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研究生:邵子勍
研究生(外文):Tzu-Chin Shao
論文名稱:成長型公司內部人總需求與擇時入市之風格投資-以台灣股票市場為例
論文名稱(外文):Growth Firm’s Aggregate Insider Demand and Style Timing Investment in Taiwan Stock Market
指導教授:王佳真王佳真引用關係
指導教授(外文):Jai- Jhen Wang
學位類別:碩士
校院名稱:逢甲大學
系所名稱:財務金融學所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:49
中文關鍵詞:淨值市價比風格投資公司內部人公司淨值淨值市價比風格投資公司內部人公司淨值
外文關鍵詞:book-to-market rationetworthstyle investmentinsider
相關次數:
  • 被引用被引用:1
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本研究根據 Knewtson, Sias, and Whidbee於2010年在 “ Financial Analysts Journal ” 第66期所發表之論文 “Style timing with insiders” 中所提出以成長型公司「內部人淨持股需求」(insider demand) 比率為判斷風格投資組合時機轉換指標的概念為開展,以台股指數大盤報酬率及台股上市上櫃經篩後1270家公司股票月報酬率為研究樣本,1991年1月到2009年12月共229個月為樣本期間,以「每月淨值市價比」及「每月淨值」將所選取之樣本分類為十種不同風格的投資組合,分別以「前六個月內部人總需求比率」、「前六個月低度內部人總需求比率」、「前六個月中度內部人總需求比率」及「前六個月高度內部人總需求比率」為自變數,對各投資組合進行迴歸分析,再以「價值對成長」的概念將之分為五個子集合並比較各自變數在哪種投資組合下具備較佳之分析能力。實證結果發現,未分類下的前六個月內部人總需求比率,除了能藉由價值去中型與成長去中型投資組合間的價值溢酬變動判斷市場趨勢外,對於包含台股大盤報酬之外的各類投資組合皆無顯著的預測能力;前六個月低度內部人總需求比率對於具有規模效果,即價值大型、價值小型、價值去中型投資組合的次期報酬有顯著的預測能力;在台灣因為對於內部人交易法令規範較嚴格,故以前六個月中度內部人總需求比率對於成長中、小型投資組合次期報酬率即可反應較佳之預測能力,至於前六個月高度內部人總需求比率,其僅對台股大盤報酬率與價值去中型溢酬之預期有顯著性。
Following Knewtson, Sias, and Whidbee (2010,“Style timing with insiders,” Financial Analysts Journal, vol. 66), this thesis uses the “aggregate insider demand” of growth companies to implement the style timing investment strategy. All stocks listed in TAIEX and GTSM are included from January 1991 to December 2009 or 229 months in length. To sort stocks to 10 style portfolios, the monthly book-to-market ratio and monthly net worth are used. Different levels and time spots of “aggregate insider demand” are used as independent variables in the regression with Taiwan stock market index return next period as the dependent variable. The profitability significance of five style groups classified between the “value” and “growth” are tested as well. We find that the aggregate insider demand 6 month ago hasn’t enough forecasting ability. The lower level components in aggregate insider demand 6 month ago can predict portfolio returns characterized by the value style and size effect. Because of the strict standards on insider trading laws, the higher level components in aggregate insider demand six month ago are insignificant as predicting portfolio returns next period. And the middle level components in aggregate insider demand 6 month ago can forecast portfolio returns characterized by the growth style and size effect.
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 4
第二章 文獻回顧 6
第三章 研究方法 10
第一節 研究樣本與研究期間 10
第二節 變數定義 11
第三節 研究設計及步驟 15
第四章 實證結果與分析 20
第一節 未分類內部人總需求比率 20
第二節 分類後內部人總需求比率 22
第五章 結論與建議 39
第一節 結論 39
第二節 建議 41
參考文獻 42
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