目前全球景氣放緩、歐債問題仍然未解，致使台股的震盪加劇，選股的困難度大增。然而是否有一些可參考的擇股方式，此為本研究所欲探討的課題。本研究乃採用巴菲特和其師承葛拉漢兩位大師的擇股法則，來做為篩選台股的依據，進而希望能夠藉由大師的智慧，使投資人在台股投資上能夠避免損失，進而能獲致不菲的利潤。本研究以台灣上市股票為研究樣本，並獲致以下重要的研究發現。其一、以巴菲特與葛拉漢法則所篩的股票，除2008年外，其平均報酬率大於零，而且巴菲特所篩選之標的的報酬率亦較大盤為優。其二、就短期績效而言，依巴菲特法則所篩選股票優於葛拉漢，似乎巴菲特的績效有青出於藍而更勝於藍的表現。其三、在探討哪些因素是影響其所篩選標的的績效時，本研究發現總資產週轉率與短期績效之間有顯著關係，亦為當企業資產周轉率提升，應有助於ROE的提升；董監持股比率、大股東持股與擇股的後續績效有所關連。其四、兩位大師擇股的標的，其公司規模與績效呈顯著的正相關，其可能是當公司規模愈大，其資源配置的效益可能較小規模公司為佳。 是以投資大眾或許可以以見賢思齊的方式，參酌大師法則來篩選股票，依據這些投資大師所篩選出來的標的，其表現不俗，而且巴菲特之所以被稱之股神，亦非浪的虛名。

Not only the current global economy slow down but also the European debt problem is still unsettled, which result in the turmoil of Taiwan stock markets. Thus, investors might not be easy to screen stocks as investing shares in Taiwan. This study is to investigate whether market participants could select stock according to the screening rules suggested by two famous mentors, Buffett and Graham to avoid losses, and even make profits. By employing the stocks listed in the Taiwan stock markets, we disclose the following findings as shown below. First, the average returns are greater than zero for the share selected according to the rules proposed by Buffett and Graham, except for the year of 2008. Second, the short-term performance of the shares screened by Buffett rules is better than that of the stocks selected by Graham. Third, we disclose that asset turnover ratio positive affect the performance of these selected stocks, which would promote the ROE by better asset management. Besides, we also reveal that the holding ratio of directors and big ten shareholder would affect the subsequent performance of these screened stocks. Fourth, we find that the scales positively affect the bond fund performance, and we infer that the resource allocation for large-scale funds may be better than that of small-scale funds. The results reveal that investor could take the screening rule proposed by Buffett and Graham into account, especially for the rules suggested by Buffett, since the shares screened by the Buffett rule indeed have excellent performance. Thus, no wonder are Buffett called as the best investors in the world.

第一章、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	   5
第四節、研究架構	   6
第二章、文獻探討	   7
第一節、投資大師的指標選取簡介 7
第二節、台股市場之特性分析	12
第三節、相關文獻介紹	13
第三章、研究假設與方法	19
第一節、資料選取與假說建立	19
第二節、研究方法與分析	20
第四章、實證研究結果	26
第一節、敘述性統計量	26
第二節、實證結果與分析	27
第五章、結論與建議	        38
第一節、研究結論	        38
第二節、投資與管理意涵	40
第三節、研究限制與建議	40
參考文獻	                41
附錄                     44


表目錄
表2-1 台灣股市投資人類別交易比重統計表	12
表4-1 符合大師的選股準則標的之報酬率(以年度區分) 26
表4-2 假說1-1的實證結果	27
表4-3 假說1-2的實證結果	28
表4-4 假說2-1的實證結果	29
表4-5 假說2-2的實證結果	29
表4-6 假說3-1的實證結果	30
表4-7 假說3-2的實證結果	31
表4-8 假說4-1的實證結果	32
表4-9 假說4-2的實證結果	33
表4-10 採用各年度與整體資料之VIF值	34
表4-11 假說五實證結果	        35
附表1 短期績效之變異數是否相同檢定	44
附表2 長期績效之變異數是否相同檢定	45


圖目錄
圖1-1研究流程圖	5

一、中文文獻
1.李顯儀、陳信宏、何清隆(2010)，外資於全球金融危機事件期間之交易策略與投資績效，財金論文叢刊，第13期，頁25-44。
2.吳宗正、溫敏杰、黃綺年(2005)，開放式股票型基金投資績效分類及投資報酬率預測之研究，智慧科技與應用統計學報， 第3卷，第2期，頁117-139。
3.周建新、陳振宇、陳姿妤(2009)，以PEG、PERG與PERDG指標建構投資組合與績效評估，會計與公司治理，第6卷，第1期，頁57-78。
4.林哲鵬、黃昭祥(2006)，機構投資人行為與台灣股市報酬的關聯性財務，金融學刊，第14卷，第3期，頁111-150。
5.邱展謙、劉濠葦(2004)，共同基金經理人績效之研究：類神經網路之應用，朝陽商管評論，第 3卷，第2期，頁69-100。
6.倪衍森、李仁在、李方瑋 (2010)，建構共同基金投資組合之研究：開放式股票型基金為例，臺灣企業績效學刊，第4卷，第1期，頁45-65。
7.許江河、吳佳馨(2009)，投資策略與股票型基金績效：以台灣國內基金為例，朝陽商管評論，第 8卷，第1和2期，頁151-167。
8.許培基、陳軒基、黃淑貞(2005)，基金經理人為何出現群集行為?，管理評論，第24卷，第4期，頁57-81。
9.郭敏華、紀鈞中(2000)，亞洲金融風暴前後外資投資行為暨報酬差異之探討，管理評論，第19卷，第1期，頁81-118。
10.楊淑玲、陳獻儀、游智賢(2006)，交易強度、機構持股與機構投資人之交易行為，財務金融學刊 ，第14卷，第2期，頁41-72。
11.熊大中(2000)，我國企業財務危機與董監股權質押關聯性之研究，成功大學會計研究所碩士論文。
12.蔡秋田、蔡玉琴、黃美珠、王媛慧(2006)，淨值市價比、經營效率與股票報酬－股價反應不足現象，商管科技季刊，第七卷，第三期，頁435-452。
13.羅庚辛、朱孝恩、林書賢、鄭燁隆(2009)，價格與產業動量策略之投資績效－台灣證券市場實證，企業管理學報，第82期，頁24-48。

二、英文文獻
1.Anginer, Deniz and Statman, Meir, 2010, Stocks of admired and spurned companies, Journal of Portfolio Management, Vol. 36(3), pp.71-77.

2.Chang,Ruey-Dang and Wei, Jo-Ting, 2011, Effects of Governance on Investment decisions and perceptions of reporting credibility: Investment experience of Taiwanese individual investors, Asia Pacific Journal of Management, Vol. 28(1), pp.139-155.

3.Chavarnakul, Thira and Enke, David, 2006, Stock trading using neural networks and the ease of movement technical indicator, IIE Annual Conference Proceedings, pp. 1-6.

4. Da Costa Jr, Newton, Jefferson Cunha, and Sergio Da Silva, 2005, Stock selection   based on cluster analysis, Economics Bulletin,Vol.13(1), pp.1−9.

5. Donaldson, Jeff, Flagg, Donald, and J. Hunter Orr, 2011, Selecting stocks and building portfolios: A sorting exercise, Managerial Finance, Vol.37 (7), pp.636-646.

6. Demsetz, H., and B. Villalonga, 2001, Ownership structure and corporate   performance, Journal of Corporate Financial, Vol.7, pp.209-233.

7.Hasnawati, Sri, 2010, The value and glamor stocks performance at the Indonesia Stocks Exchange using the price earning ratio approach, International Business and Economics Research Journal, Vol.19 (7), pp.43-49.

8. Harta, Jaap, van der, Erica Slagter, and Dick van Dijk, 2003, Stock selection strategies in emerging markets, Journal of Empirical Finance,Vol.10(1-2), pp.105-132.

9.Ho, Chien-Ta, Bruce Desheng, Dash Wu, and David L. Olson, 2009, A risk scoring model and application to measuring internet stock performance, International Journal of Information Technology and Decision Making, Vol.8(1), pp.133-149.

10.Inci, Ahmet, 2011, Capital investment, earnings, and annual stock returns: Causality relationships in China, Eurasian Economic Review, Vol. 1(1), pp.95-125.

11.Jensen, M. C., 1986, Agency costs of free cash flow, corporate finance, and takeovers, American Economic Review, Vol. 76(2), pp.323-329.

12.Krishna Kumar M. S., Subramanian S, and Rao U.S., 2010, Enhancing stock selection in Indian stock market using value investment criteria: An application of artificial neural networks, Journal of Accounting Research & Audit Practices,Vol.9(4), pp.54-67.

13.Lee, Yu-Je, Gao-Liang Wang, Kae-Shuan Kao, Ching-Yaw Chen, and Fong-Ping Zhu, 2010, The investment behavior, decision factors and their effects toward investment performance in the Taiwan stock market, Journal of Global Business Management, Vol.6(2), pp.1-12.

14. Lins, Karl V., 2003, Equity ownership and firm value in emerging markets, Journal of Financial and Quantitative Analysis ,Vol.38,pp.159-185.

15. Morck, R., A. Shleifer, and R.Vishny, 1988, Management ownership and market valuation: An empirical analysis, Journal of Financial Economics, Vol.20, pp. 293-315.

16. Myers, Stewart, C. and S. Turnbull, 1997, Determinants of corporate borrowing, Journal of Financial Economics, Vol.5, pp.147-175.

17. Nhu, Do Quynh and Timo, Rothovius, 2009, Investment opportunities and the long-run performance of seasoned equity offers: Evidence from Finland International Journal of Economics and Finance, Vol. 1(1).

18. Sevastjanov, Pavel ,and Ludmila Dymova, 2009, Stock screening with use of multiple criteria decision making and optimization, Omega, Vol.37(3), pp.659–671.

19. Shleifer, A. and R.Vishny, 1986, Large shareholders and corporate control, Journal of Political Economic, Vol. 94(31), pp.461-488.

20. Shleifer, A. and R.Vishny,1997, A survey of corporate governance, Journal of Financial Economics, Vol. 5(2), pp.737-783.