台灣政治循環下股票市場投資組合績效之探討

The Study of Performance of The Stock Market Portfolio in Taiwan's Political Cycle

台灣自1996 年起，每隔四年舉行一次總統大選，本研究藉由1996 年至2012 年間總統大選前後一年的股票報酬率資料來探討台灣股市是否存在政治循環現象，並以Piotroski（2000）的F_score 為基本架構，在考量企業獲利能力、經營績效及稅後淨利與營運現金流量差異等因素，修訂提出A_score 之投資策略，探討A_score 報酬率是否優於股票市場指數報酬率與F_score 之報酬率。經過實證發現，大選前一年的股票市場指數報酬率均優於大選後一年，證實台灣股票市場確實存在「政治景氣循環」現象，本研究所提之A_score 報酬率除了在1996 年5 月20 日至2000 年5 月20 日這段期間，優於大盤指數而略遜比F_score 外，餘績效均優於大盤指數及F_score 報酬率。

Ever since 1996, Taiwan has held presidential elections every four years. This research investigates whether the phenomenon 'political business cycle' exists in Taiwanese politics by comparing the stock return index of the years preceding and succeeding Taiwanese presidential elections held between 1996 and 2012. The framework of the research is based on Piotroski's (2000) F_score and took corporate profitability, operating performance, net income after tax, and free cash flow into consideration. In combination of the aforementioned factors, the researcher proposed a new index of A_score as an investment strategy, and examined whether the returns of the A_score were superior than both the stock market return and F_score return. The empirical results indicate that the stock market return of the years preceding elections was higher than the one of the succeeding year, proving that political business cycle does exist in the Taiwan stock market. The A_score proposed by this research outperformed the stock market return as well as the F_score profitability with the exception from May 20th, 1996 to May 20th, 2000 when performance was only slightly lower than the F_score but still better than the stock market return.