財務指標能提升元大台灣50績效嗎?;Can financial indicators improve the performance of Yuanta Taiwan 50?

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/86153

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Title:	財務指標能提升元大台灣50績效嗎?;Can financial indicators improve the performance of Yuanta Taiwan 50?
Authors:	彭子祐;Peng, Tzu-Yu
Contributors:	財務金融學系在職專班
Keywords:	股東權益報酬率;稅後淨利成長率;本益比;股價淨值比;股價營收比;return on equity;growing rate of the net profit after taxes;price-to-earning ratio;price-to-book ratio;price-to-sales ratio
Date:	2021-06-28
Issue Date:	2021-12-07 12:10:50 (UTC+8)
Publisher:	國立中央大學
Abstract:	本研究使用過去國內外研究者常用於選股策略之五大財務指標(股東權益報酬率、稅後淨利成長率、本益比、股價淨值比、股價營收比)，探討於2004 年至 2020 年間此五大財務指標個別應用於元大台灣 50 投資組合名單之有效性。研究結果發現若將股東權益報酬率第五組、稅後淨利成長率第一組、本益比第五組、股價淨值比第一組、股價營收比第一組列為指標地雷股剔除後各別重組投資組合，採取平均加權策略或市值加權策略均可改善 2004 年至 2020 年報酬績效；另採用五大財務綜合指標篩選改善效果更為明顯，且以市值權重策略表現最佳；進一步分析發現，五大財務指標綜合篩選之市值權重策略投資組合後期報酬之顯著性主要來自台積電個股權重的增加，故研究結果顯示，五大指標篩選在樣本前期較具有績效報酬改善性，後期雖有但並不明顯。;By using the five financial indicators (return on equity (ROE), growth rate of net income after taxes, price-to-earning ratio (P/E), price-to-book ratio (P/B), price-to-sales ratio (P/S)) commonly used by researchers and practitioners in stock picking strategies, this thesis examines the effectiveness of each of the five financial indicators in improving the performance of the Yuanta Taiwan 50 from 2004 to 2020. The results find that the performance can be significantly improved when the bottom 20 percent stocks of these indicators are excluded from the portfolio. The improvement is strongest when the screening process is simultaneously applied to all five financial indicators and the portfolio is value weighted. However, further analysis indicates that a large proportion of the improvement is due to the inclusion of TSMC. Subperiod analysis shows that the improvement in portfolio performance is significant in the first half subsample period, but not in the second half subsample period.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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