Portfolio Selection and Performance Evaluation Based on PEG and PERG Index

[[abstract]]中文摘要 本文以Estrada (2003)所提出的PEG及PERG指標，藉由調整盈餘成長率及風險 因子，來建構不同投資策略下的股票投資組合，來檢驗台灣股票市場之半強式效 率性，並與傳統所認知的以低P/E(本益比法)，所建構的股票投資組合，比較其投 資績效及夏普指標高低，希望能提供股市投資人，知道如何採取投資策略，才能 獲得最佳的投資報酬。本研究以台灣證券市場1996年∼2005資料，作投資組合績 效分析。實證結果發現，在不分產業下，一年期、二年期與三年期之投資績效， 以P/E指標表現最佳。在電子業下，一年期、二年期與三年期之投資績效，P/E與 PEG指標投資組合之表現均優於大盤，顯示若投資於電子業個股，P/E與PEG指標 均為可行之參考指標，其中以P/E指標最為適合。在非電子業下，一年期、二年期 與三年期之投資績效，P/E指標表現優於大盤，但市場之表現較優於PEG與PERG 指標，顯示P/E指標在非電子業之投資上，亦為最好之參考指標。因此，本研究建 議證劵市場之投資人，以P/E、PEG與PERG指標建構投資組合，應以P/E指標最主 要參考指標，如此才能獲得較高之報酬。[[abstract]]Abstract This paper uses the methodologies proposed by Estrada (2003) to construct the stock portfolios and compare their investment performance based on several investment strategies including the P/E PEG and PERG index There are many listed stocks traded on TSE (Taiwan Stock Exchange) are used as research targets This paper contains the sample periods from 1996 to 2005 For all of the listed stocks the empirical results indicate that the P/E ratio outperform the buy and hold strategy for 1~3 years investment horizon In the electronics industry the empirical results indicate that the P/E ratio and PEG index outperform the buy and hold strategy for 1~3 years investment horizon The investment combination excluded the electronics industry from the listed stocks the empirical results indicate that the P/E ratio outperform the buy and hold strategy for one-year investment horizon This paper suggested that the P/E ratio will be better than PEG and PERG on investment performanc