價值型選股策略之另類思維：以技術分析運用在我國上市公司價值型選股策略之實證

An Empirical Study of Combining Technical Analysis with Value Stock Selection Strategy

價值型投資策略的起源始於“價值投資之父”班傑明．葛拉漢，他認為投資人應買進淨值／巿價比（B／M比）較高的股票。Piotroski（2000）則以九項與基本面相關的基本面訊號總和成一個F_Score的指標，其實證結果發現F_Score值較高的投資組合能產生優於高B／M比投資組合的超額報酬。故本研究以Piotroski（2000）之F_Score為基準，並根據台灣資本市場環境加以修正，除加入現金流量與公司治理變數外，並考量產業面之影響，建立H_SCORE選股策略，以探討H_SCORE選股策略是否能產生優於F_Score選股策略之報酬，之後並採用技術分析中的KD、MACD與RSI，作為操作H_SCORE選股策略所篩選的個股之依據，以比較於加入技術指標後之交易策略是否能有效提升投資組合的報酬。研究結果顯示，H_Score選股策略為一適合長期持有之投資策略，不僅報酬率高，且波動性亦較低，但於加入技術指標後，技術分析並無法有效提升H_Score選股策略之報酬率，出現此結果之原因可能有二：1、技術分析係屬於適合進行短期投資之投資策略，故若運用於中長期報酬之投資策略上，會使技術分析之判斷失準，因而影響到報酬率。2、H_Score選股策略除了根據公司基本面之財務訊號篩選出體質較強之公司外，亦運用B／M比篩選出價值被低估之公司，故運用技術分析來作為買進與賣出時機之判斷並無法提升報酬率。

The idea of value investment strategy came from Benjamin Graham, he believed that investors should buy stocks with higher book-to-market (B/M) ratio. Piotroski (2000) chose nine fundamental-based signals as an aggregate signal measure, F_Score, and showed that a portfolio with higher F_Score outperformed a portfolio with higher B/M ratio. This study, based on Piotroski's (2000) F_Score, is amend as the 'H_Score' stock selection strategy to consider the environment of Taiwan stock market with additional variance of cash flow and corporate governance. We also expect that the H_Score stock selection strategy outperforms F_Score stock selection strategy. It also uses three technical indicators: KD, MACD, and RSI as the base of H_Score stock selection strategy manipulation. The result shows that H_Score stock selection strategy is a good strategy for long-term investment, which has higher return and lower volatility. However, our study also show that technical analysis can't improve the return of H_Score stock selection strategy. The reason might include: 1. Technical analysis is more effective in short-term investment, so when we use it in long-term investment, technical analysis couldn't improve the performance. 2. H_Score stock selection strategy not only selects financially strong firms by fundamental-based signals but also selects firms with high B/M ratio, so using technical analysis as the base of this strategy's manipulation cannot improve the performance.