| 摘要: | 本研究以台灣上市（櫃）公司公開財務報表中的財務指標為基礎，分別就獲利能力、償債能力、經營能力和現金流量比率四面向挑選八大財務指標進行篩選，並依股本大小配以不同權重建構投資組合，以期創造超額的投資報酬績效，進而做為投資人選股決策時的參考。資料來源為台灣經濟新報資料庫(TEJ)，以國內上市、上櫃公司，平均約1500多檔股票資料，研究期間為2008年至2014年。本研究主要發現如下:一、以估計期126日所建立的投資組合，在2008年以形成期持有5日之前50%股票年報酬率跌幅小於大盤56%為最佳。在2009年以形成期持有5日之前50%股票年報酬率275%表現最佳，大幅超越大盤達243%。二、考慮公司規模，利用股本大小來調整投資權重，雖無法全面優於均權報酬率，卻能穩健超越大盤報酬率，顯示本研究的投資組合方式有其價值性存在。三、將投資組合做複利累積報酬率計算，不論是前40%或前50%之投資組合，表現皆優於大盤，且能使最初投入本金獲得超出10倍以上之異常報酬。四、以夏普指數來檢驗本研究所建構之投資組合，均權及加權報酬率之夏普指數都介於0.6至0.9之間，皆優於大盤的0.12。五、本研究發現利用此八大財務指標做為選股依據並進行篩選，在均權、加權、累積報酬率及夏普指數上皆明顯優於大盤，且不論是在空頭抑或多頭市場都能顯著提高投資績效，可見本研究之選股策略極具投資參考價值。
The study choosed the financial indicators in public financial statements of listed companies in Taiwan and selected eight financial indicators from four dimensions: profitability, solvency, operating capacity, and cash flow ratios to establish investment portfolios with different weights based on the scale of stocks, hoping to create excess return on investment portfolios for investors selecting stocks. The source is from Taiwan Economic Journal (TEJ), where more than 1,500 data on stocks of listed companies in Taiwan were collected from 2008 to 2014.The results of the study are as follows: 1. Regarding the portfolios set up based on the estimation period of 126 days, the best result appeared in the annual rate of return of top 50% of the stocks held for 5 days upon forming in 2008, whose return 56% is smaller than the market rate of return. The best result appeared in the annual rate of return of top 50% of the stocks at 275%, which were held for 5 days upon forming in 2009. The result significantly exceeded the market rate of return by 243%. 2. Given the scale of the company, the study adopted the scales of stocks to adjust the weight of investment. Although the result failed to excel the average weighted rate of return on investment in each aspect, it exceeded the market rate of return steadily, showing that the portfolios set up in the study were workable. 3. When the compound annual rate of return was calculated based on the portfolios, regardless of top 40% or top 50% of portfolios, the result exceeded the market rate of return and showed the abnormal returns with more than 10 times the amount of principal invested originally 4. The study adopted Sharpe Ratio to test the established portfolios. The Sharpe Ratio of the average weighted rate of return and the weighted rate of return fell between 0.6-0.9, higher than that of the market rate of return at 0.12. 5. The study found that the average weighted rate of return, weighted rate of return, accumulated rate of return and Sharpe Ratio exceeded the market rate of return when eight financial indicators were adopted to select and screen stocks; in addition, the improved investment performance existed in the bear market or bull market. These two results showed that the strategy for stock selection set up in the study was worth referring to. |
