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研究生：	林育竹 Lin, Yu-Jhu
論文名稱：	結合基本面分析與技術分析之投資組合績效-應用於台灣股市 The Performance of Portfolios Formed by Combining Fundamental and Technical Strategies-Application in Taiwan Stock Market
指導教授：	王明隆 Wang, Ming-Long
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2013
畢業學年度：	101
語文別：	中文
論文頁數：	55
中文關鍵詞：	F-SCORE 、高股利策略、52週價格動能策略
外文關鍵詞：	F-SCORE, High dividend yield, 52-week high momentum
相關次數：	點閱：128 下載：1
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本篇探討結合基本面分析與技術分析下之投資組合績效，並與台灣加權指數相比較。實證結果發現結合高F-SCORE與高股利政策下的投資績效顯著優於只採用高F-SCORE的投資績效。此外，相較於台灣加權指數的績效，此投資策略能在相對較低的投資風險下獲取與台灣加權指數相近的報酬。
另一方面，結合基本面投資策略(高F-SCORE與高預期股利收益)與技術分析(52週價格動能策略)可以提升投資績效。尤其，此策略所形成的投資組合在市場投資績效不佳時可降低投資損失。因此，本篇所採用的投資策略能顯著提升投資組合的績效，達到所預定之相對較低風險下獲取穩定報酬的投資目的。

This paper investigates the performance of portfolios combined fundamental and technical strategies compared with the performance of Taiwan weighted stock index (TWSI). The results show that the combination of both high F-SCORE and high-dividend-yield stocks can significantly improve the portfolio performance compared with only high F-SCORE portfolios. Moreover, the fundamental investment strategy can form portfolios with a relative lower risk level compared with TWSI, in which both have the similar portfolio returns.
In addition, the portfolios formed under the combined fundamental strategy (high F-SCORE and high expected dividend yields) and the momentum strategy (the 52-week high momentum) can improve the average annualized returns of fundamental portfolios (from 1.15% to 1.30%). Especially, the combined investment strategy can reduce the portfolio losses compared with fundamental portfolios and TWSI. As a result, the investment strategy combining fundamental and technical advantages demonstrates a significant improvement of portfolio performance, and it reaches the investment goal of obtaining a stable portfolio returns with a relative lower risk.

摘要 ........................................................................................................................... i
Abstract .................................................................................................................... ii
誌謝 ......................................................................................................................... iii
Chapter 1 Introduction ............................................................................................ 1
1.1 Research Background and Motivation ................................................................. 1
1.2 Objectives and Major Findings ............................................................................ 4
Chapter 2 Literature Reviews ................................................................................. 6
2.1 Birds in Hand Theory ........................................................................................... 6
2.2 Signaling Hypothesis ........................................................................................... 6
2.3 Fundamental Analysis – F-SCORE by Joseph D. Piotroski .................................. 7
2.4 Payout Policy Analysis – Future Cash Flow Forecast ........................................... 8
2.5 Introduction of Tobit Regression .......................................................................... 9
2.6 Empirical Studies of Momentum Investment ...................................................... 10
2.6.1 Price and Industry Momentum Strategy ..................................................... 10
2.6.2 The 52-Week High Momentum Strategy .................................................... 12
2.6.3 Theoretic Explanations for Momentum Effect ........................................... 13
2.7 Sharpe Index Test ............................................................................................... 15
Chapter 3 Methodology ......................................................................................... 16
3.1 Stocks-Selection Strategy ................................................................................... 16
3.1.1 Fundamental Strategy - F-SCORE Portfolios ............................................. 16
3.1.2 Stable Return Strategy – High Dividend Portfolios Combined with
F-SCORE Portfolios........................................................................................... 18
3.1.3 Technical Strategy – The 52-Week High Momentum Portfolios ................. 20
v
3.2 Data and Sample ................................................................................................ 21
Chapter 4 Empirical Results ................................................................................. 23
4.1 Performance Analysis of F-SCORE Portfolios ................................................... 23
4.2 High-Dividend-Yield Portfolios combined with F-SCORE portfolios ................ 23
4.2.1 Correlation Analysis of Potential Determinants of Payout Policy ............... 23
4.2.2 Regression Analysis of Potential Determinants of Payout Policy ............... 24
4.2.3 Performance Analysis of High-Dividend-Yield Portfolios Combined
F-SCORE Portfolios........................................................................................... 25
4.3 Performance Analysis of Combined Fundamental and Technical Portfolios with
High Dividend Yields ............................................................................................... 27
4.4 Performance Analysis of Portfolios Formed by Using Only Fundamental Strategy
and by Using Only Technical Strategy ..................................................................... 28
Chapter 5 Conclusions ........................................................................................... 30
Chapter 6 Reference .............................................................................................. 32
Table 3-1: F-SCORE variables definitions and descriptions ..................................... 35
Table 3-2: The binary signal definitions for F-SCORE variables .............................. 36
Table 3-3: The definitions and descriptions of independent and dependent variables
for Tobit regressions ................................................................................................. 37
Table 3-4: The definitions and descriptions of independent and dependent variables
for the forecast regression ........................................................................................ 38
Table 3-4 (Continued): The definitions and descriptions of independent and
dependent variables for the forecast regression ........................................................ 39
Table 4-1: Portfolio returns of high F-SCORE and TWSI portfolios ........................ 40
Table 4-2: Correlation matrix between Tobit regression variables (DS) .................... 41
Table 4-3: Correlation matrix between Tobit regression variables (DE) .................... 42
vi
Table 4-4: The Tobit regression analysis (DS) .......................................................... 43
Table 4-5: TheTobit regression analysis (DE) ........................................................... 44
Table 4-6: P-value of Tobit regression (DS) ............................................................. 45
Table 4-7: P-value of Tobit regression (DE) ............................................................. 46
Table 4-8: Portfolio returns of F-SCORE portfolios, high-dividend-yield
portfolios, and TWSI................................................................................................ 47
Figure 4-1: Portfolio returns trends of high F-SCORE, high-dividend-yield, and
TWSI portfolios. ...................................................................................................... 48
Table 4-9: Sharpe index test for high F-SCORE, high-dividend-yield combined with
F-SCORE portfolios, and TWSI portfolios. .............................................................. 49
Table 4-10: The annualized returns of portfolios constructed under fundamental
strategy and technical strategy. ................................................................................. 50
Table 4-10 (continued): The annualized returns of portfolios constructed under
fundamental strategy and technical strategy.............................................................. 51
Table 4-11: The average monthly returns of fundamental portfolios and technical
portfolios respectively. ............................................................................................. 52
Table 4-12: The average portfolios returns of combined strategy and individual
strategy, respectively. ............................................................................................... 53
Figure 4-2: The accumulative returns figure of F-SCORE portfolios, high-dividend
yield portfolios, 52-week momentum portfolios and TWSI portfolios. ..................... 54
Figure 4-3: The accumulative returns figure of F-SCORE portfolios only,
high-dividend-yield portfolios only, 52-week momentum portfolios only and TWSI
portfolios for the sample periods May 1990 to April 2011. ....................................... 55
                                    

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