投資風格對風險調整報酬的影響－－台股之實證分析

A Study on the Impacts of Investment Styles on Risk-Adjusted Returns - Evidences on TSE Stocks

本研究針對台灣證券交易所802家上市公司，探討價值──成長型投資風格對風險調整報酬之影響，研究中採用三個過去研究中最普遍探討的價值；成長型風格指標股價淨值比（PBR）、股價營收比（PSR）、與本益比（PER），並以夏普比率做為風險調整報酬的衡量變數。本研究使用ANOVA變異數分析，檢定在各指標不同的水準下，其所對應的夏普比率均值的差異程度，驗證結果顯示：三個指標的夏普比率均值檢定皆達到顯著性程度，亦即不同水準的價值──成長型風格的確會影響風險調整報酬；此外，分析結果亦顯示，PBR、PSR及PER的平均值水準越低，其對應的風險調整後報酬率越高。值得注意的是，本研究另特別發現，PBR指標選股的穩定性最佳，PER次之，PSR則相對遜色。我們同時發現低PER類組（都是每股盈餘為負數的股票）其夏普比率均值異常的低，顯示市場對虧損的公司其股票的反應是給予相對很差的風險調整報酬評價。上述這些研究結果本研究結果可提供價值──成長型風格的個別投資人或機構投資人，在投資選股及選股指標的採用上，有一定的助益。

This study explores the impact of value-growth investment styles on risk-adjusted returns of TSE-listed stocks. We use three widely-used benchmark factors for value-growth investment styles, which are price-book ratios (PBR), price-sales ratios (PSR), and price-earnings ratios (PER). In addition, the Sharpe ratio is used as a proxy of risk-adjusted returns in our investigation. Our ANOVA findings show that the average Sharpe ratios of various factor levels are not identical significantly for all the three respective factors, PBR, PSR and PER. In other words, various degrees of value-growth investment style have significant impact on risk-adjusted returns of stocks. In general, the lower the levels of three factors are, the higher the risk-adjusted returns will be. However, we find this performance trend stability is the highest for PBR, next for PER, and the lowest for PSR. It is also notable that the average Sharpe ratio of the lowest PE level group is abnormally low, showing that investors tend to cast relatively poor risk-adjusted evaluation on listed companies with negative earnings.