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    Title: 高獲利、轉機與成長型投資組合績效評估 : 以臺灣股市為例
    Other Titles: Evaluation of the portfolio's performance in Taiwan stock market : high EPS, turnaround v.s fast growth type
    Authors: 鄭博仁;Cheng, Po-jen
    Contributors: 淡江大學國際貿易學系國際企業學碩士班
    李又剛;Lee, You-kong
    Keywords: 每股盈餘;投資組合;買進持有;earnings per share (EPS);portfolio;buy and hold
    Date: 2007
    Issue Date: 2010-01-11 01:45:39 (UTC+8)
    Abstract: 在相關文獻中在在確認,每股盈餘為影響個股投資報酬率的顯著變數,本文希望透過掌握台股於各季公佈獲利的時機,分別建構高獲利、轉機及成長型投資組合,透過買進持有的投資策略,嘗試剖析能否在不須諮詢專業投資機構,且又不必費時耗力地緊盯盤面的情形下,為一般投資人提供簡單又有用的投資策略,本文所獲致之主要實證結果如下:
    一、上市部份:
    (一)相對績效
    1.大盤指數上漲時,轉機型投資組合表現最佳。
    2.大盤指數下跌時,轉機型投資組合表現最差。
    (二)絕對績效
    1.當大盤上漲時,轉機型投資組合表現最佳。
    2.當大盤下跌時,轉機型投資組合表現最差。
    3.當大盤上漲時,所有投資組合均能順利擊敗大盤。
    (三)類股絕對績效
    不論是高獲利、轉機,抑或成長型投資組合,非電子的絕對績效優
    於電子,其中以成長型非電子股表現最佳,而成長型電子股表現最
    差。

    二、上櫃部份:
    (一)相對績效
    1.大盤指數上漲時,轉機型投資組合表現最佳。
    2.大盤指數下跌時,轉機型投資組合表現最差。
    (二)絕對績效
    1.當大盤上漲時,轉機型投資組合表現最佳。
    2.當大盤下跌時,轉機型投資組合表現最差,而高獲利投資組合的
    表現最佳。
    3.不論大盤上漲,抑或下跌時,所有投資組合均能擊敗大盤。
    (三)類股絕對績效
    不論是高獲利、轉機,抑或成長型投資組合,電子的絕對績效優於
    非電子,其中以轉機型電子股表現最佳。

    由上述結論得知:祇要我們擅用市場資訊,謹慎建構投資組合,並適時定期調整投資組合,基本上要擊敗上市,抑或上櫃之市場績效,絕非難事。
    In related literatures, we find EPS(earnings per share)is the predominant variable which significantly affects rate of return on investment.We try to use the quarterly financial report data to establish relevant portfolios of higher profit、turnaround and fast growth stock.We utilize buy and hold strategy to provide investors a simple and useful investment strategy.

    Investors neithert inquire investmental experts,nor gaze the stock price all the time.We want to know whether this portfolio construction strategy can beat the performance of market.The main empirical findings are as below:
    1.Listing Companies:
    (1)relative performance
    a. When market is bull,the best portfolio is
    turnaround stock.
    b. When market is bear,the worst portfolio is
    turnaround stock.
    (2)absolute performance
    a. When market is bull,the best portfolio is
    turnaround stock.
    b. When market is bear,the worst portfolio is
    turnaround stock,but the best is
    portfolio of growth stock.
    c. When market is bull,all portfolios can beat the
    market.
    (3)absolute performance in different category
    No matter which portfolio,the absolute performance
    of non-electronic stock is more excellent than that
    of electronic stock.The best is the portfoilio of
    non-electronic growth stock,but the worst is the
    portfolio of electronic growth stock.
    2.OTC Companies:
    (1)relative performance
    a When market is bull,the best portfolio is
    turnaround stock.
    b When market is bear,the worst portfolio is
    turnaround stock.
    (2)absolute performance
    a When market is bull,the best portfolio is
    turnaround stock.
    b When market is bear,the worst portfolio is
    turnaround stock,but the best portfolio is higher
    EPS stock.
    c No matter market is bull or bear,all portfolios can
    beat the market.
    (3)absolute performance in different category
    No matter which portfolio,the absolute performance
    of electronic stock is more excellent than that of
    non-electronic stock.The best is the portfolio of
    electronic turnaround stock.

    If we utilize financial reporting information and construct rarely relevant portfolios by way of above-mentioned methods,we find the relevant portfolios can beat the market performance of Listing or OTC.
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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