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研究生:楊凱文
研究生(外文):Kai-Wen Yang
論文名稱:風格投資之股價連動效應與股票報酬預測能力:以台灣股票市場為例
論文名稱(外文):Style investing, comovement and return predictability:Evidence from Taiwan
指導教授:王佳真王佳真引用關係
指導教授(外文):J. J. Wang
口試委員:李君屏王佳真林坤立
口試委員(外文):Jin-Ping LeeJ. J. WangK. L. Lin
口試日期:2013-06-25
學位類別:碩士
校院名稱:逢甲大學
系所名稱:財務金融學系碩士班
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:2013
畢業學年度:101
語文別:中文
論文頁數:51
中文關鍵詞:風格投資動能策略共移性
外文關鍵詞:style investingmomentumcomovement
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本研究以「Style investing, comovement and return predictability」 (Sunil Wahal, M. Deniz Yavuz, 2012, Journal of Financial Economoics)為研究基礎,探討結合共移性的動能策略在台灣股票市場的表現。共移性是指股票報酬對於特定風格投資組合報酬敏感度的量化指標 ,透過簡單線性迴歸β係數的估計值表之。首先,第一個研究主題探討規模效應、價值股、與動能策略在台灣股票市場的績效,搭配不同的形成期與持有期間,由實證結果指出動能投資組合平均報酬率最高;其次,將樣本依照股票前期報酬均分成三等份(定義報酬率前1/3的股票為贏家,後1/3的股票為輸家),再依據共移性的大小,將樣本作第二次分類,形成3×3的方格,以探討高低共移性的動能策略對股票報酬率的影響,而由實證結果指出高共移性的動能策略在未來的持有期間報酬上顯著地比低共移性的動能策略來的高,且高共移性的動能投資組合也顯著地優於市場投資組合,可提供投資人未來作為投資策略之參佐。
Following “Style investing, comovement and return predictability” (Sunil Wahal, M. Deniz Yavuz, 2012, Journal of Financial Economics), this thesis focuses on how the momentum strategy with comovement performs in Taiwan Stock Market. Comovement is the sensitivity of stock return affected by a specific style, which can be estimated by an OLS univariate regression. The first theme of this study is to compare performances of usual investing styles including size, value, and momentum strategies with different lengths of formation and holding periods. The empirical evidences show that the momentum strategy has the highest average return. Second, all stocks are double sorted into nine portfolios according to their prior returns and comovement degrees. Empirical evidences show that momentum portfolios with higher comovement degrees perform better significantly in the future than those with lower comovement degrees.
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 2
第二章 文獻回顧 4
第一節 風格投資 4
第二節 規模效應與基本面因素 5
第三節 動能策略 10
第四節 共移性 11
第三章 研究方法 14
第一節 研究樣本與研究期間 14
第二節 建構投資組合 14
第三節 共移性與動能投資組合 15
第四章 實證結果與分析 17
第一節 三種風格投資策略與大盤報酬率之比較 17
第二節 高共移性之動能策略與低共移性之動能策略 24
第五章 結論與建議 40
第一節 結論 40
第二節 建議 41
參考文獻 42
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