| Summary: | 碩士 === 國立中山大學 === 財務管理學系研究所 === 102 === The main purpose of this research is to build an EBO valuation model by using XBRL financial report data that can reasonably evaluate the intrinsic value of all listed company in Taiwan. I use the monthly revenue information, quarterly report and annual report to predict all financial data in EBO model. I also build Forward PE valuation and TTM PE valuation model to provide the most common relative valuation method and compare the profitability and applicability of the three models.
To evaluate the profitability of the three models, this research conducts the back test and the result shows that in the all two years back test period, the EBO model, Forward PE model and TTM PE model can earn 37%, 14% and 5% by only trade underestimate stocks, whereas 0.4%, -13.4% and -26.1% by only trade overestimated stocks, indicating that EBO model outperform both of the PE valuation method, even the 20% TAIEX performance. It’s also shows that the using EBO model to trade underestimate stocks can earn abnormal return while trading overestimated stocks earns nothing, indicating that using value investing method is not suitable for investing overestimated stocks in Taiwan stock market, because the price of overestimated stocks always changes by non-fundamental factors. Furthermore, I narrow down the back test period to the first year, and the EBO model, Forward PE model and TTM PE model earn 12%, 12% and 8%, indicating that the EBO model is suitable for long-term investment strategy, and also shows that in the long term, the stock price would back to their intrinsic value. Finically, according to the back test rest result, our EBO model is suitable for trading: 1. High and steady profit margin company stock. 2. High growth and high profit margin company stock.
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