價值效應提升及相關投資啟示於台灣整體股市與個別產業之探討

• Main Author: 賴佩君
• Other Authors: 陳帝富
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/17671034510225223900

碩士 === 國立政治大學 === 財務管理研究所 === 94 === In this study, we detected the characteristics of the stock market in Taiwan. First, we examined whether value stocks perform better than growth stocks. Second, we tried to improve the return of value stocks by using three value enhancers (i.e., the growth factor, the financial structure, and the market liquidity.) Finally, we chose six industries from the stock market, including the textile industry, the electrical machinery industry, the chemical industry, the electron industry, the building/construction industry, and the finance/insurance industry, to see if there exist the value effect, the size effect, and the monthly effect for individual industries. Our results are as follows: 1. The value effect exists in the Taiwan stock market; in other words, value stocks always outperform growth stocks. And the return of value stocks based on book-to-price ratio is the highest among different portfolio examined. Besides, book-to-price ratio is the best indicator to divide stocks into value stocks and growth stocks. 2. Of the three value enhancers used to improve performance, the financial structure is the most effective one. However, the performance of the new portfolio which incorporates the growth factor to select value stocks is much lower than that of value stocks based on earnings-to-price ratio. 3. Each individual industry shows the value effect, the size effect, and the monthly effect. Among these six industries, the performance of the electron industry is the best, especially for value stocks, whereas the performance of the textile industry is comparatively poor.