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研究生:陳祺
研究生(外文):Chi Chen
論文名稱:以經濟附加價值建構投資組合實證分析
論文名稱(外文):Portfolio Strategy Using EVA
指導教授:程言信程言信引用關係
指導教授(外文):Yen-Shin Cheng
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融資訊研究所
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:101
畢業學年度:100
語文別:中文
論文頁數:59
中文關鍵詞:經濟附加價值馬可維茲平均數變異數模型投資組合存活者偏差
外文關鍵詞:EVAMarkowitz Mean-Variance modelPortfolioSurvivorship Bias
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本文以經濟附加價值(Economic Value Added, EVA)模型進行證券選股分類並建構投資組合,延伸Zaima (2008) 一文,除了文獻中的均等權重另外考慮市值權重與馬可維茲模型建構不同的投資組合。試圖降低存活者偏差的干擾,研究標的包含台灣上市、櫃及已下市、櫃公司。研究期間為2000年至2011年,採滾動式(Rolling)樣本外投資,於樣本期間依照樣本公司經濟附加價值市值比(EVA-to-market value,以下簡稱EVA/MV)由小到大排序並分成十個投資組合,於投資期間評估報酬績效。最後,探討EVA/MV策略的持續性、遞延投資與存活者偏差的影響,並利用迴歸模型進行績效歸因分析。
國內股票市場以EVA/MV策略並採用均等、市值與馬可維茲權重配置之投資組合,實證結果大致顯示EVA/MV與報酬呈U-shaped關係,比值極端的投資組合創造較高的累計報酬。在考慮風險後,EVA/MV最大群組的Sharpe ratio最高,其中又以馬可維茲權重投資組合最佳;EVA/MV策略樣本外一年明顯優於大盤,但長期持續性不佳;考慮到財務報表揭露時點而遞延投資,結果可能隱含市場存在資訊不對稱的情形;EVA/MV最小群組受存活者偏差干擾程度最大,也表示對其投資將面臨較高的風險;績效歸因分析顯示,EVA/MV最高和最低的投資組合得創造較高的報酬,研究期間存在規模效應,規模較小的投資組合創造較高的報酬。
This article selects the stocks and creates portfolios utilizing Economic Value Added (EVA) style. Follow-up Zaima (2008) , the assets allocation based on not only equally weighted but also Markowitz Mean-Variance model and market-value weighted. The sample data of this research includes delisting companies, purpose to reduce Survivorship Bias. The study period is from 2000 to 2011, each sample year, EVA-to-market value (EVA/MV) is measured for all companies and rank form lowest to highest. The 10 portfolios are formed by companies are separated into deciles and measure the performance in the investing period. Finally, this article investigates the persistency of EVA/MV strategy, the degree of Survivorship Bias influence, creating portfolios delay and performance attribution analysis.
Using EVA/MV strategy creates portfolio with equally, market value and Markowitz weighted in Taiwan stock market. The empirical results show that the portfolio which is composed of the lowest or highest EVA/MV (P1 or P10) creates higher cumulative return in the investing period. After adjusting for risk - Sharpe ratio, the performance of P10 is the best, and it is higher than others with Markowitz weighted. Investment by EVA/MV strategy is specifically higher than market portfolio in first investing year, but it is poor persistency. The result of creating portfolio delay may indicate the information asymmetry existed. The P1 is affected hardly by Survivorship Bias, which indicates investing P1 must face more risk. The performance attribution reports that portfolios with the highest and lowest EVA/MV can create higher return. And Size Effect exists in our study period, the portfolio having smaller size which creates higher return.
摘要 I
ABSTRACT II
誌謝 IV
目錄 V
圖目錄 VII
表目錄 VIII
第一章 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 研究流程與架構 3
第二章 文獻探討 4
第一節 經濟附加價值(Economic Value Added, EVA)與公司價值 5
第二節 EVA與股票 6
第三節 EVA與投資組合 7
第三章 研究方法 8
第一節 EVA之衡量方法 8
第二節 Jarque-Bera 檢定 11
第三節 夏普指標(Sharpe ratio) 12
第四節 投資組合設定與策略 12
第五節 縱橫斷面資料(Panel data)分析 17
第四章 實證結果與分析 25
第一節 資料來源與說明 26
第二節 資料基本分析 26
第三節 均等權重投資組合績效分析 30
第四節 不同權重配置之投資組合績效分析 40
第五節 敏感性分析 44
第六節 迴歸分析 49
第五章 結論 52
參考文獻 54
附錄 59
中文部分:
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13.陳信宏、蔡憲唐、韋伯韜和吳俊德,2005,醫療作業基金資產配置與風險值之研究,亞太經濟管理評論,第8卷第2期:129-146。
14.陳惠鈴,1997,經濟附加價值與股票報酬關聯性之研究,國立交通大學科技管理研究所,碩士論文。
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16.管玉儷,2003,經濟附加價值、異常盈餘和異常現金流量與公司權益價值之關聯性研究,中原大學會計研究所,碩士論文。
17.蔡佳妤,2006,財務資訊、經濟附加價值與股票報酬關聯性之研究─考慮股價超出帳面價值之溢酬,國立高雄應用科技大學商務經營研究所,碩士論文。
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英文部分:
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9.Fountaine, D., Jordan, D. J., and Phillips, G. M., (2008). “Using Economic Value Added as a Portfolio Separation Criterion”, Quarterly Journal of Finance & Accounting, Vol. 47, No. 2, pp. 69-81.
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26.Yook, K. C.and McCabe, G. M., (2001). “MVA and the Cross-Section of Expected Stock Returns”, Journal of Portfolio Management, Vol. 27, No. 3, pp. 75-87.
27.Zaima, J. K., (2008). “Portfolio Investing with EVA”, Journal of Portfolio Management, Vol. 34, No. 3, pp. 34-40.
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