| 摘要: | 本研究旨在探討何種投資組合能於股票操作中獲利。Piotroski（2000）提出的F-score評分標準，使用了 9 項公司基本面的訊號作為測量公司財務條件的代理變數，其九項評分合計所得分數即為F-score，可替公司的整體營運能力評分，用來衡量公司的財務狀況、未來發展及判斷目前股價是否適合買進。因此本文以2010年1月至2020年6月台灣各上市公司、電子類股及非電子類股之每季F-score為投資組合選取準則，並結合Fama and French的方法，依公司市值分大小建立投資組合，探討F-score的投資策略是否存在高額報酬。 實證結果一、以台灣上市公司的樣本分類，高F-score投資組合比低F-score之投資組合存在超額報酬。二、將樣本區分為電子類股與非電子類股，高F-score投資組合比低F-score投資組合存在超額報酬，且採用每季F-score策略時，台灣全體上市、電子類股以及非電子類股分類，以小型高F-score公司的報酬績效最高。三、本研究也發現投資全體上市公司在景氣收縮時，H-L投資組合、B/H-B/L投資組合、S/H-S/L投資組合、B/H-S/H投資組合的報酬會比擴張時期高;電子股公司在景氣收縮時期B/L-S/L投資組合的報酬會比擴張時期高；而非電子股公司在景氣收縮時期H-L、B/H-B/L 、B/L-S/L投資組合的報酬會比擴張時期高；同時也證實了投資全體上市、電子類股和非電子類股中，在多頭時期，高F-score投資組合比低F-score投資組合可獲較高報酬；高F-score投資組合也比加權指數投資組合可獲較高報酬。
The purpose of this research is to explore what kind of investment portfolio can profit from stock operations. The F-score scoring standard proposed by Piotroski (2000) uses 9 signals of company fundamentals as proxy variables to measure the company's financial conditions. The total score of the nine scores is the F-score, which can replace the company's overall operating capability. The score is used to measure the company's financial status, future development and to judge whether the current stock price is suitable for buying. Therefore, this article uses the quarterly F-score of Taiwan's listed companies, electronic stocks and non-electronic stocks from January 2010 to June 2020 as the selection criteria for portfolio selection, combined with Fama and French methods, according to the size of the company's market value. Establish an investment portfolio and explore whether F-score's investment strategy has high returns. Empirical results 1. Based on the sample classification of Taiwan's listings, high F-score portfolios have excess returns compared to low F-score portfolios. 2. The sample is divided into listed electronic stocks and listed non-electronic stocks. The high F-score portfolio has excess returns compared to the low F-score portfolio, and when the quarterly F-score strategy is adopted, all Taiwan listed, electronic stocks and In the category of non-electronic stocks, small and high F-score companies have the highest remuneration performance. 3. This study also found that when the business climate of all listed companies is shrinking, the returns of the H-L portfolio, B/H-B/L portfolio, S/H-S/L portfolio, and B/H-S/H portfolio will be higher than during the expansion period; The return of the B/L-S/L portfolio of electronic stock companies during the economic contraction period will be higher than that of the expansion period; the return of the H-L, B/H-B/L, and B/L-S/L portfolios of the non-electronic stock company during the economic contraction period will be higher than that of the B/L-S/L portfolio. Expansion period is high; it also confirms that in all listed, electronic and non-electronic companies, in the long period, high F-score portfolios can get higher returns than low F-score portfolios; high F-score portfolios also It can get higher returns than the weighted index portfolio. |
