Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/37000
|
| Title: | “企業市值與銷售額比” 選股策略投資績效之研究 - 以台灣電子業為研究對象 |
| Authors: | 董迺閎
Dung, Nai-Hung |
| Contributors: | 吳啟銘
Wu, Eric
董迺閎
Dung, Nai-Hung |
| Keywords: | EV/S
價值選股
潛力股
地雷股
超額報酬率 |
| Date: | 2008 |
| Issue Date: | 2009-09-18 20:25:30 (UTC+8) |
| Abstract: | 本研究之主要目的是想了解當台灣之電子公司，在面臨到企業價值與銷售額比(EV/Sales)為近三年最低點時，如果採用EV/Sales 做為選股依據，持有一年或是二年，其超額報酬為何。是否有關鍵因子可以加強選股績效，資料分為樣本內(1995Q1 - 2002Q4) 和樣本外(2003Q1 - 2006Q4)。其實証結論如下:
• 實證上於樣本外公司之中，若使用EV/Sales為選股依據，組成對沖投資組合，持有期間為一年，其平均超額報酬績效為51%。
• 實證上於樣本外公司之中，使用EV/Sales為選股依據組成對沖投資組合，持有期間為二年，其平均超額報酬績效為13%。若用關鍵因子加上EV/Sales為選股依據，持有期間為二年，其平均超額報酬績效大為32%，表示關鍵因子在投資期限較長之交易策略下，確實具有提升EV/Sales之選股能力。
• 本研究透過ANOVA檢定和相關性檢定，找出選股的關鍵因子，為投入資本報酬率，EBITDA利潤率，毛利率，以及營業利潤率。
The purpose of this paper is to study the List high-tech Companies in Taiwan, when their EV/Sales ratio become the lowest in recent 3 years, whether if EV/Sales is a good tool to identify the companies are a super stock or not. Or, we should use other financial ratios as auxiliary tool to enhance the effective of screening tool, increasing the return of investment performance.
The results are summary as below:
• In the out-of-sample companies, if we use the EV/Sales as screening tool, the top 10% to composite as short portfolio, and bottom 10% to composite long portfolio, the holding period is one year; annualized abnormal return is 51%.
• In the out-of-sample companies, if we use the EV/Sales as screening tool, the top 10% to composite as short portfolio, and bottom 10% to composite long portfolio, the holding period is two year, annualized return is 13%. If we add the auxiliary key financial ratios, the annualized abnormal return is 32%.
• We use the ANOVA and correlation analysis, to identify the key financial ratios to enhanced investment return is Gross margin, EBITDA margin, operating margin, and ROIC. |
| Reference: | 中文部份：
1.杜振華 (2004)，「影響股價的關鍵因子分析---以TFT-LCD產業為例」，國立政治大學商學院經營管理碩士學程財務管理組碩士論文。
2.吳啟銘(2002)，「企業評價－個案實證分析」，台北：智勝文化事業有限公司。
3.周賢榮 (1993). 「以隨機優勢 理論測試價銷比策略之研究」， 國立台灣科技大學管理技術研究所博士論文。
4.林聖哲 (2001)，「產業市價淨值比在台灣股票市場投資績效之研究」國立政治大學財務管理學系碩士論文。
5.陳明霞 (1991)，「盈餘成長預估、價格盈餘比率輿投資組合績效-不同投資區間下之實證結果」， 國立中央大學財務管理研究所碩士論文。
6.陳美宏 (2002)，「經濟附加價值(EVA®)與企業市場地位關聯性之研究─以資訊電子業為例」， 國立臺灣大學會計學研究所碩士論文。
7.陳巧玲 (2004)，「價值型投資風格於台灣股票市場之研究」， 國立政治大學財務管理研究所碩士論文。
8.黃淑娟 (1997)，「傳統的與強化的價值導向投資策略在臺灣股票市場之實證研究」， 國立政治大學財務管理學系碩士論文。
9.蔡秀珍 (2003)，「產業競爭程度、財務政策與經濟附加價值關係之研究」， 國立中正大學企業管理研究所碩士論文。
10.劉博文 (1996) ，「盈餘品質分析法:臺灣股票市場之驗證」， 國立政治大學財務管理研究所碩士論文。
11.顏千喬 (2005)，「台灣上市電子公司EVA、研發投入與股權結構關聯性之研究」， 長榮大學企業管理學系碩士論文。
英文部份：
1.Al Ehrbar（1998），EVA：The Real Key to Creating Wealth，黃定遠譯（2000），「經濟附加價值EVA入門全書」，台北：商業周刊出版股份有限公司。
2.Arzac, E. R. (2007). Valuation: Mergers, Buyouts and Restructuring, New York: John Wiley & Sons, Inc.
3.Barber, B. M. and J. D. Lyon (1996). “Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics”, The Journal of Finance 43: 341-372..
4.Basu, S. (1977). "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis.". Journal of Finance 32(3): 663-82.
5.Beneish, M. D. (1999). The Detection of Earnings Manipulation, Indiana University, Kelley School of Business.
6.Braouezec, Y. (2008). Financing Constraint, Over-Investment and Market-to-Book Ratio, SSRN.
7.Chen, L. and X. Zhao (2006). On the Relation Between the Market-to-Book Ratio, Growth Opportunity, and Leverage Ratio, SSRN.
8.Damodaran, A. (1996). Investment Valuation: Tools and Techniques for determining the value of any asset. New York: John Wiley & Sons, Inc.
9.Fama, E. F. and K. R. French (1992). "The Cross-Section of Expected Stock Returns.".The Journal of Finance 47: 557-581.
10.Fama, E. F. and K. R. French (1993). "Common Risk factors in the returns on stocks and bonds". Journal of Financial Economics 33:3-56.
11.Fisher, K. L. (1984). Super Stocks: The Book That`s Changing the Way Investors Think. New York: Dow Jones-Irwin.
12.Houston, E. F. B. J. F. (1998). Fundamentals of Financial Management. New York: The Dryden Press.
13.Jensen, M. C., and W.Meckling (1976). "Theory of the firm: Managerial Behavior, Agency Costs, and Ownership Structure.".Journal of Financial Economics (3): 305-360.
14.Keating, J. H. W. B. (2007). Business Forecasting : with Accompanying Excel-Based ForecastX Software. Singapore: Mc Graw Hill.
15.Knight, J. A. (1998). Value Based Management: Developing A Systematic Approach to Creating Shareholder Value. New York: McGraw-Hill.
16.Nissim, D. and S. H. Penman (1999). Ratio Analysis and Equity Valuation, SSRN.
17.Nissim, D. and S. H. Penman (2001). Financial Statement Analysis of Leverage and How It Informs About Profitability and Price-to-Book Ratios, SSRN.
18.Porter, M. E.（1985），「Competitive Advantage」，李明軒、邱如美譯（1999），「競爭優勢」，天下文化。
19.Rappaport, A. (1986). Creating Shareholder Value: The New Standard for Business Performance. New York: The Free Press.
20.Rosenberg, B.; Reid K. and Lanstein (1985).” Persuasive Evidence of Market Inefficiency.”. The Journal of Portfolio Management 11: 9-17.
21.Stern, J. M. a. J. S. S. (2001). The EVA Challenge: implementing value-add change in organization. West Sussex: John Wiley & Sons, Inc.
22.Schilit, H. M. (2002). Financial Shenanigans: How to Detect Accounting Gimmicks & Fraud in Financial Reports. New York: McGraw-Hill.
23.Sloan, R. G. (1996). "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?" The Accounting Review 71:289-315.
24.Tom; Murrin, J. K., Tim Copeland (2000). Valuation: Measuring and Managing the Value of Companies. West Sussex: John Wiley & Sons Inc.
25.Vruwink, D. R., J. J. Quirin, et al. (2007). "A Modified Price-Sales Ratio: A Useful Tool For Investors?" Journal of Business & Economics Research 5: 31-40.
W. Peavy. Ⅲ, D. A. G. a. J. (1983). "Industry Relative Price-Earning Ratios as Indicators of Investment Return." Financial Analysis Journal (July-August): 60-66. |
| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
95932230
97 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095932230 |
| Data Type: | thesis |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
