利用EBO/VFP方法於避險基金選股策略之實證研究---以台灣股市為例

Abstract

本研究嘗試藉由台灣股票上市公司的會計因子代入EBO model當中，推出VPA/P，VPB/P，VPC/P三個VF/P值，並且利用VF/P值的大小形成投資組合，買入VF/P值高的投組，放空VF/P值低的投組，以便模擬避險基金的投資績效。此外本研究並以E/P ratio為選股策略所建構成的避險基金當作對照，並計算其投資績效。 經過實驗分析，以上之四組資料跟大盤報酬率比較，發現(1)利用EBO/VFP model所形成避險基金之投資績效，明顯超越大盤，且超越E/P ratio所形成避險基金之投資績效。(2)短期投資（一年內）的投資績效是以VPA/P為最佳，中長期（一年至三年）的投資績效是以VPB/P及VPC/P為最佳。

In this research, the accounting factors of the companies in Taiwan stock market are included in the EBO model to derive three VF/P value, VPA/P, VPB/P, and VPC/P. Different portfolios are formed by the VF/P value sequence. The hedge funds can be formed by longing the stock portfolio with highest VF/P value and shorting the stock portfolio with lowest VF/P value. By the empirical simulation, the performance of the proposed hedge strategies can then be compared with the performance of the traditional hedge strategy which selects stocks by the E/P ratio. From the empirical results, some conclusions can be made: 1. The investment performance of hedge fund formed by EBO/VFP model can outperform the Taiwan stock index and outperform the fund formed by E/P ratio as well. 2. For short-term investment, the VPA/P model has the best investment performance. For mid-term and long-term investment, the VPB/P and VPC/P model has the best investment performance, respectively.