| 题名 |
台灣上市類股投資策略與報酬之研究 |
| 并列篇名 |
Analysis of Investment Strategies and Return on Sector Stocks in Taiwan |
| 作者 |
秦銘璟(Ming-Chin Chin)；柯佃叡(Dian-Rui Ke) |
| 关键词 |
投資策略 ； 選股指標 ； 異常報酬 ； Investment Strategy ； Stock Selection ； Abnormal Returns |
| 期刊名称 |
真理財經學報 |
| 卷期/出版年月 |
27期（2015 / 12 / 01） |
| 页次 |
53 - 72 |
| 内容语文 |
繁體中文 |
| 中文摘要 |
本文參考Hart et al. (2003)的投資策略，以台灣上市股票紡織纖維、半導體業、金融保險三類股，分別以價值型、規模型、流動型與動能型四種投資策略與不同持有期間之報酬進行檢驗，分析探討各類股票適合之投資策略，以提供投資人決策參考。實證結果發現：半導體類股可參考短期(3個月以上至6個月以下)價值型策略(益本比與市價淨值比)；紡織纖維類股可參考3個月以上市價淨值比策略，和9個月以上規模型策略；金融保險類股可參考3個月以上市價淨值比策略，和9個月以下流動性策略。另動能型投資策略對三種類股大多呈現顯著報酬，建議長期投資者應以長期月報酬率做為選股參考。 |
| 英文摘要 |
The purpose of this paper is to amend the understanding of the linkages between excess returns and the four investment strategies: value, momentum, size, and liquidity. The method is proposed by Hart et al. (2003). The data of the Taiwan listed stock market is examined. Specifically, three sector stocks, textile fibers, the semiconductor industry, finance and insurance, are chosen. Monthly data from January 2003 to December 2013 is used. The empirical results suggest as following: while investing in semiconductor stocks, the value strategies such as E/P ratio and P/B ratio can be chosen and hold 3- to 6-month period; liquidity strategy such as turn over ratio and hold over one month. While investing in textile fibers stocks, the P/B ratio can be chosen and hold more than 3-month period; size strategy and hold more than 9-month period; liquidity strategies and hold 1,3,6,24-month period. While investing in financial and insurance stocks, the P/B ratio strategy can be chosen and hold more than 3-month period; liquidity strategies and hold under 9 months. Some economic intuitions and implications are drawn. In addition, an option being considered intelligent if holding stocks when momentum strategy is applied. Also, this paper suggests that long-term selection strategy can be reference to long-term investment. |
| 主题分类 |
社會科學 >
經濟學 |
| 参考文献 |
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