為求驗證好公司是好價格還是好投資，本文以華爾街日報於1997年至2010年間公布之Asia 200標竿企業中之台灣企業為樣本，並以每年之公布月份為基準，於下一月份之首日交易日買入樣本公司，形成投資組合，持有至下一年度新的名單公布之月份；同時，每年重組，共計形成14個年度投資組合，並據以計算投資組合之月平均報酬率，直至2011年1月止。 實證結果顯示，樣本公司傾向為大型公司、具高獲利能力、且大多屬於成熟型公司；就買進持有報酬率分析來看，樣本公司之買進持有年平均報酬率僅3%，而市場投資組合之買進持有年平均報酬率高達18%，顯見好公司並非好投資，只是好價格；CAPM、Fama-French三因子、及Fama-French-Carhart四因子模型之分析結果亦皆顯示樣本公司承受顯著之負向異常報酬，再度證實好公司只是好價格，但非好投資。 With a view to verify if a so-called good company is good only in terms of price rather than investment, this thesis takes as the sample Taiwan enterprises out of 200 Asian trademark companies the Wall Street Journal, or WSJ, announced during 1997 to 2010. The sampled Taiwan companies bought on the first day of the next month after WSJ announced the list constitute the investment portfolio, which is held until the next year when new list of trademark enterprises is pronounced. In the meantime, this study re-shuffles the portfolio every year into 14 different investment portfolios, whose average monthly return are being computed until January 2011.The empirical results show that the sampled corporations tend to be large, highly-profitable, and mostly mature companies. As the analysis of buy-and-hold return shows, the annual buy-and-hold return rate of the sampled companies collects only 3%, whereas that of the market investment portfolio soars to 18%; obviously, the so-called good companies are more those with good stock prices than good investment targets. Results from CAPM, Fama-French three-factor, and Fama-French-Carhart four-factor models also reveal that sampled enterprises suffer significant negative abnormal return, proving again that good companies are good only in terms of stock prices rather than investment potentials.
