低本益比選股策略之投資績效評估

The Performance of Applying Low P/E Ratio Investment Strategy on TWSE Firms

本研究採用Graham（1973）所提出的價值型投資策略，以低本益比策略進行選股，再綜合考量規模效應、淨市值比效應，並搭配不同的持股期間與不同的風險貼水，建構不同之投資組合，藉由實證分析尋求最佳之投資策略、持股期間及風險貼水。與既存研究的相異之處在於：本研究先採用低本益比策略，再加入其他選股指標形成多元的投資策略，進而分析何種策略最佳，而非探討個別指標是否會影響投資報酬率。研究結果發現，以投資策略而言，投資策略（3）低本益比＋不含大規模公司＋不含低淨值市價比策略可獲取較佳的投資報酬率。以持股期間而言，持股期間半年之績效最佳。以風險貼水而言，選擇低風險貼水的個股形成投資組合可替投資人獲得較佳投資報酬率。

This research adopts the value investing strategy introduced by Graham (1973) to construct portfolios by selecting stocks with low P/E ratio, comprehensively considering scale effects and B/P ratio, and matching with holding period and risk premium. Further, this research looks for optimal portfolio, duration and risk premium through empirical analysis. The distinctive feature of this research, rather than just discuss the effect of individual index on return, is to adopt the low P/E ratio strategy first, and followed by other picking indices to form multidimensional investing strategies to determine the optimal strategy. The research shows that strategy (3) low P/E ratio + exclusive of large-scale companies + exclusive of low B/P ratio may yield better return on investment. In respect of holding period, the duration of half-year yields the best performance, while portfolio with low risk premium stocks may achieve better return if risk premium is considered.