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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/30845

    Title: PBV投資策略-以台灣50指數為實證研究
    PBV investment strategy - emperical studies in Taiwan 50 index
    Authors: 黃俊翔
    Huang, Chun Hsiang
    Contributors: 吳啟銘
    Eric Wu
    Huang, Chun Hsiang
    Keywords: 相對評價法
    relative valuation
    price to equity
    Date: 2007
    Issue Date: 2009-09-14
    Abstract: 本研究運用相對評價法中之PBV(Price to Book Ratio)乘數,進行橫斷面
    迴歸分析,判斷股價低估(undervalue)或高估(overvalue),並利用判斷結果進行投資組合部位建立。選取樣本利用台灣50 指數成分股排除公司規模之影響,而研究結果顯示,利用PBV 低估的股票進行多部位建立,在研究期間
    This research applied the multiple of the price to book value in the relative valuation to begin cross-section regression analysis and to evaluate if the stock price
    was overpriced or underpriced. The result can be used to develop the investment portfolios. This research used the constituents in Taiwan 50 Index as samples in order to avoid the size effect. During the whole period, we found that we could gain excess profit obviously and defeat the market return by utilizing those stocks underpriced in PBV to develop the long position. However, we could not defeat the market return by developing the short position. In the research, we also found that the extreme value could affect the investment return, which result mainly from both stocks of financial holding companies and banks and stocks of business cycle
    第壹章 緒論................p1
    第貳章 文獻探討.............p3
    第參章 研究方法.............p13
    第四章 實證結果與分析........p21
    第五章 結論與建議............p40
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    1. 台灣證券交易所,http://www.tse.com.tw/
    2. 寶來投信,http://www.tw50etf.com/
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0095362025
    Data Type: thesis
    Appears in Collections:[管理碩士學程/商管專業學院碩士學位學程 AMBA] 學位論文

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