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    Title: 轉機型的最佳代言人 : 虧轉盈 V.S. 大虧轉小虧
    Other Titles: Which is the optimal representative of the turnaround portfolio? : deficit transform to surplus type vs. huge losses transform to small losses type
    Authors: 鍾坤衡;Chung, Kun-Heng
    Contributors: 淡江大學國際企業學系碩士班
    李又剛;Lee, You-Kong
    Keywords: 轉機;相對績效;絕對績效;Turnaround;relative performance;absolute performance
    Date: 2011
    Issue Date: 2011-12-28 17:45:45 (UTC+8)
    Abstract: 由相關文獻中得知,在國內股市裡,每股盈餘為主導個股投資報酬率的顯著影響變數。本研究希望透過台股於各季公布季報的時機,並經由季報資料的取得,以每股盈餘為主軸,針對所有上市、櫃股票,依轉機型的不同屬性建構出虧轉盈型、大虧轉小虧型投資組合,以買進持有的策略,進而去與整體市場暨國內開放式股票型基金來作績效比較,試著為一般投資大眾找出簡單又有用的投資策略。而本文所得到之實證結論如下:

    一、一般化投資組合

    (一)相對績效
    在與每股盈盈餘平均改善數值、整體市場、國內開放式股票型基金比較結果下,得到兩式轉機型投資組合報酬率表現中以虧轉盈型表現得最為突出。
    (二)絕對績效
    在與國內整體市場、開放式股票型基金比較結果下,投資組合績效仍以虧轉盈型投資組合報酬率表現的最為優異。


    二、基金化後投資組合

    (一)相對績效
    整合了基金化後投資組合於各期佔基金績效排序前20%之次數,研究中發現以虧轉盈型基金化後投資組合表現最佳。
    (二)絕對績效
    計算出二式轉機型基金化後投資組合於研究期間之期間報酬率,得到投資組合中以虧轉盈型表現的最為亮眼,且報酬率更優於績效最佳的永豐永豐基金達383%。
    By the relevant literatures, earnings per share (EPS) act as the significant variable of return on investment in the Taiwan stock market. In this research, we utilize financial reporting data of the EPS from TSE and OTC corporations, to construct two different models of turnaround’s portfolios: deficit transform to surplus vs. huge losses transform to small losses. Moreover, we will evaluate the performance of two portfolios and compare the two portfolios with the domestic open-end mutual funds and the market. In the end, we try to provide a valuable investment strategy to investors. The main empirical finding as below:

    1. Generalized investment portfolios
    (1)Relative Performance
    After comparing with the return of return of the market and open-end mutual funds, we validate the performance of deficit transform to surplus portfolio is better than huge losses transform to small losses portfolios.
    (2)Absolute performance
    By comparing with the market and open-end mutual funds, we also discover the performance of deficit transform to surplus portfolio is the best.

    2. Fundization portfolio
    (1)Relative Performance
    After summarize the number of fluidization portfolio’s performance which ranking in the top 20%. The deficit transform to surplus portfolio is a nice choice.
    (2)Absolute performance
    By comparing rate-of-return of the two fundization portfolio, both two portfolios present very good performance.
    Appears in Collections:[國際企業學系暨研究所] 學位論文

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