有關價盈比策略之實証結果， 大多數發現價盈比較低的股票有較高的報
酬率。 但是亦有研究認為應以價銷比指標來代替價盈比指標，其理由為
銷貨收入不會受到所使用會計方法之影響， 且銷貨收入比盈餘更具穩定
性與可預測性； 即使在盈餘為負、新上市或小規模之公司，價銷比指標
仍可衡量出較具意義的結果。 本研究利用隨機優勢理論檢定中美兩國股
市之價銷比效應， 隨機優勢理論之優點為不需要對報酬率的機率分配有
任何的假設， 且其對投資者效用函數的假設亦屬合理， 故此理論相對傳
統的 CAPM模式對效率市場檢定能提供一個較具純粹形式的測試， 本研究
之發現可分述如下: (1) 在交易成本零時， 中美兩國股市中低價銷比組
合之績效優於高價銷比組合與市場組合 ( 以隨機抽取之組合代理 ) 之績
效。 (2) 在美國股市中低價銷比組合之績效, 不僅在交易成本為零時優
於市場組合之績效，且在交易成本分別為 1%,2% 與 4% 時，低價銷比組
合之績效亦優於市場組合之績效。 (3) 如將本研究的結論與 Levy 與
Lerman(1985) 的結果作一比較時， 似可發現如下的結論: 在交易成本為
零時，低價銷比策略與低價盈比策略二者之績效難分軒輊; 但在將交易成
本因素 (1%,2% 與 4%) 納入考慮時， 因市場組合之績效優於低價盈比組
合之績效，而低價銷比組合績效則優於市場組合之績效， 如將此二結果
加以比較，可得知低價銷比策略似乎優於低價盈策略， 其可能原因為低
價銷比組合之換股率低於低價盈比組合之換股率。 (4) 若從實務觀點來
看本論文的結論， 不僅只要支付極少交易成本的自營商、機構投資者，
應可考慮利用價銷比值作為選股之指標，而且即使要支付高成本的散戶，
亦似乎可利用價銷比值作為買賣股票之指標。從上述發現得知不管有無考
慮交易成本之因素， 半強式市場似難成立，且低價銷比策略亦似乎優於
低價盈比策略。
Many empirical studies have found that stocks with a low
price-to- earnings ratio (PER) outperform those with high
PERs. However, Minard (1984), Senchack and Martin (1987)
assert that the price-to-sales ratio (PSR) strategy may be a
better tool than the PER strategy for assessing relative
valuation among stocks. This paper tests PSR filters
with the stochastic dominance approach, which can avoid the
ambiguities of CAPM-base tssts. Major findings are summarized
as follows: (1)The low PSR portfolios dominate the high PSR
portfolios and the market portfolios at zero transaction costs
in the Taiwan stock market and the American stock market.
(2)The low PSR portfolios (especially the lowest PSR
portfolio) still outperform the high PSR portfolios and
the market portfolios with the introduction of transaction
costs in the American stock market. (3)Levy and Lerman (1985)
document that the low PER strategy beats the market only
before adjusting for transaction costs; nevertheless, the
low PSR strategy still beats the market after adjusting for
transaction costs. We may conclude that the low PSR strategy is
superior to the low PER strategy. The reason may be that the
average turnover percentage of low PSR portfolios is lower
than the average turnover percentage of low PER portfolios. (4)
On a more practical level, not only dealers, brokers and
institution investors who pay very small transaction costs
can benefit by investing in low PSR stocks and rebalancing
their portfolios every year, but individual investors who
pay heavy transaction costs may also benefit by sticking to low
PSR stocks.