價值型投資策略之探討－以本益比、市價淨值比、市價銷貨比為例

The Study of Value Investing Strategy-The Application of P/E, P/B and P/S Ratios

高惠娟(Erin H. C. Kao)；王澤維(Ze-Wei Wang)；陳建葦(Chien-Wei Chen)

價值型投資 ； 本益比 ； 市價淨值比 ； 市價銷貨比 ； value-investing ； P/E ratio ； P/B ratio and P/S ratio

嶺東學報

34期（2013 / 12 / 01）

1 - 35

繁體中文

本研究旨在探討如何運用本益比、股價淨值比、股價銷貨比作為投資策略之基礎，並與買進持有策略加以分析比較，檢視投資績效上有無顯著的差異。資料選取自2000年1月1日至2011年12月31日止共12年為本研究期間，由於一般而言技術分析是以個股本身價量作為基準，並無公司基本面為理論根據。本研究乃以財務績效指標作為選股之條件，以公司之本益比（P/E）、市價淨值比（P/B）、市價銷貨比（P/S）過去趨勢中之相對低點與高點作為進出時點，以檢視價值型投資策略是否有優於股票買進持有的績效，期望找出簡單並有效之方法提供投資人參考。本研究實證結果發現，以個別公司自己過去市價淨值比（P/B）及市價銷貨比（P/S）兩項財務指標趨勢在相對低點進場及相對高點出場確實能顯著提高投資年化報酬率，即支持價值型投資策略，並且發現價值型投資策略應用於國內電子業之效果最佳，電子業公司若以個股之市價淨值比（P/B）及市價銷貨比（P/S）兩財務標指做為準則，其投資年化報酬率能顯著高於買進持有策略約5.6%～9.8%，且發現以過去財務指標趨勢最低及最高20%進出場之績效又優於以25%進出場之績效。

The aim of the study is using the price-earnings ratio, price-book value ratio and price-sale ratio to examine that whether the value investing strategy can outperform than buy and hold strategy. The sample period is from 2001/1/1 to 2011/12/31, it spans 12 years. Previous studies examined the valid of technical analysis based on the trend of past price and volume without fundamental or theoretical basis to support. This study combines the features of technical analysis and fundamental analysis, using the trend of financial performance (P/E, P/B, P/S) rather than past price or volume, as the filter condition to buy or sell. Based on the trend of P/E, P/B or P/S respectively, we set the relative low (high) point to buy (sell) stock to investigate whether the strategy can outperform than purely buy and hold. The results find that buying at relative low P/B or P/S ratio (undervalued) and selling at relative high P/B or P/S ratio (overvalued), does have significantly higher annualized return, supported the valid of value investing strategy. Moreover, we find that the value investing effect is obviously in the electronic industry, the annualized return is higher than buy and hold about 5.8%~9.8%. Also, the relative high (low) point sets on past extreme high (low) at 20 percentile is better than 25 percentile.

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