以隨機優勢法則測試價格銷貨比之投資績效

Abstract

長久以來，本益比一直為股票投資人選擇投資標的之重要參考指標。然而 ，基於本益比指標的某些缺陷及應用上之限制，乃有學者主張以價格銷貨 比取而代之，本研究之目的即在於深入地探討此一策略之優劣。同時，經 由相關文獻發現公司規模與我國股市所特有的漲跌限幅制度可能是影響價 銷比策略之績效的重要因素，因此，本研究亦一併探討之。為了規避 CAPM假設及實證上的爭議，本研究乃採用隨機優勢法則進行價銷比策略之 驗證。實證結果發現： @ 1.國內股市於研究期間內存在「價銷比效應 」，亦即由低價銷比股票 @ 所構成之投資組合的績效會優於高價銷 比股票構成之投資組合。 @ 2.進一步考慮規模及漲跌幅兩因素對其的 影響則可發現：只有在大規 @ 模類別和低接觸頻率類別當中，價銷 比效應方存在，且不受投資決 @ 策時點之影響。其原因是小、中規 模的公司由於其資本額相對較低 @ ，容易成為炒作對象，使得股價 波動較為劇烈，連帶的使得銷貨資 @ 訊和股價之間的關係受到了考 驗。 @ 3.由投資組合之基本統計量，公司規模與接觸停板頻率間存在 負相關 @ 。 Price-Earning Ratio(PER) has been considered to be a useful tool for stocks' valuation since 1960s. Owing to the disadvantages and limitations of PER, some scholars e.g. Fisher(1984), suggest that Price-Sales Ratio(PSR) could be more suitable for stocks' valuation. We test the investment performance of common stocks in relation to their PSR in this study. In addition, the firm-size and the price-limits have been shown to have great impact on the empirical results. We also examine the interactions between these two factors and PSR. In order to circumvent the problems inherent in the usual CAPM-based tests, the stochastic dominance rules are employed. Our results are summarizied as follows: 1.The PSR effect exists in Taiwan Stock Market during 1981-1994, @ i.e., the low PSR portfolios dominate the high PSR portfolios. 2.Taking the firm- size factor and the price-limits factor into @ considerations, only the large firm-size class and the low @ frequency of hitting limits class detect the PSR effect. It is @ because that the stock prices of common stocks with small or @ middle firm size move violately, the PSR investment strategy @ doesn't work. 3.According to the basic statistics of PSR portfolios, there is a @ negative correlation between the firm-size and the frequency of @ hitting limits.