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研究生:劉映均
論文名稱:風格投資-以台灣股票市場為例
論文名稱(外文):Style Investing in the Taiwan Stock Market
指導教授:郭志安郭志安引用關係
學位類別:碩士
校院名稱:國立彰化師範大學
系所名稱:財務金融技術學系
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:2014
畢業學年度:102
語文別:中文
論文頁數:42
中文關鍵詞:風格投資價值效應規模效應
外文關鍵詞:style investingsize effectvalue effect
相關次數:
  • 被引用被引用:2
  • 點閱點閱:175
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
股票市場中常常出現各種股票概念族群,投資人針對特定風格族群進行投資,來獲得超額報酬,稱為「風格投資」(style investing)。本研究以風格投資概念為出發點,建立價值股、成長股、大型股、小型股等四種風格,與市場投資組合進行超額報酬之檢定。
本研究的實證結果顯示:(1)小型股與價值股顯著優於市場投資組合;(2) 台灣股票市場中存在價值效應與規模效應;(3)風格投資會受到在景氣循環的影響,投資人在進行風格投資時應將景氣循環納入考量。

There are various concepts of stocks in stock markets. Style investing is referred to as investing similar company characteristics as a style portfolio in order to obtain excess return. This study constructs four style portfolio including value stocks,growth stocks, large-cap stocks and small-cap stocks. Consider market portfolio as a benchmark, this study examine the excess return among four style portfolio with the statistics approach.
The main empirical results of this study are as following. First, small-cap stocks and value stocks are significant than the market portfolio. Second,There are size effect and value effect in Taiwan stock markets. Third, Business cycle have impacts on style investing. Investors should pursue style investing with caution, taking into account economicconditions.
目錄
第壹章 緒論...............................................1
第一節 研究動機與目的.......................................1
第二節 研究流程與架構.......................................5
第貳章 文獻回顧............................................7
第一節 風格投資............................................7
第二節 風格投資分類方式.....................................10
第參章 研究設計............................................17
第肆章 實證結果與分析.......................................24
第一節 風格投資組合報酬率敘述統計.............................24
第二節 風格投資組合報酬率差異檢定.............................28
第三節 不同景氣狀態下之風格報酬率分析..........................32
第伍章 結論與建議..........................................35
第一節 研究結論............................................35
第二節 研究建議............................................36
參考文獻..................................................37

圖表目錄
圖1研究流程.................................................6
表1台灣景氣循環基準日期表.....................................22
表2景氣狀況時期.............................................23
表3以等比重加權計算持有單月報酬率敘述統計量......................25
表4以等比重加權計算持有三個月報酬率敘述統計量....................26
表5以等比重加權計算持有六個月報酬率敘述統計量....................27
表6以等比重加權計算持有十二個月報酬率敘述統計量..................28
表7風格投資組合報酬率差異檢定.................................31
表8風格投資組合在不同景氣狀態下之報酬率差異檢定..................34


中文部分:
陳巧林 (2004),「價值型風格投資於台灣股票市場之研究」,國立政治大學財務管理研究所未出版碩士論文。
陳安琳、李文智與葉仲康 (1999),「系統風險及規模與股票報酬關係之實證研究」,中華管理評論,第1-14頁。
潘紹華 (2006),「價值型與成長型股票之績效評估」,國立屏東科技大學財務金融所未出版碩士論文。
英文部分:
Ahmed, Parvez and Sudhir Nanda (2001), "Style Investing: IncorporatingGrowth Characteristics in Value Stocks", Journal of PortfolioManagement, 27, pp. 47-59.
Arshanapalli, Bala, T. Daniel Coggin, and John Doukas (1998),"Multifactor Asset Pricing Analysis of International Value Investment Strategies", Journal of Portfolio Management, 24, pp. 10-23.
Asgharian, Hossein and Bjorn Hansson (2010), "Book-to-Market and Size Effects: Compensations for Risks or Outcomes of Market Inefficiencies?",European Journal of Finance, 16, pp. 119-131.
Banz, Rolf W.(1981),"The Relationship Between Return and Market Value ofCommon Stocks",Journal of Financial Economics,9, pp. 3-18.
Barber, Brad M. and John D. Lyon(1997), "Firm Size, Book to Market Ratio, andSecurityReturns: A Holdout Sample of Financial Firms", Journal of Finance, 52,pp. 875-883.
Bernstein, Richard (1995), "Style Investing: Unique Insight into Equity Management", John Wiley &; Sons Ltd.
Capaul, Carlo, Ian Rowley, and William F. Sharpe (1993), "International Valueand Growth Stock Returns" Financial Analysts Journal, 49, pp. 27-36.
Chan L., Hamao Y., and Lakonishok J. (1991) , " Fundamentals and stock returns in Japan", Journal of Finance, 46,pp.1739–1764.
Chan, K. C., and Nai-fu Chen(1991),"Structural and Return Characteristics of Small and Large Firms", Journal of Finance, 46, pp. 1467-1484.
Dimson, Elroy and Paul Marsh (1999), "Murphy's Law and MarketAnomalies",Journal of Portfolio Management, 25, pp. 53-70.
Fama, Eugene F. and Kenneth R. French(1992), "The Cross-Section of Expected StockReturns", Journal of Finance, 47, pp. 427-465.
Fama, Eugene F. and Kenneth R. French(1998), " Value versus growth: The international evidence ", Journal of Finance ,53,pp. 1975-2000.
Fama, Eugene F. and Kenneth R. French (2006), "The Value Premium and CAPM ", Journal of Finance, 61, pp.2163-2185.
Fama, Eugene F. and Kenneth R. French (2007), "The Anatomy of Value and Growth Stock Returns ", Journal of Finance, 63, pp. 44-54.
Gallo, John G and Larry Lockwood (1997), "Benefits of Proper StyleClassification of Equity Portfolio Managers", Journal of PortfolioManagement, 23, pp. 47-56.
Gallo, John G., ChanwitPhengpis and Peggy E. Swanson (2008),"InstitutionalFlows and Equity Style Diversification", Applied Financial Economics,18, pp. 1441-1450.
Horowitz, Joel J., Tim Loughran and N. E. Savin(2000), "Three Analyses of the FirmSize Premium", Journal of Empirical Finance, 7, pp. 143-53.
Keim, D. B.(1983), "Size-Related Anomalies and Stock Return Seasonality: FurtherEmpirical Evidence", Journal of Financial Economics, 12, pp. 13-32.
Kwag, S. W., and Lee, S. W. (2006),"Value Investing and the Business Cycle",Journal of Financial Planning, 3, pp. 64-71.
Lakonishok, J., A. Shleifer, and R. Vishny(1994),"Contrarian Investment, Extrapolation, and Risk", Journal of Finance, 49, pp.1541-1578.
Lintner, J.( 1965), " The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets " ,Review of Economics and Statistics, 47,pp.13-37.
Loughran and N. E. Savin(2000), "The Disappearing Size Effect",Research in Economics, 54, pp. 83-100.
Montier, J. (2002), "BehaviouralFinance: Insight into IrrationalMinds and Markets", John Wiley &; Sons Ltd.
Mossin, J. (1966), "Equilibirium in a Capital Asset
Market", Econometrica, 34, pp. 768-783.
Reinganum, Marc R. (1992), "A Revival of the Small Firms Effect", Journal of Portfolio Management, 18, pp. 55-62.
Ross, S. A.(1976), "The Arbitrage Theory of Capital Asset Pricing", Journal of Economic Theory, 13, pp.341-360.
Sharpe, William F. (1964), "Capital Asset Prices: A Theory of Market Equilibrium under Conditional of Risk", Journal of Finance, 19,pp. 425-442.
Sharpe, W. F.(1992), "Asset Allocation: Management Style andPerformance Measurement— an Asset Class Factor Model Can Help MakeOrder Out of Chaos", Journal of Portfolio Management,18,pp. 7-19.
Stoll, H.R. and Whaley, R.E.(1983), "Transaction Costs and the Small FirmEffect", Journal of Financial Economics, 12, pp.57-79.
Teo Melvyn and Sung-Jun Woo (2004), "Style effects in the Cross Section of Stock Returns", Journal of Financial Economics,74, pp. ,367-398.
Treynor,J.(1961), "Toward a Theory of Market Value of Risky Assets",unpublished manuscript.



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