低本益比與高殖利率股票投資組合績效之研究

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Title:	低本益比與高殖利率股票投資組合績效之研究
Other Titles:	The Research of Low P/E Ratio and High Yield Stocks on Investment Portfolio Performance
Authors:	蔡宜政 Tsai, I-Cheng
Contributors:	財務金融學系財務管理碩士班吳錦文 Chin-Wen Wu
Keywords:	夏普指數;複利效應;移動視窗;投資組合;殖利率;本益比 compound effect;yield rate;portfolio;moving widow;PE Ratio;sharp ratio
Date:	2014
Issue Date:	2014-11-21 15:25:32 (UTC+8)
Abstract:	本研究探討低本益比和高殖利率股票組合之報酬率績效，以國內上市、上櫃電子類公司和傳產類公司，共計1600多檔股票資料。以股票除權日為基準，計算公司的殖利率並進行排序，篩選出殖利率前10%、前20%、前30%、前40%及前50%的公司；計算公司的本益比並進行排序，篩選出本益比前10%、前20%、前30%、前40%及前50%的公司，再以平均值-變異數篩選法找出最佳的15檔股票建構投資組合。本研究主要發現如下:一、本研究顯示，樣本內估計期126日所建立的投資組合，較樣本內估計期252日所建立的投資組合效果還要好；在2008年及2011年的空頭時期，以持有樣本外形成期21日的投資組合報酬率較高，在2009年、2010年及2013年的多頭時期，以持有樣本外形成期5日的投資組合報酬率較高。二、將股票依低本益比及高殖利率做排序，分別篩選出前10%、前20%、前30%前40%及前50%的股票，搭配效率前緣曲線所建構的投資組合，以持有形成期5日的報酬率報酬率最佳。三、以夏普指數來檢驗本研究所建構之投資組合，不論是樣本內估計期126或是252日、形成期5日、10日或是21日，均權及加權夏普指數都介於0.7至0.8之間，皆優於大盤的夏普指數-0.07。　　最後本研究以複利觀察2007年至2013年的均權累積報酬率，樣本外估計期252日的報酬率達334%，平均年化報酬率可達48%；樣本外估計期126日的報酬率較高，高達461%，平均年化報酬率可達66%。　　This study investigated the return performance of low PE Ratio and high yield rate stock portfolio, by domestic listed and OTC electronics companies and conventional industries companies, totaling over 1,600 stocks information. On the basis of Ex-stock dividend date, calculated the yield rate of companies and sorted them, screening the companies of top 10%, 20%, 30%, 40% and 50% yield rate; then, used the mean-variance screening method to pick-up the best 15 stocks to construct the investment portfolio. The main findings are as follows:1. This study shows that the investment portfolio constructed during the historical term of in-sample 126 days is even better than the historical term of in-sample 252 days ; During the bear years of 2008 and 2011, the return rate of portfolio during the out-sample of 21 days moving is higher, and during the bull years in 2009, 2010, and 2013, the return rate of out-sample of 5 days moving is higher.2. Sorted the stocks according to low PE ratio and high yield rate to screen top 10%, 20%, 30%, 40%, 50% stocks respectively, to match the portfolio constructed by efficient frontier curve, in which the return of holding portfolio during the the return rate of out-sample of 5 days moving is the best.3. To test the portfolio constructed in this study by sharp ratio, whether in-sample historical term of 126 days or 252 days, or the return rate of out-sample of 5 days, 10 days, or 21 days moving, the equal weighted and size weighted of sharp ratio are between 0.7 to 0.8, both being better than sharp ratio -0.07 of the stock market.　　Finally, this conclusion of thesis observed the accumulated equal weighted return rate from 2007 to 2013 by compound interest, that the return rate of historical in-sample term of 252 days reached 334%, and the average annualized rate of return could reach 48%; the return rate of historical in-sample term of 126 days is higher, up to 461%, and average annualized rate of return could reach 66%.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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