H-SCORE 基本面投資策略在台股市場之應用 -以台灣市值前百大公司與半導體公司為例

Abstract

本研究以台灣股票市值前百大與半導體樣本為研究對象，研究期間分為年資料與季資料，先透過九個財務比率因子檢測因子與股價之相關性，發現市值前百大樣本中，存貨週轉率與應收帳款週轉率因子對股價沒有相關性，半導體樣本中，研究發展費用率與存貨週轉率對股價沒有相關性，將不具相關性的因子踢除後，再利用剩餘七個財務比率因子建構一個 H-SCORE 分數系統，區分高分群與低分群，針對年資料持有一季、半年與一年並每年換股，季資料持有一個月、二個月與三個月並每季換股，藉此分析不同樣本期間之投資策略與大盤間的關係。\n從實證結果發現:\n1. 在市值前百大樣本年資料與季資料中，高分群公司報酬率都高於低分群公司，證\n實 H-SCORE 基本面財報比率系統有效。但以買高分群賣低分群策略來看，只有年資料有效戰勝大盤，故基本面分析更適合持有期間越長的投資策略。\n2. 在半導體樣本年資料與季資料中，高分群公司報酬率均低於低分群公司，證實 H-SCORE 基本面財報比率系統無效。若採取買高分群賣低分群策略來看，年資料與季資料都無法戰勝大盤，代表半導體公司股價不只受基本面財報比率影響，反而更容易受到消息面、籌碼面與技術面等影響，基本面對於半導體股價反應較慢。\n3. 由實證結果可知，Potroski提出的投資策略指標F-score在台股並非完全適用，只適用於市值前百大公司，對於半導體公司則無效。

From the empirical results:\n1. In the top 100 sample year data and quarterly data of market capitalization, the return rates of high-segment companies are higher than that of low-segment companies, confirming the effectiveness of the H-SCORE fundamental financial reporting ratio system. However, from the perspective of the strategy of buying high scores and selling low scores, only annual data can effectively beat the market, so fundamental analysis is more suitable for investment strategies with longer holding periods.\n2. In the semiconductor sample year data and quarterly data, the return rates of high- segment companies are lower than those of low-segment companies, confirming that the H-SCORE fundamental earnings ratio system is invalid. If the strategy of buying high scores and selling low scores is adopted, neither annual data nor quarterly data can beat the market, which means that the stock price of semiconductor companies is not only affected by the fundamental earnings ratio, but is more likely to be affected by news, bargaining chips, and technical aspects. The reaction to semiconductor stock prices has been slower.\n3. From the empirical results, it can be seen that the investment strategy indicator F-score proposed by Potroski is not completely applicable to Taiwan stocks. It is only applicable to the top 100 companies in market capitalization, and is not valid for semiconductor companies.