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    Title: 金融風暴對基本面分析投資策略的影響 : 事件研究法之應用
    Other Titles: Analysis of the impact of financial turmoil on the fundamentals of investment strategies : application of event study
    Authors: 張嘉伶;Chang, Chia-Ling
    Contributors: 淡江大學財務金融學系碩士班
    李沃牆;李惠娜
    Keywords: 基本面分析;價值投資法;事件研究法;買入持有法;金融風暴;value investing;Event Study;Buy-and-Hold;Financial crisis
    Date: 2015
    Issue Date: 2016-01-22 14:47:48 (UTC+8)
    Abstract: 本文將以基本面分析Graham價值投資法作為選股的投資策略,並應用事件研究法分析價值投資股歷經金融風暴後是否仍能帶來異常報酬。另外,考慮金融風暴過後整體市場的改變。本文在金融風暴事件前後兩段期間皆個別採價值投資法選股,並使用買入持有策略觀察績效,分析事件前後兩段期間與大盤相較之報酬,觀察金融風暴事件是否對價值投資策略產生影響。首先應用事件研究法去比較金融事件前後,台灣證券市場前9大市值產業選出的價值投資股是否在發生金融風暴後與大盤相較之下仍能帶來異常報酬。另外,於事件前後兩段期間各別採價值投資法挑選出股票,並取同期間的大盤指數,應用買入持有法觀察績效表現。本文研究結果發現在風暴前選出之價值股並未在事件發生後有表現優於大盤的績效,而比較事件發生前後兩段期間各選出之價值股,顯示在金融風暴後的環境下,採用基本面價值投資策略,更能挑選出表現優異之股票。
    In this study, we use the Graham’s value investing strategy to screen out the good companies in Taiwan stock market as our portfolio. We apply the “event study method”to examine the portfolio, and trying to find out whether this strategy can bring us abnormal returns or not during the financial crisis(2008-2009). Furthermore, consider that there will be some structural changes in the market after the crisis, we choose two different portfolios in the two different periods by Graham’s strategy-“the portfolio before the crisis”and“the portfolio after the crisis”. By using the “buy-and-hold”strategy, we observe whether these two portfolios can lead to different outcomes or not. In order to assess the performances of these two portfolios, we select the TAIEX as the benchmark in this article. According to the results, we find out that the post-crisis portfolio can really outperform the market instead of the pre-crisis portfolio. Which means that the value investing strategy performs better if the market is under-valued.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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