價值評估與投資策略-以台灣電信通訊產業為例; Valuation and Investment strategy-Telecom Industry in Taiwan

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/12255

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12255

Title:	價值評估與投資策略-以台灣電信通訊產業為例;Valuation and Investment strategy-Telecom Industry in Taiwan
Authors:	林福清;Fu Ching Lin
Contributors:	財務金融研究所
Keywords:	投資策略;資產配置;技術分析;Ohlson評價模型;電信通訊;technical analysis;asset allocation;investment strategy;Ohlson;Telecom
Date:	2008-06-20
Issue Date:	2009-09-22 14:43:34 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本文主要分成三個部份，包含基本分析、技術分析及資產配置。其中，基本分析是以Ohlson評價模型，將會計資訊和股價作一連結；經由評價模型，可以估算出一家公司的理論股價，再藉由估算出的理論價格和市場上的實際價格作一比較，可找出被高估或被低估的股票，因此可以買進被低估的股票同時放空被高估的股票，藉此投資方式獲得超額報酬。而技術分析則著重在移動平均線、KD隨機指標及RSI相對強弱指標上，設定不同的條件作為買賣訊號的依據。最後，資產配置則是使用馬克維茲資產配置模型，找出各資產的最適權重。本文所著重的產業為台灣的電信通訊產業，實證結果顯示以Ohlson評價模型評估出的股價，具有高度參考價值，即可利用理論價格與實際價格的偏離，擬定投資策略，獲得報酬。另外，研究期間可利用技術分析指標，在電信通訊產業獲得正報酬，其中，又以RSI相對強弱指標的效果最佳。在資產配置方面，每三個月重新設定權重一次，整個研究期間共重新設定24次，其中只有6次出現負報酬，15次的正報酬高於大盤報酬，顯示傳統的M-V模型仍適用於台灣的電信通訊產業。 This essay includes fundamental analysis, technical analysis and asset allocation. In fundamental analysis part, we use Ohlson valuation model to connect accounting information and stock price. We can evaluate an intrinsic stock price through valuation model and compare with real stock price, and then we can know what’s stock is under price or overprice. When we know that, we can buy the under price stock and sell the overprice stock at the same time, by this way we can get an abnormal return. In technical analysis part, we focus on MA, KD and RSI indication. In asset allocation part, we evaluate the best weight on each asset through Mean-Variance model. The samples in this essay are focus on telecom industry in Taiwan. The result is that the stock price evaluated by Ohlson valuation model is useful. We can set an investment strategy using the bias between intrinsic stock price and real stock price and can get abnormal return. We also can get abnormal return by technical analysis. RSI indication is the best tool in technical analysis. Last, when we use asset allocation strategy to invest, we try to rebalance each three months. In whole research period, there are 24 trade times, and only 6 times is negative return, and there are 15 times that performance is higher than index. We can say that the tradition M-V model is still useful on telecom industry in Taiwan.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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