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| 研究生： |
劉家佑 |
|---|---|
| 論文名稱： |
台灣50指數內含價值之衡量與交易策略 The Intrinsic Value and Value-Investing Strategy of TSEC Taiwan 50 Index |
| 指導教授： | 郭維裕 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2007 |
| 畢業學年度： | 95 |
| 語文別： | 英文 |
| 論文頁數： | 48 |
| 中文關鍵詞： | 剩餘所得模型 、內含價格 、台灣50指數 |
| 外文關鍵詞： | residual income valuation model, TSEC Taiwan 50 Index |
| 相關次數： | 點閱：109 下載：52 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本篇論文以分析師對未來公司盈餘預測為基礎，使用剩餘所得模型來對台灣股票市場做實證研究。在這個架構下，我們比較了剩餘所得模型評價法與各種不同的傳統評價法對台灣50成分股的估算表現。
本篇論文的實證發現，內含價值對股票價格比率(intrinsic value to price ratio)對台灣50成分股的預測，在中短期的投資期間內相較於傳統評價法，預測力最高。帳面價值對股票價格比率(book value to price ratio)則在長期的投資期間內，預測力顯著高於其他評價法。盈餘對價格比率(earnings to price ratio)預測力最低。而將所有評價法一同列入考慮時，則發現並沒有任何一種評價法能明顯主宰其他不同的評價法，各種評價方法在預測未來股市表現是互補的。
本篇論文進一步探討剩餘所得模型評價法對台灣50成分股的交易策略，發現以剩餘所得模型估算出的內含價值為標準來進行交易，能得到正報酬。而考慮會計保守原則的模型報酬率能顯著高於沒有將會計保守原則列入考慮的模型。
We provide an empirical assessment of the residual income valuation model bases on analysts’ forecast data in Taiwan stock market. In this framework, we compare the performance of alternative estimates of intrinsic value with traditional valuation estimates for the component stocks of TSEC Taiwan 50 Index. According to our results, intrinsic value-to-price ratio is a reliable predictor of market returns over short-to-mid period and book-to-price ratios is a reliable predictor over long horizons. Unlike the two ratios, earnings-to-price ratio has little predictive power for returns in Taiwan stock market. Furthermore, intrinsic value-to-price ratio does not dominate traditional valuation but provide another perspective of stock valuation, and we can have a better forecast of future return of Taiwan stock market with consideration of all valuation estimates.
Abstract
Table of Contents
Chapter 1. Introduction
Chapter 2. The Residual Income Valuation Approach
Chapter 3. Value-Investing Strategies
Chapter 4. Model Development
4.1 Impact of Accounting Conservatism
4.2 Model Development
Chapter 5. Data
5.1 Data Source
5.2 Sample Description
Chapter 6. Returns prediction
6.1 Forecasting regression methodology
6.2 Univariate Regression Results
6.3 Multiple Regressions Results
Chapter 7. Results of Value-Investing Strategy
7.1 Rules of Value-Investing Strategy
7.2 Empirical result
Chapter 8. Concluding Remarks
References
Appendix
Figure
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