以PEG、PERG與PERDG指標建構投資組合與績效評估

Portfolio Selection and Performance Evaluation Based on PEG、PERG and PERDG Ratio

本研究以台灣股票市場為研究對象，參考Estrada（2005）所提出之投資組合建構方法，在本益比指標的基準下，考量公司預期成長率、系統風險與下方風險等因子，設計PEG、PERG與PERDG指標。同時，本研究依上述指標建構價值型股票投資組合，並與傳統之低本益比指標進行投資績效比較，進而提供市場參與者建構投資組合的參考依據。實證結果顯示，若以全部上市（櫃）公司為擇股對象，在短期績效表現方面以PE指標與PEG指標為佳；而在長期績效表現方面，則以PE指標與PERDG指標為佳。若進ㄧ步將擇股對象依產業區分為電子類股與非電子類股，則發現在電子類股中，短期與長期投資績效表現皆以PE指標所建構之投資組合為佳；而在非電子業中，不管是短期或長期績效表現，皆以PE指標與PERDG指標所建構之投資組合為較佳。 The purpose of this paper is to compare the investment performance for stock portfolios formed on the basis of PEG ratios, PERG ratios, and PERDG ratios in Taiwan stock market. Based on the methodology proposed by Estrada (2005), we adjust the PE ratios by growth, systematic risk and downside risk, and compare the performance of a low PE strategy to that of these three value strategies. Due to its simplicity and plausibility, the outperforming strategy could help to add to the arsenal of valuation tools used by analysts. The empirical results indicate that, in all samples, the PE-based and PEG-based strategies outperform all other strategies in the short term, and the PE-based and PERDG-based strategies outperform all other strategies in the long term. Furthermore, if we divide the sample data into two groups, the first one is electronic sector, the outperformance occurs in the portfolio sorted by the PE-based strategy; and the second one is non-electronic sector, then the PE-based strategy and PERDG-based strategy outperform those sorted by other strategies.