以本益比法為指標之交易策略在臺灣股票市場之實證研究

Abstract

本益比法在基本分析的各種評價的方法中，由於算式簡單易懂，且可透過公開的財務會計資訊來預測每股盈餘，所以較常被投資人與分析師所使用，然而究竟合理本益比如何決定，適合引用本益比的操作策略如何訂定，都是值得深入探討的主題。 本研究主要是透過模擬交易的方式來探討台灣股票市場中以本益比為指標之交易策略，並企圖以實證之模擬績效找出最適合本益比法引用之操作方法。本研究所採用之模擬樣本是依據新加坡期貨交易所發行之摩根期指現貨成分股選取台灣上市公司股票計九十家，研究期間為民國八十四年至民國九十一年共七年，主要資料來源是以台灣經濟新報社所提供之股票還權資料及本益比資料作為系統交易的輸入數據，使用策略包括買進持有法、平均本益比法等十種交易策略。 經由本研究的實證，可得到以下的結論：1.合理本益比非固定不變的，它的值會隨著多空環境的不同，甚至是隨著初升、末升、初跌、末跌段的不同而進行動態的調整。2.多頭時期做空風險大，空頭時期做多風險高；實證結果證明多頭時期不放空，空頭時期不做多的策略搭配各階段的平均本益比法將創造出較優於其他策略的績效。3.證明基本分析數據也能客觀明確的提供投資者交易時機的選擇並作為買賣進出的參考。

Because of its simplicity and understandability, the Price Earning Approach is popularly accepted by investors and stock analysts. Therefore, it is worthy to do a research on topics such as analyzing the reasonable P/E Ratio and methods of making trading strategies based on P/E Ratio. This study investigates the trading strategies based on P/E Ratio in the Taiwan Market by simulation trading rule and attempts to find the best strategy by simulation performance reports. The samples used in this study is chosen according to the SGX-DT MSCI Taiwan Index spot, which is collected 90 stocks in the Taiwan market and the trading data is supported by Taiwan Economic Journal Data Bank from January 1995 to December 2001.There are total 10 strategies used which include “Buy and Hold Strategy” , ”Average P/E Ratio Strategy”…etc. After experiments, conclusions were drawn as follow：1.The reasonable P/E Ratio changes not only with Bull and Bear Market, but also adjusts dynamically with early stage and terminal stage. 2.The Strategy of buying position at Bull Market and short position at Bear Market is superior to all other strategies. 3.The indicators of fundamental analysis also support trading messages clearly and objectively like technical analysis.