本研究目的在於檢驗在金融海嘯期間，Piotroski(2000)提出的F_SCORE在台灣股市的實用性。由於過去文獻對於F_SCORE的實證都是在穩定的經濟環境中，然而在金融海嘯震盪下，所謂的優良股是否仍能獲得較高之超額報酬或者較少之損失? 有別於Piotroski每年重算F_SCORE挑出好的公司，在下一年投資且不斷輪迴，本研究利用金融海嘯前三年期間之財務報表資訊，每年挑選出前25%高淨值市價比(BM)公司，並運用F_SCORE評分，將三年中至少有二年落在高分群之公司歸類為優良股，反之，三年中至少有二年落在低分群之公司歸類為不良股，再進行優良股與不良股之投資組合的績效比較。 實證結果獲致以下主要結果：在金融海嘯期間，(1)優良股之投資組合持有一年時，其絕對報酬顯著優於不良股投資組合。(2)優良股投資組合與持有同期間大盤報酬相比之超額報酬亦顯著為正。(3)優良股投資組合風險顯著低於不良股投資組合風險。(4)將金融海嘯前三年與金融海嘯後二年皆納入觀察，投資組合持有期間延長至五年，優良股投資組合績效仍顯著優於不良股投資組合與大盤報酬，但風險卻高於不良股投資組合。(5)利用本研究方法挑選出的優良股公司有規模小、內部董監事持股率高、財務透明度高三項特徵。 本研究結果除了驗證F_SCORE在正常經濟環境下為有效外，在如金融海嘯般的動盪環境下，也是有效的選股方法。此一發現可供投資者選股時的重要參考。 The purpose of this study is to examine the practicality of F_SCORE proposed by Pitroski (2000) in Taiwan during the financial crisis (2008). In the past, several researches which explore the investment performance of F_SCORE suppose that the economic condition is stable. However, whether F_SCORE can prove investors' investment performance efficiency in the financial crisis is still an open question. Therefore, in contrast to the investment strategy used by Piotroski (2000), we define the stocks, which the values of F_SCORE are higher than 8 and appear twice during the period from 2005 to 2007, as the winner, and otherwise. Furthermore, we select the winners to construct a winner portfolio for exploring the efficiency of F_SCORE during the financial crisis. The findings of this study are as follows. First, the 1-year raw return of winners is higher than of losers. Second, the adjusted-market abnormal return of winners is significantly positive. Third, the risk of winners is significantly lower than that of losers. Fourth, when we extend the holding period from 1-year to 5-year, the evidence shows that the performance of winners is still better than of losers and market portfolio but the risk of winners is higher than of losers. Finally, we find that the characteristics of winners are small firms, higher holdings of inside directors and higher degree of financial transparency. According to these findings, we conclude that investors can improve their investment performance by using F_SCORE in both stable and volatile economic conditions.
