Stock Selection Strategies in Taiwan Stock Market: Comprehensive Evidence on Various Stock Characteristics

[[abstract]]本論文研究目的在探討選股策略在台灣股市的績效分析，資料來源為台灣經濟新報，以台灣股票市場2000年至2012年的上市公司為樣本，選股策略主要包括低本益比、低股價淨值比和高股東權益報酬率。在篩選出這些個股作為投資組合標的後，再行計算此投資組合在未來十二個月的投資報酬績效。研究結果顯示，使用低本益比、低股價淨值比及高股東權益報酬率之選股策略可獲得正報酬。而在小公司、低過去報酬率、低波動度、低週轉率、高負債比的個股中，依此策略所建立的投資組合具有更高的投資報酬率。最後，依此策略所建立的投資組合在低外資持股、高投信持股、以及低自營商持股的個股中可獲得更高的投資報酬率。[[abstract]]The purpose of this paper is to test the effectiveness of stock selection strategy based on low PE ratio low PB ratio and high ROE using a sample of stocks listed on the Taiwan stock market during 2000-2012 Results indicate that investing TWSE-listed stocks with low PE ratio low PB ratio and high ROE receives significantly positive market-adjusted reruns for a 12-month holding period This stock selection strategy is more effective for small stocks and stocks with lower past returns lower volatility lower share turnover higher leverage lower QFII and securities dealer ownership and higher mutual fund ownershi