運用灰色理論探討財報與投資報酬率之研究 -以臺灣資訊科技類股為例

Abstract

臺灣社會進入工商業社會後，許多人都開始選擇將手中的資產投入股票市場以求取較儲蓄更高的報酬率，惟投資股票具有風險性，且股票資訊相當多，投資人往往無所適從，任意選擇標的容易產生虧損。 本研究選擇資訊科技指數類股公司業已經過驗證的財報，以灰色理論進行判斷出績效最佳公司並進行投資，並驗證分析財報中各項指標對報酬率的關聯性，以供投資人參考。 實驗結果顯示運用灰關聯分析選出的投資組合在2004-2012年中可以取得較該類股平均收益高40%的收益，但是無法扭轉整體系統狀況。 利用GM(1,N)模型分析財報指標的結果顯示，對於公司績效以及投資報酬率最重要的財務指標分別是:1.資產報酬率、2.股東權益率、3.負債股東權益率，常見的每股盈餘排名僅在第5名

Many people begin to invest their assets into the stock market for more higher rate of return on investment (ROI) than saving their money in banks after Taiwan transforms into an industrial and commercial society. But stock trading is risky and investors often do not know which course to follow because of too much information. Due to complex market issues, it is so easy to get financial loss by selecting targets at will. This thesis proposes a method to determine the best ten performance companies to invest by using gray theory to analyze the financial reports of TSEC Taiwan Technology Index. In addition, this thesis analyzes the relation between the variables of financial reports and ROI. The experiment results show that the portfolio selected by gray relational analysis can get extra 40% of the ROI as compared with the average income of TSEC Taiwan Technology Index. The results of the experiment that analyzed by GM(1,N) model show that the most important financial indicators of corporate performance and recompense are (1) ratio of return on assets(ROA), (2) ratio of return on equity (ROE),(3) ratio of liabilities to stockholders’ equity. Furthermore, the rank of the earnings per share(EPS) just is 5th.