個別有價證券及投資組合風險與報酬分析

Abstract

本報告研究目的是探究十支個股(2454聯發科、2330台積電、2206三陽工業、6281全國電、2882國泰金、2357華碩、2823中壽、2412中華電、2618長榮航、2912統一超)是否值得投資。首先使用「台灣經濟新報TEJ」資料庫下載本報告所研究之十支個股，從2015年到2016所需之數據，再利用Excel算出各個財務比率，並且介紹各財務比率所代表之意義。第二部分衡量個股與台灣加權股價指數的「平均年報酬率、標準差、變異係數」。第三部分計算投資組合與個股的報酬率和標準差(風險)，以瞭解利用投資組合是否可有效降低總風險。第四部分計算系統風險值β，衡量股票報酬率對市場的敏感度高低。第五部分根據CAPM模型及證券市場線(SML)，分析每支股票的市場價值是否高估或低估，並藉此判斷應該採取買進或賣出。最終我們得到的結果，值得投資的標的佔了我們投資組合中的一半，分別是下列五檔：6281 全國電、2412 中華電、2912 統一超、2823 中壽、2330 台積電。而2412 中華電、2912 統一超、2330 台積電這三支也分別是台灣50中舉足輕重的權值股，代表著未來市場的狀況和這些公司的股價走勢有著密不可分的關係。

The purpose of the research is to study ten stocks (2454 MediaTek Inc., 2330 Taiwan Semiconductor Manufacturing Co., Ltd., 2206 Sanyang Motor Co., Ltd., 6281 E-life Mall Corporation, 2882 Cathay Financial Holding Co., Ltd., 2357 ASUSTeK Computer Inc., 2823 China Life Insurance Co., Ltd., 2412 Chunghwa Telecom Co., Ltd., 2618 EVA Air, 2912 President Chain Store Corporation). First, we use the Taiwan Economic Journal (TEJ) databank to download the data for the ten stocks examined in this research from 2015 to 2016, and use Excel to calculate the financial ratios. Second, the average annual returns, standard deviations of returns, and coefficients of variation for the stocks and Taiwan stock index are computed. Third, we measure the return and standard deviation (risk) of the portfolio and the individual stocks to see whether the portfolio can reduce the total risk effectively. Fourth, we calculate the systematic risk β, which measures the sensitivity of the stock returns to the market movement. Fifth, based on the Capital Asset Pricing Model (CAPM) and the Security Market Line (SML), we analyze whether the stocks are overpriced or underpriced and should be purchased or sold. Finally, we find that there are five stocks worth investing: 6281 E-life Mall Corporation, 2412 Chunghwa Telecom Co., Ltd., 2912 President Chain Store Corporation, 2823 China Life Insurance Co., Ltd., 2330 Taiwan Semiconductor Manufacturing Co., Ltd. Because the 2330 Taiwan Semiconductor Manufacturing Co., Ltd., 2412 Chunghwa Telecom Co., Ltd., and 2912 President Chain Store Corporation are also the heavily weighted stocks in FTSE TWSE Taiwan 50 Index, it indicates that there will be a close relationship between these stocks and market movement.