The Performance of Portfolio: Based on F_SCORE

[[abstract]]本研究參考Piotroski (2000) 所提出之F_SCORE 並試圖找出更適合台灣股票市場的投資準則(D_SCORE)。首先以帳面市價比先區分成長股與價值股，選取價值股形成投資組合，同時利用一個景氣循環來檢視報酬的表現。實證結果發現，從2005年至2009年間，利用F_SCORE當作投資準則形成的投資組合能獲得超額報酬率達18 16%，利用D_SCORE當作投資準則也能賺到17 22%的超額報酬。另外，價值型股票的投資組合報酬來源會集中在小規模的公司上，也發現低價股公司報酬表現顯著較優於高價股公司。D_SCORE投資準則在景氣衰退時期選取能力較F_SCORE投資準則佳。兩種投資準則所包含的財務訊號指標在連結過果去歷史資訊與預測未來報酬表現有正向關係。兩種投資準則皆能當成投資人選股時的參考依據。[[abstract]]This paper follows Piotroski (2000) using F_SCORE to construct a portfolio and try to find a more suitable indicator named D_SCORE I formed a portfolio by value stock which is selected based on book-to-market ratio And I use a business cycle to examine the performance This paper shows F_SCORE will generate about 18 16% annual return; however D_SCORE will create about 17 22% annual return over the investment horizon In addition the performance of this portfolio also varies from firm size and price Firm with small size and low price perform better This paper also demonstrates during recession D_SCORE is more effective than F_SCORE Overall the performance of two investment criteria containing in the financial signal indicators are positively related in linking the results to historical information and predict future returns Also the two criteria serve as a reference for investor