以本益成長比為指標之投資組合實證分析： 以台灣上市公司為例

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Title:	以本益成長比為指標之投資組合實證分析：以台灣上市公司為例
Other Titles:	The Empirical Analysis of Portfolio for PEG Ratio: Evidence in Taiwan Listed Companies
Authors:	李瓊玲 LI, CHIUNG-LING
Contributors:	財務金融學系財務管理碩士班廖永熙 LIAU, YUNG-SHI
Keywords:	本益成長比;投資策略;多空時期;景氣循環 PEG ratio;Investment strategy;Bull and bear index period;Economic cycle
Date:	2021
Issue Date:	2022-08-16 13:19:04 (UTC+8)
Abstract:	針對投資人參與股票市場運作的目的，過去許多研究提出了各種不同的投資策略，其中以價值型投資組合及成長型投資組合的建構探討最為廣泛。投資組合的建構，除了以低本益比判斷公司價值是否被低估外，同時也應考量公司未來盈餘成長率這要素。因此，本研究以本益比指標作為價值型投資組合的建構基準，再利用公司預期成長率為變數，建構本益成長比指標，探討本益成長比指標的績效表現。本研究採用2010年1月到2020年6月之期間，台灣全體上市公司，每季本益成長比、市值規模大小及收盤價為研究樣本，並區分為電子股與非電子股兩大類股，來探討本益成長比變動之投資策略是否存在超額報酬。本研究實證結果顯示採用每季本益成長比策略時，投資台灣全體上市公司與非電子類股公司，以小型低本益成長比報酬績效最高，至於投資台灣電子類股公司則以大型低本益成長比報酬績效最高；同時發現低本益成長比累積報酬績效也是最好的；另外發現採用本益成長比投資策略，報酬績效在空頭時期及盤整時期較多頭時期顯著；而本研究也發現景氣循環並不影響本益成長比投資策略。　　For the purpose of investors participating in the operation of the stock market, many studies in the past have proposed various investment strategies. Among them, the construction of value portfolio and growth portfolio is the most widely discussed. In the construction of investment portfolio, in addition to judging whether the company's value is undervalued with a low P/E ratio, it should also consider the company's future earnings growth rate. Therefore, this study uses the P/E ratio indicator as the benchmark for constructing a value-based investment portfolio, and then uses the company's expected growth rate as a variable, constructs a PEG ratio indicator, and explores the performance of the PEG ratio indicator. This study uses the quarterly PEG ratio, market capitalization scale and closing price of all listed companies in Taiwan from January 2010 to June 2020 as the research samples, and divided into two major categories of electronic stocks and non-electronic stocks, to explore whether there is excess return in the investment strategy of the PEG ratio. The empirical results of this study show that when adopting a quarterly PEG rate strategy, investing in all listed companies in Taiwan and non-electronic stock companies has the highest performance with small and low PEG rate. As for investing in Taiwan's electronic stock companies, it has the highest performance with large and low PEG rates. at the same time, low PEG rate cumulative return performance is also the best; In addition, it is found that using PEG indicator investment strategy, the performance of the return is significant in the short period and the period of consolidation. and Economic cycle do not affect the investment strategy of the PEG rate.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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