臺灣博碩士論文加值系統

本文透過Fama-French 三因子模型對台灣股市進行分析，針對三因子在台灣資本市場上是否有效和適用得出初步結論。再來本文想藉由因子模型來建立投資組合，並以台灣ETF作為標竿（Benchmark）進行績效對比。從實證結果發現三因子模型在台灣市場是有效的，尤其是規模效應，小公司股票有較高的平均報酬。而價值效應卻比較不明顯，在測試的25個投資組合中，僅有13個投資組合顯著，因此可以說明價值因子HML對模型僅有些許顯著貢獻。再來本文透過三因子模型的檢驗也發現Alpha收益皆趨近於0，這可以說明三因子幾乎解釋了股票大部分的報酬率。最後我們也利用因子模型進行資產配置，發現透過因子模型所建立的投資組合績效都很不錯，值得一提的是大部分投資組合在提高報酬率的同時雖然風險隨著提高，但其風險增加的幅度遠遠小於報酬率增加的幅度，也就是說本文利用因子模型所建立出的投資組合都擁有較高的夏普比率（Sharpe Ratio）。

This paper investigates the Fama and French Three Factor Model for Taiwan equities and makes asset allocation choices by Three Factor Model. First of all, the size factor in Taiwan has large average returns and explains significant amount of test portfolio returns, with relatively low alphas. This paper also found that the average returns and risk premiums for the value factor is relatively low. The most certain observation in this paper is that the robustness of the size factor which can be easily observed in factors regression and has significantly large average returns and risk premiums.
Moreover, we test the performance of our portfolios built by the Three Factor Model, from year 2007 to 2018 as our back-test period. The results show that most of our portfolios have beaten the market and benchmark. Although our portfolios have higher standard deviation (higher risk), but the Sharpe Ratios of the portfolios are higher.

第一章 緒論
第一節 研究背景
第二節 研究動機與目的
第三節 研究架構
第二章 文獻探討
第一節 資本資產定價模型
第二節 三因子模型
第三節 其他因子
第四節 根據不同國家對因子的研究分析
第五節 資產配置相關文獻
第三章 研究方法
第一節 資料來源與研究期間
第二節 變數形成
第三節 因子形成（FACTORS PORTFOLIOS & TEST PORTFOLIOS）
第四節 研究模型解釋
第四章 實證結果與分析
第一節 因子敘述統計表
第二節 因子間相關係數
第三節 因變量平均報酬率
第四節 迴歸分析結果與解釋
第五節 三因子模型下之資產配置效果檢驗
第五章 研究結論與建議
第一節 研究結論
第二節 研究建議
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