價值型投資應用於台灣股市之實證分析

Abstract

本研究應用價值型投資，並結合學術上及投資書籍等方式，企圖找尋一種有效良好的投資方法。研究期間為2001年4月底至2011年4底，分為測試期，回測期及整體期間，研究樣本為台灣上市公司的普通股。先同時考量本益比及股價淨值比，選取較偏低者，並和市場組合做為比較，而後再從上述組合，選取體質強健的公司做為投資組合，實驗結果，在測試期表現優於市場報酬，在後續的回測期，也再度擊敗市場報酬。本論文進一步研究該有效的投資組合在月份表現以及市場多空頭的情形如何，最後則將該投資組合利用模擬投資的方式，驗證累計報酬率並和市場比較，實驗結果仍優於市場報酬。

This thesis applies value investing approach to find a profitable way to invest in the Taiwanese stock market. The research data is from Taiwan Stock Exchange, covering the period from 2001 to 2011. We consider both P/E ratio and P/B ratio to find a portfolio that is undervalued. We compare the return of this undervalued portfolio with the market return, and then select better companies from this portfolio. The empirical results show that selected stocks outperform the market in both estimation period and testing period. We further examine the performance of our selected stocks in various periods and different market situations. Their cumulative returns also outperform the market.