在金融市場上的投資工具種類多，投資人選擇自己喜歡的投資方法替自己賺進收入，好的投資策略更能帶來更高的報酬，其中股票投資受到許多投資人喜愛，以長期資料統計，整體股市年平均報酬率高於基金、債券等其他投資工具，對於投資人來說，選擇可靠的投資策略以降低風險、提高報酬是相當重要的。
本研究以會計資訊為基礎，利用Easton and Harris報酬模型來進行選股策略或擇時策略制定，配合以Ohlson評價模型進行擇時策略或選股策略分析，並交叉比對驗證模型的適用性，幫助投資者有效投資股票以獲得高額報酬。本研究最後再使用T-M與H-M兩種選股與擇時能力檢定模型，檢定本論文架構是否具備選股與擇時能力。

There are lots of types of investment instruments in the financial markets. Investors choose their favorite investment method to earn income for themselves. Good investment strategies can bring higher returns. Many investors preferred to invest on. The return of the stock market for long-term investment is higher than invest on funds, bonds, and other investment instruments. For investors, choosing reliable stock trading strategies to reduce the risk and to improve return is very important.
This study, combine Easton and Harris earning model with Ohlson pricing model to make stock selection decision and market timing decision based on accounting information. Then to cross-compare the applicability of these two accounting models and to verify investors make trading decisions effectively. Finally, this paper used T-M and H-M models to test whether these two accounting models have timing and selection ability or not.

目錄
=============================================
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 2
第三節 研究流程 4
第貳章 文獻探討 5
第一節 選股因子 15
第二節 Easton and Harris 報酬模型 22
第三節 Ohlson 評價模型 22
第四節 Treynor and Mazuy 模型 25
第五節 Henriksson and Merton 模型 26
第六節 類神經網路 28
第參章 研究架構 31
第肆章 實證分析與說明 33
第一節 實證資料擷取來源與樣本選取 33
第二節 實證模型定義變數 34
第三節 類神經網路應用 41
第四節 Treynor and Mazuy模型檢定 67
第五節 Henriksson and Merton 模型檢定 68
第伍章 結論與未來展望 70
參考文獻 73

圖目錄
=============================================
圖1 研究流程 4
圖2 營收成長率對於股價報酬變動具有影響力 16
圖3 變數匯率、負債比率、營收成長率對電子業之資產報酬率及股價存在不同的效果 17
圖4 股價淨值比為未來報酬率的穩定指標 18
圖5 股價淨值比（P/B Ratio）效應 18
圖6 六個選股概念 19
圖7 平均數回歸現象 19
圖8 投資組合報酬率為正比關係 20
圖9 股票市場報酬波動受成交量與匯率波動影響 21
圖10 本研究模型再加入有效變數 21
圖11 T-M模型Characteristic Line觀點 26
圖12 類神經網路示意圖 28
圖13 類神經網路建構Ohlson評價模型 29
圖14 類神經網路建構Easton and Harris報酬模型 30
圖15 研究架構 31
圖16 移動視窗法（Sliding window）訓練方式 41
圖17 Easton and Harris報酬模型-水泥類股實際報酬率與預測報酬率 47
圖18 Easton and Harris報酬模型-食品類股實際報酬率與預測報酬率 47
圖19 Easton and Harris報酬模型-紡織類股實際報酬率與預測報酬率 47
圖20 Easton and Harris報酬模型-塑化類股實際報酬率與預測報酬率 48
圖21 Easton and Harris報酬模型-機電類股實際報酬率與預測報酬率 48
圖22 Easton and Harris報酬模型-造紙類股實際報酬率與預測報酬率 48
圖23 Easton and Harris報酬模型-營造類股實際報酬率與預測報酬率 49
圖24 Easton and Harris報酬模型-金融類股實際報酬率與預測報酬率 49
圖25 Ohlson評價模型-水泥類股實際價格與預測價格 55
圖26 Ohlson評價模型-食品類股實際價格與預測價格 55
圖27 Ohlson評價模型-紡織類股實際價格與預測價格 55
圖28 Ohlson評價模型-塑化類股實際價格與預測價格 56
圖29 Ohlson評價模型-機電類股實際價格與預測價格 56
圖30 Ohlson評價模型-造紙類股實際價格與預測價格 56
圖31 Ohlson評價模型-營造類股實際價格與預測價格 57
圖32 Ohlson評價模型-金融類股實際價格與預測價格 57


表目錄
=============================================
表1 實證資料變數說明 33
表2 Easton and Harris報酬模型2006年報酬率實際值與預測值 42
表3 Easton and Harris報酬模型2007年報酬率實際值與預測值 42
表4 Easton and Harris報酬模型2008年報酬率實際值與預測值 43
表5 Easton and Harris報酬模型2009年報酬率實際值與預測值 43
表6 Easton and Harris報酬模型2010年報酬率實際值與預測值 44
表7 Easton and Harris報酬模型2011年報酬率實際值與預測值 44
表8 Easton and Harris報酬模型2012年報酬率實際值與預測值 45
表9 Easton and Harris報酬模型2013年報酬率實際值與預測值 45
表10 Easton and Harris報酬模型2014年報酬率實際值與預測值 46
表11 Easton and Harris報酬模型2015年報酬率實際值與預測值 46
表12 Ohlson評價模型2006年股價實際值與預測值 49
表13 Ohlson評價模型2007年股價實際值與預測值 50
表14 Ohlson評價模型2008年股價實際值與預測值 51
表15 Ohlson評價模型2009年股價實際值與預測值 51
表16 Ohlson評價模型2010年股價實際值與預測值 52
表17 Ohlson評價模型2011年股價實際值與預測值 52
表18 Ohlson評價模型2012年股價實際值與預測值 53
表19 Ohlson評價模型2013年股價實際值與預測值 53
表20 Ohlson評價模型2014年股價實際值與預測值 54
表21 Ohlson評價模型2015年股價實際值與預測值 54
表22 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略-2006年 58
表23 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略-2007年 58
表24 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略-2008年 59
表25 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略 -2009年 59
表26 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略-2010年 60
表27 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略-2011年 60
表28 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略-2012年 61
表29 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略-2013年 61
表30 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略-2014年 61
表31 Easton and Harris報酬模型作選股策略與Ohlson評價模型作擇時策略-2015年 62
表32 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2006年 62
表33 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2007年 63
表34 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2008年 63
表35 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2009年 64
表36 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2010年 64
表37 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2011年 64
表38 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2012年 65
表39 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2013年 65
表40 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2014年 66
表41 Easton and Harris報酬模型作擇時策略與Ohlson評價模型作選股策略-2015年 66
表42 Treynor and Mazuy 模型檢定Ohlson模型與Easton and Harris模型交叉比對結果 67
表43 Henriksson and Merton模型檢定Ohlson模型與Easton and Harris模型交叉比對結果 69

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