台股長期投資策略訂定之探討-以壽險業為例

Abstract

本研究之目的係針對人壽保險公司之台股長期投資程序進行界定，期望有助於本國人壽保險公司之台股長期投資決策的制定。 本研究之台股長期投資策略程序說明影響投資決策成功與否的兩項關鍵因素在於投資時點與股票評價。在投資時點方面，基於台股的波動性，本研究發現，最好的投資時點在於7000點以下(或10年移動平均線以下)；在股票評價方面，投資價位的適當與否可以根據高登(Gordon)評價模型及股價歷史區間之百分位數位置高低進行判斷。 根據本研究結果發現，台灣加權指數由1990年至2011年之22年期間，指數跌落至5000點以下之頻率共有6次，然而平均投資報酬率不論一年、兩年、三年或五年均優於定存，顯現5000點以下的進場點獲利率極高，此時壽險資金不宜逕行停損，反而是加碼攤平的好時機；是以，壽險資金操盤人在面對5000點以下的情況時，應本於產業循環，針對產業循環落底之個股進行加碼，除可掌握未來指數反彈的契機外，並且符合壽險資金長期操作的特性，扮演股市穩定的沈默力量。 如在7000點以上進場之情境下，針對『投資1年』、『投資2年』、『投資3年』及『投資5年』之平均報酬率加以分析的話，投資年限長短與平均投資虧損呈現反比，亦即投資年限越長，平均虧損越少，顯示當指數高檔套牢時，壽險公司應該拉長投資年限，逢低加碼攤平加碼避免追高殺低操作行為。

The purpose of this study is to formulate a process of long-term investment on stocks for a life insurance company in Taiwan. The process explains the key factors of stocks investment are timing and valuation. Considering the TWSE’s volatility, the better investment timing is when the TSEC index is below the moving average with 10 years. On the other hand, the better price level for long-term investment could be approached by the Gordon Pricing Model and the position of historical price range. As empirical results of this study have shown, when the TSEC index is on the level of 5,000, it is a good timing for long-term investment on stocks. Even though the existing positions were underwater, at this point, it had better not be fire sold rather than additionally increase the investment in order to reduce the average holding cost and raise up the probability of getting profit when the market will reverse. By virtue of this fact, Lifers’ fund managers should add more cyclical stocks when the TSEC index is below 5,000. If Lifers can manage funds in this way, they will not only be able to catch the profit from long-term point of view, but also stabilize the stock market which is beneficial to the economy and the market. This study empirically demonstrates the inverse relationship between the investment horizon and the averaged profit and loss; in other words, the longer the investment horizon is, the less the average loss will be. So, Lifers should extend their investment horizons and additionally increase positions instead of fire selling when the good price level appears. Lifers should avoid the herd behavior whatever the stock market is either bullish or bearish.