不同價值-成長型投資風格之極端風險調整報酬分析

The ANOVA Analysis of Rates of Return Adjusted by Extreme Risk on Various Levels of Value-Growth Investment Styles

本研究探討不同價值－成長型投資風格對極端風險與極端風險調整後報酬之影響，期望能藉此研究來對同時兼顧極端風險與絕對報酬考量的投資操作帶來更全面性的績效評估標準。結果顯示無論使用股價淨值比（Price-Book Ratio, PBR）、股價營收比（Price-Sales Ratio, PSR）、本益比（Price-Earnings Ratio, PER）三項價值－成長型風格指標中的任一種，不同高低水準的極端風險損失值的確存在顯著差異，惟其檢測能力以本益比最佳，價淨值比次之，股價營收比較為遜色。然而，在不同高低水準的極端風險調整後報酬方面，僅有以股價營收比指標檢測時，才存有差異顯著性；此結果說明，在檢測不同價值-成長型投資風格對極端風險調整後報酬是否造成差異影響時，股價營收比指標之檢測能力明顯勝出。

This study examines whether the various levels of value-growth investment styles bring impacts on the extreme risk exposure and rate of return adjusted by extreme risk of TSE-listed stocks. We employ three evaluation benchmark factors for value-growth investment styles, which are price-book ratios (PBR), price-sales ratios (PSR), and price-earnings ratios (PER). Moreover, the renowned Value-at-Risk (VaR) and Risk-Adjusted Return On Capital (RAROC) are respectively used as proxies of extreme risk exposure and rate of return adjusted by extreme risk in our investigation. Our ANOVA findings show that the average VaR of various factor levels are not identical significantly for all the three evaluation benchmarks with PER as the champion on their discriminant power. However, the average RAROC of various factor levels are not identical significantly for only the benchmark PSR. In other words, PSR outperform to the other two counterparts PBR and PER on the discriminant power of rate of return adjusted by extreme risk.