。本研究最後透過台灣證券市場個股股票案例，驗證了本研究方法確實有效可行。

Analyzing the stock market from basic surface, technical surface, chip surface and financial surface is quite complex for common stock investors. Most studies of stock investment discussed the appropriate selling/buying prices of stocks or analyzing techniques of stock investment. However, constructing a reasonable interval for the buying/selling price of a stock is very important for stock investors. This study utilizes Bootstrap method to construct a confidence interval for the selling/buying prices of stocks. First, some valuable stocks are chosen from all Taiwan’s stocks based on the return on earnings, gross profit and earning growth rate. The Bootstrap method is then employed to construct the confidence interval for selling/buying prices of stocks using the simulated stocks’ price earning ratio (P/E) data. Finally, a real case of Taiwan’s stock market is utilized to demonstrate the effectiveness of the proposed procedure.