臺灣博碩士論文加值系統

長久以來，眾多文獻研究發現，基本面表現優異之公司，其投資報酬率往往優於基本面表現不佳者。此外，根據行為財務之研究發現，在股票市場中，投資人往往會因各種心理因素，造成投資人對股價波動出現過度反應之現象，此一情況將導致股票之價格明顯偏離其價值，此時便將出現投資機會。本研究藉由同時結合公司基本面因素以及投資人於市場實際交易的行為兩大面向，並搭配波動度擇時策略，形成多因子投資組合，期望能獲得優於單因子投資法及台灣加權指數的報酬率，並降低下檔風險。根據本研究實證結果發現，多因子投資法確實能獲得比單因子投資法及台灣加權指數更佳的報酬率，且夏普指數以及索提諾比率亦明顯較佳。此外，藉由使用波動度擇時策略，可以有效降低投資組合之下檔風險，同時若增長多因子投資組合持有的時間，可以進一步降低整體投資風險。總結而言，本研究發現長期持有多因子投資組合，並搭配波動度擇時策略的使用，可以在承擔每一單位之波動度情況下，獲得相較於單因子投資法及台灣加權指數明顯更佳的報酬。

For a long time, many literature studies have found that companies with excellent fundamental performance tend to have better return on investment than those with poor fundamentals. In addition, according to behavioral finance research, in the stock market, investors often cause investors to overreact to stock price fluctuations due to various psychological factors. This situation will cause the price of stocks to deviate significantly from their value. There will be investment opportunities. This study combines the fundamental aspects of the company and the behavior of investors in the actual trading of the market, and with the volatility timing strategy to form a multi-factor portfolio. We expect the performance of multi-factor portfolio will better than single factor investment method and Taiwan weighted index. Also, the multi-factor portfolio will have the higher rate of return and the lower risk of downshifts. According to the empirical results of this study, the multi-factor investment method can indeed obtain a better rate of return than the single factor investment method and the Taiwan weighted index. Sharpe index and the Sotino ratio are also significantly better. In addition, by using the volatility timing strategy, the portfolio risk can be effectively reduced, and if the multi-factor portfolio is held for a longer period of time, the overall investment risk can be further reduced. In summary, this study finds that long-term multi-factor portfolios, combined with the use of volatility timing strategies, can be obtained in comparison to the single-factor investment method and the Taiwan-weighted index under the volatility of each unit.

第壹章 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 研究架構 2
第貳章 文獻回顧 3
第一節 因子投資法 3
第二節 多因子投資組合建構策略 5
第三節 風險控制與衡量 6
第參章 資料來源與研究方法 8
第一節 資料來源 8
第二節 市場資訊因子指標定義 8
第三節 品質因子指標定義 11
第四節 單因子超額報酬檢定 17
第五節 單因子與多投資組合之建構方法 18
第六節 投資組合績效衡量與檢驗方法 21
第肆章 實證結果與分析 24
第一節 樣本敘述 24
第二節 個別因子分組報酬 25
第三節 三大因子與品質因子分組報酬 26
第四節 多因子投資組合分組報酬 26
第五節 單因子投資組合績效表現 27
第六節 多因子投資組合績效表現 28
第七節 多因子投資組合搭配波動度擇時之績效表現 29
第八節 多因子投資組合長期績效表現與投資風險分析 31
第伍章 結論與建議 33
第一節 結論 33
第二節 限制與建議 34
參考文獻 35

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