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Title: 個別有價證券及投資組合風險與報酬分析
Other Titles: Analysis of Risk and Return for Individual Securities and Portfolios
Authors: 李, 郁; 蔡, 仲育; 簡, 品陞; 洪, 嘉怡; 李, 翊
Keywords: 投資組合
風險與報酬
財務比率
特徵線
資本資產定價模型
Capital Asset Pricing Model
Characteristic Lines
Financial Ratios
Portfolios
Risk and Return
Issue Date: 24-4-2017
Abstract: 為了解個別有價證券及投資組合的風險與報酬,此報告主要分析的公司為全國電子股份有限公司(簡稱:全國電、股票代碼:6281)、華碩電腦股份有限公司(簡稱:華碩、股票代碼:2357)、中華電信(簡稱:中華電、股票代碼:2412)、統一超商(簡稱:統一超、股票代碼:2912)、三陽工業股份有限公司(簡稱:三陽、股票代碼:2206)、長榮航空股份有限公司(簡稱:長榮航、股票代碼:2618)、中國人壽保險(簡稱:中壽、股票代碼:2823)、國泰金融控股公司(簡稱:國泰金、股票代碼:2882)、燦坤實業股份有限公司(簡稱:燦坤、股票代碼:2430)、大立光電股份有限公司(簡稱:大立光、股票代碼:3008),共10家公司。我們主要分析這些公司2015年財務報表中重要的財務比率(總資產報酬率、股東權益報酬率、財務槓桿比率、本益比、市值與帳面價值比率等),以及探討2015年10月31日至 2016年10月31日期間,個別有價證券、投資組合及市場加權股價指數的預期報酬與風險(標準差、變異數、共變異數、相關係數)、系統風險值(Beta值)、各公司特徵線以及證券市場線(SML),再以資本資產定價模型(CAPM)去評估個股並建議買賣策略。
This study intends to analyze the risk and return of individual securities and portfolios for the following ten companies: E-life Mall Corporation (stock code: 6281), ASUSTeK Computer Inc. (stock code: 2357), Chunghwa Telecom Co., Ltd. (stock code: 2412), President Chain Store Corporation (stock code: 2912), Sanyang Motor Co., Ltd. (stock code: 2206), EVA Air (stock code: 2618), China Life Insurance Co., Ltd. (stock code: 2823), Cathay Financial Holding Co., Ltd. (stock code: 2882), Tsann Kuen Enterprise Co.,Ltd. (stock code: 2430), Largan Precision Co.,Ltd. (stock code: 3008). We analyze the important financial ratios (Return on Total Assets, Return on Stockholders’ Equity, Debt-to-Equity Ratio, Price to Earnings Ratio, Market Price to Book Value Ratio, etc.) from the financial statements of these companies in 2015. We also examine the risk and return of the individual securities, portfolios, and markets index (by measuring the standard deviation, variance, covariance, and correlation coefficient), the systematic risk (Beta), the characteristic lines, and the Security Market Line (SML), and then evaluate these securities based on the Capital Asset Pricing Model (CAPM) and suggest the trading strategies, using the data from October 31, 2015 to October 31, 2016.
???metadata.dc.description.instructor???: 楊, 明晶
???metadata.dc.description.course???: 財務管理
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