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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/73941

    Title: 價值型投資考量法人籌碼動能下的選股策略 : 以臺灣股市為例
    Other Titles: The stock selection strategy of value investing under institutional investor chip momentum : the case of the Taiwan stock market
    Authors: 于慎為;Yu, Shen-Wei
    Contributors: 淡江大學財務金融學系碩士在職專班
    林允永;Lin, Ying-Yung
    Keywords: 價值型投資;法人籌碼面;選股策略;買賣超動能;value investing;bargaining counter of a juristic person;stock selection strategy;overbought and oversold kinetic energy
    Date: 2011
    Issue Date: 2011-12-28 17:35:49 (UTC+8)
    Abstract: 台灣上市股價歷史資料進行研究,探討在傳統的價值型選股策略之下,加入法人籌碼面的考量,希望能得到更佳的投資組合報酬。資料的選取以2006年6月至2010年9月為研究期間,並排除金融類股及資料有所缺漏的個股形成研究樣本。
    一、 價值型的投資組合報酬,優於同期之大盤表現:
    二、 加入法人籌碼面因素後的投資組合,報酬有顯著提升:
    三、 將外資籌碼面予以加權,證實外資買賣超個股加強權重後能有較佳的結果:
    The study conducts a research on the listed stock price historical data of Taiwan under the traditional value stock selection strategy with the bargaining counter of a juristic person and hopes to acquire a better investment portfolio compensation. The data selection uses the period of June, 2006 to September, 2010 as the research period and excludes the financial stock and the individual stock in lack of the data to form the research sample.

    Besides considering the basic value stock selection factor, such as P/B and P/E, the study bestows a consideration on the company fundamental, the rate of return of the shareholders’ equity, the yield rate of the stock dividend, the rate of gross profit and the sales growth rate. Finally, the study adds up the bargaining counter factor of a juristic person in expectation of acquiring a relatively low risk and an ample compensation and also verifies whether the traditional value investing strategy is beneficial to raise the investing performance through the adding of the bargaining counter factor of a juristic person.

    The findings are as follows:
    一、 The value investment portfolio compensation is superior to the overall stock market performance at the same period:
    The value investing concept is to look for the stock with the underestimated price, to buy in and to hold until the stock can profit when the price returns to a reasonable level. The study finds that the investment portfolio established by the finance indicator grading can still have the compensation performance of a higher level than the overall stock market, even undergoing financial crisis.

    二、 The compensation of the investment portfolio rises significantly after adding the bargaining counter factor of a juristic person:
    The research purpose is to analyze whether the value investing strategy can acquire a higher compensation after adding up the bargaining counter factor of a juristic person; namely, whether the overbought and oversold signal of a juristic person has the positive effect on the value investment portfolio. The finding attests that the investment portfolio compensation is not only superior to the overall stock market compensation but also to the value investment portfolio compensation established by the study after adding up the bargaining counter index of the three main juristic persons.

    三、 Weighting the bargaining counter of the foreign capital attests that the overbought and oversold individual stock of the foreign capital can have a better result after intensifying the weight:
    The previous study indicates that the foreign capital and dealer have the market leading effect to some extent. The study raises the weight of the overbought and oversold point of the foreign capital in the investment portfolio and compares whether the investment portfolio weighted by the foreign capital can acquire a higher investment rate of return. The research result finds that the rate of return of the investment portfolio weighted 1.5 times by the foreign capital is the highest among the multiple investment portfolios established in the study.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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