| 摘要(英) |
The stock market conforms to the Efficient Market Theory. Stock prices eventually reflect the real value of companies. Two models of investment decision making, which are Value Investing style and Growth Investing style, are discussed and compared in this study. Morningstar, an internationally well-known investment research institution and authoritative mutual fund rating agency, also lists two factors that affect the performance of mutual funds for stocks or portfolios of mutual funds. The method gives a conscientious investment style to investment classification and fund tracking criteria, which drives this study to distinguish the level of returns between value stocks and growth stocks by a matrix with nine squares, the Style Box.
In Taiwan, in terms of style classification, there seems to be little specific information for investment style. With diverse development of modern investment products and great progress of information technology, the “Quantification Method” is employed for investment analysis in practice to construct a strategic portfolio or a long-short dynamic portfolio. It is considered that such a method may become the trend of future quantitative modules. This study deduces to quantitative modules and the contemporarily well-known investment genius. The value factors and the scale factors commonly used in investment are applied and the classification model for stocks or funds used by the well-known Morningstar is employed to classify the domestic companies listed on TSE in the past three years according to the X and Y-axises of the Style Box, a matrix with nine squares, divided by scale and style. The average return rates of the stocks in the nine squares, including value companies, core companies and growth companies with small, medium and large scales of portfolios, respectively, can be used as the reference to analyze the characteristics of investment style of Taiwan stocks. The followings are found empirically:
1. In Taiwan, value stocks slightly outperformed growth stocks for the past three years, which appears to be similar to the result that performance of value stocks is superior to that of growth stocks, as shown in some of foreign literature. However, it does not conflict with the result that performance of growth stocks is superior to that of value stocks shown in other foreign literature. The main reason is that the difference of periods makes the divergence.
2. During the period under study, the return of value stocks is superior to that of growth stocks. However, the level of outperformance is tiny and the difference between returns is very small, so these can determine the consistency. The main reason is that returns of Taiwan stocks for the past three years are traced by a short-term (one year) performance. Furthermore, Taiwan stock market is a shallow-plate market with high volatility. Under the circumstances of a shorter period or higher volatility, growth stocks may yield a better performance. When we probe the reason, we find that Taiwan stocks for the past three years directly present that the Taiwan stocks’ embedded value of the capital market has been emerging because of the macroeconomic environment and the business cycle. The final factor that controls stock prices is the trend of economic benefits. Stock prices of companies will eventually reflect their real value in the long term, which conforms to the Efficient Market Theory. |
| 參考文獻 |
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