| 摘要: | 股票操作有各種投資策略，如何在股票市場中獲利是最重要的課題。本研究利用本益比、股價淨值比和公司市值來建立價值股、成長股、小型股和大型股等四種投資組合，並與市場投資組合進行超額報酬的檢定。本研究之結果主要有三：第一、就全體上市櫃公司而言，在價值股與成長股的投資組合比較上，價值股報酬高於成長股報酬，成長投資組合報酬率甚至不如市場投資組合；並且，台灣股市也具備了規模效應，小型股溢酬明顯優於大型股。第二、在分類電子族群與非電子族群的狀況下，電子族群中，本益比的價值股報酬率明顯優於成長股，非電子族群仍然顯著呈現價值股報酬遠優於成長股報酬；兩族群也都具備了規模效應，小型股溢酬明顯優於大型股，與全體上市櫃公司結果一致。第三、電子族群在空頭市場時，只有低本益比的價值股的報酬率，顯著高於高本益比的成長股與市場的報酬率，代表電子類股亦具備著「跌時重質」的內涵。
There are many investment strategies in the stock market and the most important issue is how to profit. This study uses price-to-earnings ratio, price-to-book ratio to form value stocks, growth stocks, small-caps, large-caps, and test the excess returns compared to market portfolio. This study has three main results: first, considering all the companies listed at stock exchange or over-the-counter market, in comparison with growth stocks, value stocks gain higher returns .The growth portfolio returns are even worse than the market portfolio. And it shows scale effect in the Taiwan stock market, small-caps are much better than large-caps. Second, under the status to classify electronic and non-electronic groups, on electronic- groups terms, a low PE ratio of return on value stocks are much better than the growth stocks ,in terms of non-electronic groups, value stocks are far superior to the growth stocks ,scale effect of both groups is also consistent with the results of all the companies listed. Third, when the bear market comes, only a low PE ratio of return on value stocks of the electronic groups, are significantly higher than growth stocks and market stocks. This indicates electronics stocks have the connotation of ＂Valuable stock is not easy to fall in the bear market＂ |
