价值投资法於台湾股市适用性之研究—电子产业与非电子产.PDF

風險管理學報 第三卷 第一期 2001年 5 月 Journal of Risk Management Vol.3 No.1 May 2001 pp.99-121 價值投資法於台灣股市適用性之研究 — 電子產業與非電子產業之配對比較 The Comparative Study of Valuation Models In Taiwan’s Electronic and Non-electronic Stock-Listed Companies 俞海琴* (Hai-Chin Yu)　葉宜生**(Yi-Shen Yeh) 摘要 價值投資法主要之精神係在透過對公司營運債權的分析，找出公司的真實 價值。本文乃選取台灣股市 1994-1999 年上市之電子產業為主要樣本，並依該 產業樣本之規模、成立年數、銷貨額、每股盈餘等標準，於傳統產業中尋找對 應樣本，該對應樣本與主要樣本雖在規模、年數、銷貨額、每股盈餘上相似， 但卻有不同的股價。再以七種不同的評價模式如折現價值評價法、相對指標法、 實質選擇權評價法等，來驗證這二組樣本在真實價值與市場價值之差異，並找 尋各組樣本最適用之評價模式。本文以時間數列與橫斷面混合資料為樣本，並 發現在折現價值評價法中，電子業以 ?? 評價較佳；而非電子產業以 ?? 評價 較佳。而 ?? 法均不適用於兩產業評價上。而非電子產業在市價帳面價值法及 銷售比法評價上，顯著較電子產業有較佳之預估準確度。 關鍵詞：價值投資法、評價理論、折現現金流量。 Abstract The insight of value investing is to find the intrinsic value of firms. We select Taiwans stock-listed companies in electronic and non-electronic industries from 1994-1999 based on the similar sizes, history, sales and earnings per share. Comparing and testing these two pairs of industries in seven different valuation models, such as DCF, relative valuation model and OPM, this paper tries to find the optimal valuation model fitted to each industry. Using Theil’s U and t test , we find that electronic industries show more correct valuation in FCFF and EVA than non- electronic industries, but not significant. While non-electronic industries show more significant and correct valuation in P/BVPS and P/Sales than electronic industries. Non-electronic industries show more correct valuation in OPM but not significant. Keywords：Value Investing, Valuation Model, Discounted Cash Flow. * 中原大學國貿系所教授，Professor, Department of International Business, Chung-Yuan Christian University, Chungli,