企業評價分群及類神經網路技術來改善股市投資策略

Abstract

在股市當中，投資（機）者總是時常進出股市追高殺低。這樣的投資策略通常造成成本增加減低利潤。另一種投資策略是買了放好幾年，可是投資者必需有閒錢。況且有些台灣股市上市公司財務狀況不是很穩定，長期投資可能會有問題。因此，中期投資是一個必要且可以解決短期及長期投資問題的一項很好的策略。 企業評價技術是一項可以讓投資大眾著墨於中長期投資的技術而不是只專注於短期的獲利，被評價的公司需要存在時間夠長才能準確的計算出這家公司的存續價值。本研究提出一個結合類神經網路 、分群及企業評價技術的方法來解決評價所需的存續期需夠長的問題。資料來源由MSCI50組成公司的財務資料而來，公司NOPLAT的成長及ROIC是主要的二個重要因素，其被用來當成分群的基礎。由Pro Forma Model及Mackensy DCF Model中取得十三個和財務報表有關的因子輸入倒傳式類神經網路，合理的股價可由輸出得知。本研究主要是要在短期和長期中間取一個折衷投資期間，一季是一個可以達成的目標。而投資者可以由公司每季的財務報表來得到季投資計劃，不用每天看盤，只要能買到合理的價格也賣在合理的價位就不用時常進出股市。巴菲特的財富也不是時常進出股市而獲取的利潤，其原理亦是企業評價的結果。

In stock market, investors always make a decision in a short-run and buy or sell holdings very often. This will cause the profit of investment reduced and investors would take more effort to focus on market. But long-run investing strategy is not so feasible on Taiwan stock market cause of some companies are too stable to keep the stocks so long. By the way, investors need to put money on the stock market many years. Medium-term investing strategy should be a solution to solve the problem. Valuation technology is particularly applicable for investors who focus on long-run rather than short-run returns. Notably, a firm must have existed long enough for an accurate valuation to be possible. This study proposes an approach that combines Neural Network, clustering and valuation technology, which deals with the problem of long-period valuation. The data set comprises the MSCI 50 from the Taiwan stock market, and NOLPAT growth and ROIC of company are the key factors for segregating data by SOM. A total of 13 elements from the Pro Forma and Mackensy DCF model are inputted back to the propagation neural network. The market value is the output and the shares outstanding can decide the reasonable stock price. The function of important is to shorten the predicting period to one quarter. Investors can rely on the values of share value difference to make their medium-term investment strategy and don’t need to pay more attention on the stock market. The buy price and sell price is the key point. Buffet make profit is base on the principal not shot-term profit