EPS由負轉正之股票之價格之探討：臺灣個案研究

Abstract

本研究主旨在探討當低價股股票達到EPS=0元門檻時，是否出現擊敗大盤的超額報酬，投資人選股未必要挑選那些體質很棒的公司，反而是找出從谷底向上攀升的公司，更能賺取更高報酬。是以本研究希望能夠挑出這些個股，觀察這些長期虧損公司的EPS突然由虧轉盈，股價是否馬上向上飆漲，尋找出一個穩定的規則，以利之後在股票市場上能夠有效地提高投資報酬率。 本研究針對2012年選取達到EPS門檻0元的股票，總共有26檔個股，其中20檔個股之股價報酬率在2012年超越大盤，出現超額報酬之現象；反之，剩下6檔個股之股價報酬率在2012年並無明顯超越大盤，甚至負成長。儘管仍有6檔個股在2012年沒有達到EPS門檻效應，但經過整理可發現，這6檔個股在隨後的兩年中皆創造優於大盤的報酬率。也就是說，若該企業達到EPS門檻0元時，有將近八成的機會，會在當年度創造出超額報酬，而有兩成左右的機會會在隨後兩年看見效果。 最後，本研究發現配合EPS門檻效應，以及股價淨值比是否低於1倍，能夠有效了解台灣股市低價股的股價行為，進而提供投資人創造超額報酬的機會。

The main purpose of this research is to discover whether there would be excess return when Earning Per Share equals to zero. By observing the EPS movement, we are able to explore a significant correlation between EPS movement and stock price. We could therefore enhance total return rate from the excess return. There are 26 company stocks picked which their EPS all reach to zero in 2012. Twenty of them beat the market return and have significant excess returns. The rest of the six stocks are underperformed. However, after the first year, these six underperformed stocks beat the market total return for two years in a row. From the following research, it is proved that there are nearly 80% chances which the company could create excess return when the year its EPS reaches zero. Also, there would be 20% chances the company would create excess return on the second and third year when the first year its EPS reaches zero. Therefore, regarding of the EPS threshold and whether the price-to-book ratio is lower than one, we could find the excess return and also understand the stock price movements of Taiwan stock market.