臺灣博碩士論文加值系統

本研究透過價值型投資方法進行選股，再依據其淨值市價比與股利殖利率，以五等分位法將其由高至低分成各五組投資組合，以Python程式編寫程式碼，建構自動化程序，以買進持有策略與短、中長期技術分析指標MA及MACD作為買進及賣出訊號後進行績效評比。實證結果顯示，淨值市價比及股利殖利率之買進持有投資組合，其投資績效皆優於市場報酬。其中，較高股利殖利率投資組合優於較低股利殖利率投資組合；淨值市價比投資組合則具有逆淨值市價比（B/M）效應。爾後加入MA技術指標後，其績效低於買進持有策略，因本研究歸屬於價值型投資組合，故較不適用以短期技術指標MA作為進出市場之參考指標。反觀加入中長期的技術指標MACD，其投資組合能夠有效提升績效，且扣除交易成本後之報酬率依然優於買進持有策略及市場報酬率。最後本研究透過CAPM模型檢測其是否能夠解釋投資組合之獲利能力，結果顯示淨值市價比及股利殖利率投資組合加入技術指標MACD後具有超額報酬。

This study selects stocks through value investing methods, and then divides them into five groups of investment portfolios from high to low according to their book-to-market ratio and dividend yield. Then use Python program to construct the automation system. And trade through buy and hold strategies and short, medium-long-term technical analysis indicators MA and MACD as buy and sell signals to trade. The empirical results show that the buy-and-hold investment portfolio of the book-to-market ratio and dividend yield has better investment performance than market returns. Among them, portfolio with higher dividend yields is better than portfolio with lower dividend yields; book-to-market ratio have an inverse book-to-market ratio （B/M） effect. After joining the MA technical indicator, its performance is lower than the buy and hold strategy. Because the portfolios of this study belongs to the value investing, it is less suitable to use the short-term technical indicator MA as a reference indicator for market. In contrast, by adding the mid-long-term technical indicator MACD, its investment portfolio can effectively improve performance, and the return after deducting transaction costs is still better than the buy-hold strategy and market return. Finally, this study uses the CAPM model to test whether it can explain the profitability of the portfolio. The results show that the book-to-market ratio and dividend yield rate portfolio have excess returns after adding the technical indicator MACD.

中文摘要 i
英文摘要 ii
誌謝 iii
表目錄 v
圖目錄 vi
壹、 緒論 1
一、 研究背景與動機 1
二、 研究目的 4
三、 研究流程 5
貳、 文獻回顧 6
一、 基本面分析 6
（一） 價值型投資 6
（二） 專業投資人及其方法介紹 8
（三） 淨值市價比 11
（四） 股利殖利率 13
二、 技術分析 14
（一） 移動平均線（Moving Average, MA） 14
（二） 指數平滑移動平均線 （Moving Average Convergence/Divergence, MACD） 15
參、 研究方法 17
一、 資料來源與研究期間 17
二、 指標介紹與定義 17
（一） 財務基本面分析指標與籌碼面資料 17
（二） 投資組合建立 19
（三） 擇時策略指標 20
肆、 研究結果 24
一、 績效指標與投資組合績效 24
（一） 績效指標 24
（二） 投資組合績效 25
伍、 結論與建議 35
一、 結論 35
二、 後續研究與建議 36
參考文獻 37

英文文獻
Abarbanell, J. S., & Bushee, B. J. 1998. "Abnormal returns to a fundamental analysis strategy". Accounting Review, vol. 19-45.
Andersson, M., Hall, E., & Örn, P. 2010. "The Dividend Effect-A Study of the OMXS30". vol.
Arnott, R. D., Hsu, J., & Moore, P. 2005. "Fundamental indexation". Financial Analysts Journal, vol. 2: pp.83-99.
Beukes, A. 2011. "Value investing: international comparison". International Business Economics Research Journal, vol. 5: pp.1-10.
Brock, W., Lakonishok, J., & LeBaron, B. 1992. "Simple technical trading rules and the stochastic properties of stock returns". The Journal of finance, vol. 5: pp.1731-1764.
Brown, D. P., & Jennings, R. H. 1989. "On technical analysis". The Review of Financial Studies, vol. 4: pp.527-551.
Brzeszczynski, J., Archibald, K., Gajdka, J., & Brzeszczynska, J. 2008. "Dividend yield strategy in the British stock market 1994-2007". vol.
Capaul, C., Rowley, I., & Sharpe, W. F. 1993. "International value and growth stock returns". Financial Analysts Journal, vol. 1: pp.27-36.
Chan, L. K., & Lakonishok, J. 2004. "Value and growth investing: Review and update". Financial Analysts Journal, vol. 1: pp.71-86.
Chen, H.-Y., Lee, C.-F., & Shih, W. K. 2016. "Technical, fundamental, and combined information for separating winners from losers". Pacific-Basin Finance Journal, vol. 224-242.
Chen, N. f., & Zhang, F. 1998. "Risk and return of value stocks". The Journal of Business, vol. 4: pp.501-535.
Chong, T. T.-L., & Ng, W.-K. 2008. "Technical analysis and the London stock exchange: testing the MACD and RSI rules using the FT30". Applied Economics Letters, vol. 14: pp.1111-1114.
Clemens, M. 2012. "Dividend investing: Strategy for long-term outperformance". vol.
Da Silva, A. L. 2001. "Empirical tests of the Dogs of the Dow strategy in Latin American stock markets". International Review of Financial Analysis, vol. 2: pp.187-199.
Fama, E. F., & French, K. R. 1992. "The cross‐section of expected stock returns". The Journal of Finance, vol. 2: pp.427-465.
Fama, E. F., & French, K. R. 1995. "Size and book‐to‐market factors in earnings and returns". The journal of finance, vol. 1: pp.131-155.
Fama, E. F., & French, K. R. 1998. "Value versus growth: The international evidence". The journal of finance, vol. 6: pp.1975-1999.
Fernández-Blanco, P., Bodas-Sagi, D. J., Soltero, F. J., & Hidalgo, J. I. 2008. Technical market indicators optimization using evolutionary algorithms. Paper presented at the Proceedings of the 10th annual conference companion on Genetic and evolutionary computation.
Filbeck, G., Holzhauer, H. M., & Zhao, X. 2017. "Dividend-yield strategies: A new breed of dogs". The Journal of Investing, vol. 2: pp.26-47.
Filbeck, G., & Visscher, S. 1997. "Dividend yield strategies in the British stock market". The European Journal of Finance, vol. 4: pp.277-289.
Frazzini, A., Kabiller, D., & Pedersen, L. H. 2013. Buffett's alpha: National Bureau of Economic Research.
Galdi, F. C., & Lopes, A. B. 2013. "Limits to arbitrage and value investing: Evidence from Brazil". Latin American Business Review, vol. 2: pp.107-137.
Graham, B. 1949. The Intelligent Investor–A Book of Practical Counsel: Harper and Brothers, New York.
Graham, B., & Dodd, D. L. 1934. "Security analysis". Me Graw Hill Ine, New York, vol.
Hemminki, J., & Puttonen, V. 2008. "Fundamental indexation in Europe". Journal of Asset Management, vol. 6: pp.401-405.
Herawati, A., & Putra, A. S. 2018. "The influence of fundamental analysis on stock prices: The case of food and beverage industries". European Research Studies Journal, vol. 3: pp.316-326.
Hsu, J. C., & Campollo, C. 2006. "An examination of fundamental indexation". New Frontiers in Index Investing: Journal of Indexes, vol. 32-37.
Ibbotson, R. G., & Riepe, M. W. 1997. "Growth vs. value investing: And the winner is". Journal of Financial Planning, vol. 3: pp.64.
Ko, K.-C., Lin, S.-J., Su, H.-J., & Chang, H.-H. 2014. "Value investing and technical analysis in Taiwan stock market". Pacific-Basin Finance Journal, vol. 14-36.
Lakonishok, J., Shleifer, A., & Vishny, R. W. 1994. "Contrarian investment, extrapolation, and risk". The journal of finance, vol. 5: pp.1541-1578.
Lam, K. S. 2002. "The relationship between size, book-to-market equity ratio, earnings–price ratio, and return for the Hong Kong stock market". Global finance journal, vol. 2: pp.163-179.
Lo, A. W., Mamaysky, H., & Wang, J. 2000. "Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation". The journal of finance, vol. 4: pp.1705-1765.
Lynch, A. W. 2001. "Portfolio choice and equity characteristics: Characterizing the hedging demands induced by return predictability". Journal of Financial Economics, vol. 1: pp.67-130.
McQueen, G., Shields, K., & Thorley, S. R. 1997. "Does the “Dow-10 Investment Strategy” Beat the Dow Statistically and Economically?". Financial Analysts Journal, vol. 4: pp.66-72.
Musallam, S. R. 2018. "Exploring the relationship between financial ratios and market stock returns". Eurasian Journal of Business, vol. 21: pp.101-116.
Neely, C. J., Rapach, D. E., Tu, J., & Zhou, G. 2014. "Forecasting the equity risk premium: the role of technical indicators". Management science, vol. 7: pp.1772-1791.
Ni, Y., Day, M.-Y., Huang, P., Yu, S.-R. J. P. A. S. M., & Applications, i. 2020. "The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50". vol. 124144.
Noma, M. 2010. "Value investing and financial statement analysis". Hitotsubashi journal of commerce management, vol. 29-46.
Ou, J. A., & Penman, S. H. 1989. "Financial statement analysis and the prediction of stock returns". Journal of accounting economics, vol. 4: pp.295-329.
Petrusheva, N., & Jordanoski, I. 2016. "Comparative analysis between the fundamental and technical analysis of stocks". Journal of Process Management, vol. 2: pp.26-31.
Piotroski, J. D. 2000. "Value investing: The use of historical financial statement information to separate winners from losers". Journal of Accounting Research, vol. 1-41.
Pontiff, J., & Schall, L. D. 1998. "Book-to-market ratios as predictors of market returns". Journal of Financial Economics, vol. 2: pp.141-160.
Price, J., & Kelly, E. 2004. "Warren Buffett: Investment genius or statistical anomaly?". Intelligent finance: A convergence of mathematical finance with technical, vol.
Rouwenhorst, K. G. 1999. "Local return factors and turnover in emerging stock markets". The journal of finance, vol. 4: pp.1439-1464.
Sareewiwatthana, P. 2011. "Value investing in Thailand: the test of basic screening rules". International Review of Business Research Papers, vol. 4: pp.1-13.
Shen, K. J. J. o. T., & Technology, A. I. 2013. "Implementing value investing strategy through an integrated fuzzy-ANN model". vol. 1: pp.150-157.
Vidotto, R. S., Migliato, A. L. T., & Zambon, A. C. 2009. "Moving Average Convergence-Divergence as a tool for deciding on investments in the stock market". RAC-Revista de Administração Contemporânea, vol. 2: pp.291-309.
Visscher, S., & Filbeck, G. 2003. "Dividend-yield strategies in the Canadian stock market". Financial Analysts Journal, vol. 1: pp.99-106.
Waheed, A. 2013. Analysis of Moving Average Convergence Divergence （MACD） as a Tool of Equity Trading at the Karachi Stock Exchange.
中文文獻
王裕仁. 2005. 臺灣股市的「淨值市價比」效應. 國立東華大學, 花蓮縣.
吳睿萍. 2018. 技術分析在商品期貨市場獲利能力-以MACD、KD、SAR為例. 國立成功大學, 台南市.
李雅璇. 2013. 以巴菲特選股模式建構基本面投資組合：在台股之實證研究. 國立中央大學, 桃園縣.
林承賦. 2018. 建構智慧投資策略－以臺灣股票市場為例. 國立高雄第一科技大學, 高雄市.
韋永宏. 2014. 巴菲特選股結合技術分析之投資策略實證. 國立高雄應用科技大學, 高雄市.
高明松. 2013. 巴菲特選股原則在台股應用之可行性研究. 國立臺灣大學, 台北市.
陳明玉. 2017. 移動平均線交易法則之探討-以臺灣五十指數成分股為例. 國立臺灣科技大學, 台北市.
黃元裕. 2003. 價值投資法於臺灣股市之運用. 國立交通大學, 新竹市.
劉蘋瑩. 2012. 巴菲特投資策略在臺灣股市實證研究. 國立高雄第一科技大學, 高雄市.