應用基本面指數建構觀光類股投資法則

Apply Fundamental Index for Tourism Sector Stock Portfolio

本研究以 Arnott, Hsu and Moore（2005）發展出的基本面指數為研究論據，應用在我國觀光類股的投資組合，本研究發現，以台灣的觀光基本面指數之「帳面價值」、「營業收入」、「淨利」所組成的基本面權重分配，能帶來明顯超越市值加權指數的效果，尤其是淨利因子最為突出。而基本面財務指標中的「現金流量」因子，卻未達到相對的超額報酬，甚至出現負報酬，進而拉低觀光基本面綜合權重指數。這是目前國內外基本面指數文獻的新發現，亦是本研究之主要貢獻。從長期研究的投資策略角度而言，投資人若投資觀光類股，當聚焦在淨利表現較佳的個股，應有較令人滿意的報酬。

Based on Arontt, Hsu and Moore(2005), we apply the fundamental index to tourism sector in Taiwan for constructing a tourism fundamental index portfolio. The outcomes of the portfolio strategy consisted of four fundamental factors are bood values, sales, net profits and cash flow are not performed well enough respectively. Three positive factors are book values, sales and net profits. The most magnificent factor to stock price performance is net profits, but the cash flow factor has negative impact. The finding that net profit has the most influential impact to tourism sector is our contribution to literature. Also, we suggest the investors should focus on net profit when they invest in tourism stocks.