應用巴菲特中長期投資原則的交易策略於台股及美股市場之分析與比較;On Analyzing and Comparing the Trading Strategies Applying Buffett′s Medium- to Long-term Investment Philosophy in Taiwan and U.S. Stock Markets

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Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/98239

Title:	應用巴菲特中長期投資原則的交易策略於台股及美股市場之分析與比較;On Analyzing and Comparing the Trading Strategies Applying Buffett′s Medium- to Long-term Investment Philosophy in Taiwan and U.S. Stock Markets
Authors:	陳宥汝;Yu-Ru, Chen
Contributors:	資訊管理學系
Keywords:	量化交易;基本面選股;中長期投資;回測;Quantitative trading;Fundamental stock selection;Mid-to-long-term investment;Back testing
Date:	2025-07-03
Issue Date:	2025-10-17 12:31:44 (UTC+8)
Publisher:	國立中央大學
Abstract:	投資人常透過分析公司的基本面來建構適合中長期投資的選股策略，而應用基本面分析與長期持有的投資人當中，以巴菲特(Warren Buffett)長期投資的卓越績效尤其受到關注，因此引起多位學者對其投資理念研究的興趣。然而，現有的研究多專注於單一市場的分析，較少同時比較不同市場的表現，且對於選股條件組合與參數變化對績效影響的探討亦有限。本研究主要基於巴菲特投資原則建立中長期選股策略，將相似的策略應用於台灣與美國的股票市場，檢視不同參數組合對策略表現的影響，並且比較兩市場在績效與風險上的差異性。本研究使用選股回測系統進行中長期投資策略在雙市場的驗證，回測的期間為2003年到2024年。使用的策略由股東權益報酬率、盈餘再投資率、稅後淨利、股利支付率及董監持股比例等財務指標所組成，並利用本益比作為進出場條件。本研究除了分析策略的績效、風險與入選股數變化，也針對策略中的條件及參數進行調整，並探討布林通道濾網對避開市場大幅下跌的效果。研究結果顯示，以巴菲特投資邏輯為出發點的同一策略，在不同市場環境下都呈現一定的適用性，且策略的參數條件有調整的可能性，經由回測可提供投資人具實證基礎的股票中長期投資建議。 ;Investors commonly analyze company fundamentals to develop stock selection strategies suitable for medium to long-term investment. Among proponents of fundamental analysis and long-term holding, Warren Buffett′s exceptional and sustained investment performance has garnered attention, inspiring numerous scholarly investigations into his investment philosophy. However, existing research primarily focuses on single-market analysis, with limited comparative studies across different markets. Furthermore, there has been insufficient exploration of how the combination of stock selection criteria and parameter variations affects performance. This study validates a medium to long-term investment strategy across Taiwan and U.S. stock markets using a stock selection and back testing system, with a comprehensive back testing period from 2003 to 2024. Strategies are constructed using financial indicators such as return on equity, earnings reinvestment rate, net income after tax, dividend payout ratio, and shareholding ratio of supervisors, with the price-to-earnings ratio used as a signal for stock entry and exit decisions. In addition to analyzing performance, risk, and stock selection changes, the study also adjusts strategy conditions and parameters within the strategy. It further investigates the effectiveness of incorporating a Bollinger Band to mitigate significant market downturns. The results indicate that this Buffett-inspired strategy is applicable across diverse market environments, with adjustable parameters. The findings offer empirically grounded recommendations for investors seeking medium- to long-term stock investments.
Appears in Collections:	[Graduate Institute of Information Management] Electronic Thesis & Dissertation

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