探討財務比率市場法結合基本面選股之可行性

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Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/48379

Title:	探討財務比率市場法結合基本面選股之可行性 To Discuss the Possibility of the Combination between Market Oriented Financial Ratio Method Stock Selection by Fundamentals
Authors:	楊昭炫
Contributors:	國際企業管理學系碩士在職專班
Keywords:	本益比股價淨值比 price-earnings ratio (P/E or PER) price-book ratio (P/B or PBR)
Date:	2020
Issue Date:	2020-08-17 13:51:15 (UTC+8)
Abstract:	由於金融市場的投資獲利與國家總體經濟狀況息息相關，且散戶對於景氣變化的感受較股市更加直接，個別投資者如何隨著景氣階段改變，運用有限資金妥善規劃適當投資策略，實為相當重要，因此本研究利用市場法計算出合理的買賣價格。資料來自台灣經濟新報(Taiwan Economic Journal, TEJ)資料庫，主要以台灣五十成分股為研究樣本並以台灣中型一百成分股為輔，並搭配常態分配得出報酬率的機率，依照訓練期間所得出的本益比、股價淨值比平均值搭配0.5倍及0.8倍的標準差套用於測試期並挑選出合理的買賣價格；利用本益比、股價淨值比兩種市場法為分類基準，分析樣本利用何種市場法有較優的報酬率，成長型股票與資產型股票的投資績效差異。本研究結果為成長型股票利用本益比法計算出的報酬率會優於當期的股價淨值比報酬率，反之，資產型股票利用股價淨值比法計算出的報酬率會優於當期的本益比法的報酬率，此為研究核心結論，作為投資者的判斷依據，也是本研究結果最重要的貢獻。 Earning profits in financial market is closely related to the overall economic situation of the country, and individual investors are influenced directly by the changes of economic environment. When economic environment changes, how individual investors utilize limited fund and design appropriate investment strategies are crucially important. Therefore, we calculate reasonable sale price by market in this research. Data come from Taiwan Economic Journal (TEJ) database. We take FTSE TWSE Taiwan 50 Index as main research sample, taking 100 FTSE TWSE Taiwan Mid-Cap 100 Index as minor ones. Besides, we use Normal distribution in order to acquire probability of ROI (Return On Investment). Depending on Price-Earnings Ratio (P/E), Price-Book Ratio (P/B), average and with 0.5 Standard Deviation and 0.8 Standard Deviation, we choose reasonable sale prices. By taking P/E and P/B as two categories, we analyze which method has higher ROI, and the investment performance differences between Growth Stock and Asset stock. In conclusion, Growth Stock acquires higher ROI by P/E than the ones by current P/B. On the other hand, Asset stock acquires higher ROI by P/B than the ones by current P/E. This is the core conclusion and most important contribution in this research, and we hope investors take this concept as a judgement while investing.
Appears in Collections:	[Department of Business Administration & Graduate Institute of International Business Administration ] Thesis

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