價值投資在台灣股市之實證：股利殖利率與F-SCORE

The Empirical Study of Value Investing in Taiwan Stock Market：Dividend Yield and F-SCORE

蔡麗雀(Li-Chueh Tsai)；蔡佩恂(Pei-Hsun Tsai)；徐川皓(Chuan-Hao Hsu)

價值投資 ； 股利殖利率 ； F-SCORE ； 隨機優勢 ； Value Investing ； Dividend-to-price ； F-SCORE ； Stochastic Dominance

修平學報

35期（2017 / 09 / 01）

125 - 144

繁體中文

本研究主要利用股利殖利率與 Piotroski (2000) F-SCORE 為選股指標建構投資組合，再利用隨機優勢為研究方法檢定相關投資組合之績效表現。以台灣上市櫃股票為樣本，實證結果發現如下，第一，若以股利殖利率區分價值股與成長股，高股利率股票的投資績效顯著地隨機優於低股利率股票。第二，若以F-SCORE 區分高分股與低分股，基本面良好的高分股投資績效顯著地隨機優於基本面略差的低分股。第三，利用股利殖利率與F-SCORE 進行兩階段選股並進行績效比較，發現不管是價值股或是成長股投資策略，基本面的財報資訊皆能有效增進投資組合的績效。實證結果隱含投資人利用股利殖利率進行投資時，若可輔以基本面的財報資訊可有效增進或改善投資績效。

The purpose of this study is to use a stochastic dominance test to examine the relative performance of stocks based on the two sorting criteria: Dividend-to-price ratio and F-SCORE in the Taiwan stock market. The findings of this study are as follows. First, the value stocks stochastically dominate the growth stocks. Second, there is a clear stochastic dominance relation of high F-SCORE stocks over low F-SCORE stocks based on the F-SCORE sorting criteria. Third, regardless of the value or growth strategy, the information of F-SCORE could increase the portfolio performance. According to these findings, we conclude that investors can improve the performance of the value strategy based on dividend-to-price ratio with F-SCORE.

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