價值股與成長股的投資策略分析–考量股市循環之實證

VALUE INVESTING AND GROWTH INVESTING REGIMES
- EVIDENCE FROM THE STOCK MARKET CYCLES　

許光華

朝陽科技大學財務金融系副教授

李見發

朝陽科技大學財務金融系助理教授

嚴宗銘

朝陽科技大學保險金融系副教授

吳采真

朝陽科技大學財務金融研究所碩士

摘要

　　雖然有很多研究顯示價值股的投資績效優於成長股，然而，有些研究則發現此兩種策略的投資績效皆會隨著股市循環而互有優劣。此一現象在台灣股市是否存在？因此，本研究嘗試著加入股市循環的因素來加以探討。在研究時，首先採用Lakonishok, Shleifer, and Vishny（1994）的單因子與雙因子分類法，作為區分價值股與成長股的依據；其次，參酌Pagan and Sossounov（2003）之「修改的B-B法」，判別股市循環的轉折點，據此比較前述兩種策略的投資績效。實證結果有四點：其一，多空市場之投資績效確實有顯著的不同；其二，多空的轉折點與交易量的多寡，是投資者進出股市擇時的重點；其三，台灣股市的「價值效應」與股市循環無關；其四，相同的股票在多空不同的週期，可能被歸為不同類別的股票，此亦顯示出投資者須適時檢視投資組合的重要性。上述的發現，可作為投資者擬定投資策略時的參考。　

關鍵詞：價值股策略、成長股策略、股市循環、修改的B-B法

ABSTRACT

　　Although there is a lot of studies have shown the performance of value investing is better than growth investing; however, some studies also found that these two strategies got good and bad status during the stock market cycle. Is this the same in the Taiwan stock market? Therefore, we attempt to explore the suitability by adding the stock market cycle factors. Firstly, we apply the model of Lakonishok, Shleifer, and Vishny (1994) as the distinction factor between value stocks and growth stocks ; Secondly, we use Pagan and Sossounov’s (2003) "modified B-B algorithm" to determine the turning point in the stock market cycle, whereby the aforementioned two strategies have been compared with investment performance. There are four empirical results : First, the performance of these two strategies have significantly differences in bull and bear market ; Second, the turning point and trading volume are the key issues of market timing; Third, the Taiwan stock market’s "value effect" has nothing to do with the stock market cycle; Finally, due to the same stock at different cycle may be classified as different types of stocks, it means that investors have to review their portfolio in a timely manner . The above findings will be useful for the investors to set their strategies.

Keywords: Value Investing, Growth Investing, Stock Market Cycle, Modified B-B Algorithm　　

回目錄

臺灣上市製造業公司的國際化程度與績效關係之再探：傳產業與資電業之比較

REEXAMINATION OF INTERNATIONALIZATION AND PERFORMANCE FOR LISTED TAIWANESE MANUFACTURING FIRMS : A COMPARISON OF TRADITIONAL INDUSTRIES AND THE ELECTRONICS INDUSTRY　

陳瓊蓉

中原大學企業管理學系助理教授

沈純慧

全鎰工業股份有限公司國外業務代表

摘要

　　本研究以臺灣229家上市製造業公司為樣本，探討傳產業與資電業公司的國際化動機差異，對於國際化程度與績效關係的影響。有別於過去多數文獻，本研究以結構屬性的加權綜合指標來衡量公司國際化程度，以避免過去文獻用單一構面指標所造成的衡量問題。本文採用時間序列長期追蹤資料，利用一般最小平方法，控制出口密集度、產品多角化程度、研發與行銷密集度、負債比率、公司規模等變數，探討臺灣上市製造業公司的國際化程度對績效影響。研究發現樣本公司的海外子公司家數與海外子公司分佈國家數之平均值顯著低於歐美日等先進國家，顯示臺灣上市製造業公司處於國際化進程較早期階段，且海外子公司家數高於海外國家數，臺灣上市公司的國際化深度大於國際化廣度。另實證結果顯示傳產業公司的國際化程度與績效呈現∩型關係，而資電業公司則呈現U型關係，與過去文獻不符。本研究試圖提出可能原因來解釋這不一致結果，並提供實務的管理意涵與未來研究方向。　

關鍵詞：國際化程度、公司績效、長期追蹤資料、一般最小平方迴歸法

ABSTRACT

　　This study focuses on 229 listed Taiwanese manufacturing firms to explore the relationship between internationalization and firm performance by taking into account the motives behind the international activities of firms in both traditional industries and the electronics industry. We employ a composite weighted index to measure the degree of internationalization, which avoids the unidimensional measurement problem common in previous studies. Furthermore, panel data and the generalized least squares method are employed to explore the impact of internationalization on firm performance, to verify that differences between traditional industries and the electronics industry pertaining to export intensity, product diversification, research and development intensity, advertising intensity, debt ratio, and firm size are controlled for. We find that a number of overseas subsidiaries and a number of host countries are less than those in developed countries such as Europe, the U.S.A., and Japan, signifying that most Taiwan firms are currently in the early stages of internationalization. In addition, a number of overseas subsidiaries are more than a number of host countries, representing that the depth of internationalization is greater than the breadth of internationalization for Taiwanese manufacturing firms. Further, our results clearly show an inverted U-shaped relationship between internationalization and performance for firms in traditional industries, but show a U-shaped relationship for firms in the electronics industry, contrasting with prior results. We discuss potential reasons for these results, propose several implications for practitioners and also mention potential future research directions.　

Keywords: Internationalization, Firm Performance, Panel Data, Generalized Least Squares　

回目錄

國際股市關聯性–緩長記憶與結構轉換模型的應用

THE CORRELATIONS ACROSS INTERNATIONAL STOCK MARKET - USE BY THE LONG MEMORY MODEL AND REGIME SWITCH MODEL　

毓敏

國立嘉義大學企業管理系教授

蔡進發

國立嘉義大學企業管理系助理教授

林家妃

國立雲林科技大學財務金融系博士候選人

鄒嘉育

國立嘉義大學管理研究所碩士

摘要

　　本文主要利用馬可夫狀態轉換模型與ICSS-GARCH模型分析美國、英國與日本股價報酬率之緩長記憶與狀態轉換的現象，並探討狀態轉換對波動持續性的影響。再根據馬可夫狀態轉換模型與ICSS演算法所檢測出的狀態轉換點，以一般相關係數、條件相關係數與動態相關係數探討在狀態轉換下，國際股票市場的關聯性與蔓延效果。

　　本文發現美國、英國、日本指數報酬率之條件相關係數與動態相關係數皆顯著為正，表示國際股市已經存在共同移動關係，而發生結構轉換讓相關係數顯著增加或是減少，表示國際股市普遍出現蔓延效果，建議投資人應考慮鄰近區域國家與主要股市之市場表現及金融外生衝擊為決策變數，以分散風險與達成最佳資產配置。
　

關鍵詞：緩長記憶模型、馬可夫狀態轉換模型、ICSS-GARCH模型、動態相關係數、蔓延效果

ABSTRACT

　　This research uses the long memory model, the Markov regime switching GARCH (MS-GARCH) model and iterated cumulative sums of squares (ICSS) GARCH model to investigate volatility persistence and structural changes in the American, United Kingdom, and Japan stock market. Additionally, we use time-varying correlation coefficients to estimate the constant correlation coefficients (CCC) and dynamic conditional correlation (DCC) by multivariate GARCH model. The main purpose identifies the contagion effect of international stock markets, and testes whether the mean of the estimated CCC and DCC coefficients in the period of turmoil after the crisis differs from that in the stable period before the crisis.
Empirical findings show that the return has long memory and regime switching in volatility cause spurious long memory in the international stock markets. The model which considers regime switching has less persistence. There is more persistence at high volatility states than low volatility states by MS-GARCH which has better predict performance.

　　Additionally, contagion effects existe in the international stock markets. Evidence suggests that investors need to consider financial impacts in international stock markets when making their investment decisions. 

Keywords: Long memory model, Markov regime switching model, ICSS-GARCH model, DCC estimator, Contagion effect　

回目錄

校長轉型領導對教師組織承諾的影響：校長與教師交換品質之中介效果

THE IMPACT OF PRINCIPAL’S TRANSFORMATIONAL LEADERSHIP ON ORGANIZATIONAL COMMITMENT OF TEACHERS: THE MEDIATING EFFECT OF EXCHANGE QUALITY BETWEEN THE PRINCIPAL AND TEACHERS　

丁學勤

國立臺南大學教育經營與管理研究所副教授

陳青勇

國立臺南大學教育經營與管理研究所博士

摘要

　　本研究欲驗證國民中學教師知覺校長轉型領導行為、校長與教師交換品質、教師組織承諾三者的關係。本研究採用問卷調查法，受測對象為台中縣公立國民中學279位正式教師。研究結果顯示國民中學教師知覺校長轉型領導行為對教師組織承諾沒有顯著的正向影響，但有顯著的間接影響效果，校長與教師交換品質對「校長轉型領導行為影響教師組織承諾」有完全中介效果，亦即國民中學教師知覺校長的轉型領導行為越高，將增進教師與校長的交換品質，進而提升教師對學校的組織承諾感。最後，本研究依據重要結論，詮釋國民中學校長的轉型領導的意涵，並提出一些建議。　

關鍵詞：組織承諾、領導者成員交換品質、轉型領導　

ABSTRACT

　　This study attempts to verify the relationships among principal’s transformational leadership, leader-member exchange (LMX) quality between the principal and teachers, and teachers’ organizational commitment which are perceived by junior high school teachers. The methodology is the questionnaire survey and the subjects are 279 formal engaged teachers of public junior high schools in Taichung County.

　　The results indicate that there is no significant positive impact of the principal’s transformational leadership perceived by junior high school teachers on teachers’ organizational commitment whereas there is a significant indirect effect. Moreover, there is a complete mediation effect of LMX quality for the impact of principal’s transformational leadership on teachers’ organizational commitment; that is, the higher perceptions of junior high school teachers for principal’s transformational leadership promote their LMX quality with the principal, and further advance teachers’ organizational commitment to schools. Finally, based on key conclusions, this study interprets the implications of junior high school principals’ transformational leadership and proposes some suggestions.

Keywords: LMX Quality, Organizational Commitment, Transformational Leadership　

回目錄