This paper is seeking a way to improve Piotroski’s(2000) current F-Score portfolio, we have chosen four high performance factors from O’Shaughnessy(2011), that were Price to book ratio, Price to earning ratio, Price to sales ratio, Dividend yield, plus book to market ratio which use in F-score, there are six factors total. Using the results of each of the six factors, we can get the best 30% criteria of them, and by combining the each criteria, we can get 63 combinations. The empirical results show that, at Price to book value, Price to earning ratio and Price to sales ratio, same as Taiwan and U.S. stock market, the return fall when the percentile rise, but when it comes to Dividend yield, Taiwan’s stock market have a huge return bump compared to U.S. stock market. And the return of the 63 combination shows that, (1) Muti-factor did better than single factor. (2) More factor doesn’t mean better return. (3) Good performance at single factor doesn’t necessarily mean good performance while combining with other factors.
摘要 i
Abstract ii
誌謝 v
目錄 vi
表目錄 viii
圖目錄 ix
第壹章 緒論 1
第壹節 研究背景與動機 1
第貳節 研究目的 3
第參節 章節架構 4
第貳章 文獻探討與回顧 5
第壹節 基本面分析 5
一、價值股與魅力股 6
第貳節 F-Score選股模型 7
一、財務表現訊號：獲利能力 8
二、財務表現訊號：財務槓桿、流動性與資金來源 8
三、財務表現訊號：營運效率 9
第參節 績優因子 10
一、淨值市值比Book to Market Ratio（BM） 10
二、本益比Price to Earning Ratio（PE） 10
三、股息殖利率Dividend Yield 11
第參章 研究方法與設計 12
第壹節 實驗設計 12
第貳節 樣本資料 14
一、大盤績效 14
二、F-Score、績優指標定義與計算方式 16
第參節 資料取用規則
一、初始資料期間偏誤 21
二、未來資料取用偏誤 21
三、財務資料取用規則 22
第肆節 交易機制 23
一、選股策略選定 23
二、等分計算方法 24
三、日期參數 24
四、其他參數 24
五、買賣機制 25
第伍節 資料計算方式 26
第肆章 實證結果 28
第壹節 F-Score與績優指標各等分績效表現 28
一、F-Score實證結果 28
二、淨值市值比與股價淨值比實證結果 31
三、本益比實證結果 34
四、股價營收比實證結果 36
五、股利殖利率實證結果 38
第貳節 F-Score與淨值市值比之關係 41
第參節 F-Score與績優指標選用條件之排列組合 50
ㄧ、F-Score與績優指標之選用條件決定 50
二、F-Score與績優指標選用條件之排列組合實證結果 50
第伍章 結論 53
參考書目 55
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