以本益比為選股指標之反向投資策略 獲利績效探討:以台灣股市為例

Abstract

De Bondt and Thaler(1985)提出過度反應假說，他們認為被低估的股票價格會上修，而被高估的股票價格會下修，因此投資人可以藉著買進被低估的輸家、賣出被高估的贏家這樣的反向投資策略，待一段時間之後價格產生反轉，投資人可以獲取超額報酬。然而也有學者不認同此假說，他們認為反向投資策略的獲利並非因為投資人的過度反應，而是因為元月效應、風險變化等因素。 本文以台灣的上市公司為研究樣本，進行反向投資操作，並且對反向投資策略的績效進行分析。不同於以往國內的研究，本文不以個股過去的持有報酬率為選股指標，而參考Dreman(1998)的研究方法以本益比為選股指標。 實證結果發現，以低本益比形成的輸家，其持有報酬率在長期之下明顯高於以高本益比形成的贏家，尤其在持有三年的測試中，輸家的持有報酬高出贏家48.1%。此外，為避免元月效應的影響，本研究排除了元月份的報酬資料進行再測試，發現輸家的持有報酬依然高出贏家32.6%。最後，本研究亦發現輸家在面對每單位風險下的獲利能力高於贏家，能夠享有較高的報酬率，而且承擔較小的風險。

Dr. Bondt and Thaler (1985) proposed the Overreaction theory that they believe the price of underestimated stock will readjust upward as the price of overestimated stock will readjust downward which creates an opportunity for investors to earn a risk premium by contrarian investment strategy of buying underestimated stocks and selling overestimated stocks. There are also scholars opposing such a theory, and believe that the profit from contrarian investment strategy is not a result of overreaction but January effect, or change of risk, etc. The research investigates the performance of contrarian investment strategy based on P/E ratio which is in contrast to existing study and the result derived is based on the data of Taiwan stock market. The result reveals that the loser portfolio consisting of stocks with low P/E ratio performs much better than the winner portfolio consisting of stocks with high P/E ratio. The research goes a step further to analyze the influence of January effect, and a similar result is derived even if the January effect is eliminated. The finding also indicates that the loser portfolio possesses a higher Sharpe ratio, that is, the loser portfolio enjoys a higher rate of return under each unit of investment risk.