擊敗市場可行性評估 : 以台股高獲利、轉機與成長型投資組合為例

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 學位論文 > Item 987654321/101999

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题名:	擊敗市場可行性評估 : 以台股高獲利、轉機與成長型投資組合為例
其它题名:	Analysis of availability of beat the market : a case study of high EPS : turnaround & growth portfolios in the Taiwan stock market
作者:	林建銘;Lin, Jian-Ming
贡献者:	淡江大學國際企業學系碩士班李又剛;Lee, You-Kong
关键词:	買進持有;每股盈餘;擊敗市場;portfolio;buy and hold;earning per share (EPS)
日期:	2014
上传时间:	2015-05-04 09:44:59 (UTC+8)
摘要:	透過相關文獻發現，在台灣股市中每個盈餘是能主導股價的重要變數。而本研究則於台股上市、櫃公司各季季報公布時，以每股盈餘為主建構出高獲利、轉機型與成長型投資組合，利用買進持有的策略，將獲得的投資報酬率與整體市場、開放式股票型基金作績效評比，嘗試找出簡單且有用的投資策略，進而評估其擊敗市場的可行性。本研究所獲得的實證結論如下：一、一般化投資組合 (一) 相對績效各類型投資組合與整體市場、開放式基金進行績效評比後，以高獲利型投資組合的報酬率表現最佳。 (二) 絕對績效各類型投資組合與整體市場、開放式基金進行績效評比後，仍以高獲利型投資組合的報酬率表現最為突出。二、基金化後投資組合 (一) 相對績效統計出基金化後的投資組合，在各研究期間佔開放式基金績效排名前20%的次數，以成長型投資組合基金化後的表現較好。 (二) 絕對績效計算出三式投資組合基金化後與開放式股票型基金，在研究期間的期間報酬率後，可以發現以高獲利型投資組合基金化後的績效最為優渥。彙總後，高獲利及成長型投資組合不僅績效能擊敗市場，且更可從所有開放式股票型基金中勝出。 Through the relevant literature , we can find that the earnings per share is the most important variable in handling the price of stock in the Taiwan Stock Market. In this research , after TSM''s listed companies announce the financial reports at each quarters and we construct the high EPS、turnaround and growth portfolio bases on the earnings per share . We will obtain the returns on investment from the strategy of buy and hold and comparing the performance with the market and domestic open-ended mutual funds .We try to find a valuable and available investment strategy to beat the market. The main empirical study findings as below: 1. Generalized investment portfolio (1) Relative Performance After examining with the market and open-ended mutual funds, we find the performance of high EPS portfolio is the best in the three portfolios. (2) Absolute Performance By evaluating with the market and open-ended mutual funds, we can see that the performance of high EPS portfolio is still the best in the three portfolios. 2. Fundization Investment Portfolio (1) Relative Performance By summarize the number of fundization portfolio’s performance with the domestic open-ended mutual funds in the top 20% , we find the growth portfolio is the best in the three portfolios. (2) Absolute Performance After calculating the rate-of-return of the three fundization portfolio and the domestic open-end mutual funds , we can find the high EPS portfolio is the best of all. After all, both high EPS & growth portfolios’ performance can beat the market & all open-ended mutual funds
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