基本面指標投資策略在特定產業中的績效評估分析─以台灣電子產業為例

Abstract

多數價值型投資策略研究皆以各國完整市場為主，並未有針對特定產業研究之先例。本研究首先利用淨值市價比篩選出電子業中價值型股票，並藉由其公開的財務相關資訊做為判斷指標，試圖更進一步提升其報酬率。研究結果顯示，高淨值市價比所篩選出的價值型股票投資組合期平均報酬率顯著優於電子業的平均報酬率(一年平均報酬率分別為20.18%與12.7%)，然而在本研究採用Piotroski (2000)所創造的F_SCORE基本面指標，嘗試篩選出營運狀況良好股票的投資組合時，卻無法進一步提升其平均報酬率。因此本研究另外提出了一套新的指標E_SCORE用以篩選出電子產業中價值型股票投資組合內表現較佳的公司，並進一步提升該組合的平均報酬率。 最後實證結果證實，E_SCORE直接用以篩選電子產業所有股票時，其高分群組已能夠創造出顯著優於電子產業的平均報酬率(一年平均報酬率分別為21.97%與12.7%)，而若是用在先行利用淨值市價比篩選過後的價值型股票投資組合上，其效果更加顯著(一年平均報酬率為35.13%)，其平均報酬率不但顯著優於價值型股票的組合，更顯著優於產業平均報酬率。

While value investing strategy is wildly tested in many different stock markets over the world and the efficacy has been proved, I apply this strategy to electronics industry in Taiwan and test whether we could get higher average return than the electronics industrial average return. The result shows that the average return of high book-to-market-ratio portfolio (also known as value stocks) is significantly higher than the industrial average return (20.18% and 12.7% respectively), but the fundamental index F_SCORE created by Piotroski (2000) fails to separate the companies with good performance from the others. I try to create a new fundamental index named E_SCORE which is based on the industrial characteristics and check whether this methodology could successfully help us to form a better portfolio from these stocks. The evidence provided in this research shows that E_SCORE is an efficient index for electronics industry. Take one year average returns for example, the average return of the high-E_SCORE portfolio is significantly higher than the electronics industry average return(21.97% and 12.7% respectively), furthermore, the E_SCORE index also successfully can separate good companies from the high book to market ratio stocks. The one year average return of high-E_SCORE portfolio selected from high book to market stocks is 35.13%, which is significantly higher than high book to market portfolio(21.9%) and industrial average return(12.7%).