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研究生:葉千綺
研究生(外文):Chien-chi Yeh
論文名稱:量化選股策略--以台灣市場為例
論文名稱(外文):Quantitative Stock Selection Strategy- Using Taiwan Stock Market as Example
指導教授:王昭文王昭文引用關係黃振聰黃振聰引用關係
指導教授(外文):Chou-Wen WangJen-Tsung Huang
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
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:2015
畢業學年度:103
語文別:中文
論文頁數:54
中文關鍵詞:量化投資回測分析主成分分析市價淨值比獨立樣本T檢定
外文關鍵詞:back-testing analysisprice-to-book ratioprincipal component analysisquantitative investmenttwo-sample t-test
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在全球市場規模逐漸擴大的背景下,量化投資在全球市場已越來越受投資人青睞,而現今的台灣市場,其規模與資本額亦越來越大,投資人要如何從這龐大的資產池中,找出對的投資標的與有效地分配資產,即是本研究欲發展的方向。本研究的主旨為,使用量化投資的方法,找出財報變數間隱藏的訊息,並設計出一套穩定且有效的選股策略,應用於台灣市場上,能夠使投資人在長期下獲得超額報酬。
本研究主要可分為三大部分。第一部分為篩選變數,在眾多的季報與月報變數中,本研究使用獨立樣本T檢定,檢定變數是否能有效地區分出股票報酬的差異性,再加上以市場表現為基準,每一顯著變數所選出較好的股票是否能夠打敗市場報酬為條件,來選定為有效變數;第二部分為將這些有效變數,利用主成分分析,以變數間的變異量決定各個變數的權重,並建立總指標PI;第三部分則利用市價淨值比與PI指標的搭配,設計一套選股策略,並進行績效回測。其回測內容包含了市價淨值比與PI指標的關係、依資本額大小分為小額資金與大額資金的績效分析、以及投資組合改善方法的探討。為更能符合實務上的操作,上述之回測結果皆比照實際情況,加入交易成本以及成交量的限制條件。
研究結果發現,根據本研究所設計的投資策略,小額資金方面,投資1000萬之平均年報酬可達25.95%,而投資5000萬之平均年報酬可達17.34%;大額資金方面,投資10億之平均年報酬可達17.10%,而投資30億之平均年報酬可達12.93%。且若於不同時間點進場投資並投資一年後,除了2007年底至2008年中的金融海嘯時期之外,大部分時間點其年報酬皆為正報酬。
On the background of the global markets gradually expanding, quantitative investment has become more popular for investors. Since the scale and the capital of stock market in Taiwan has become huger, this research is to help investors find out better portfolio and allocate assets efficiently from the asset pool in Taiwan stock market. The aim of the research is to find the hidden information in the factors among the financial report and design a stable and effective investment strategy, which can earn abnormal returns in the long run.
This research is divided into three parts. The first part is effective factors selection. Among numerous factors of financial reports, this research uses two-sample t-test to determine if the factors can distinguish the difference of stock return, and see if the better stocks selected by every significant factor can also beat the market return. The effective factors are selected based on above two conditions. The second part is indicator construction. This research uses the principal component analysis to determine the weight of each effective factor, and then construct an indicator PI. The last part is investment strategy designation. This research designs an investment strategy by combining price-to-book ratio with indicator PI and makes the back-testing analysis. The back-testing analysis includes the relationship between price-to-book ratio and indicator PI, performance of small value funds and large value funds, and discussion of portfolio improvement. In order to conform to the practical application, this research also take transaction cost and trading volume into account.
The finding of this research is that in terms of small value funds, ten million and fifty million for instance, the empirical results show that the average year return is 25.95% and 17.34% separately; in terms of large value funds, one billion and three billion for instance, the empirical results show that the average year return is 17.10% and 12.93% separately. When investing in different periods, except from the end of 2007 to middle of 2008, investors have the positive year returns in most of the periods after investing in one year.
目錄
論文審定書 i
誌謝辭 ii
摘要 iii
Abstract iv
第一章 緒論 1
第一節 量化投資背景概述 1
第二節 研究動機與目的 2
第三節 研究流程與架構 3
第二章 文獻回顧 4
第一節 單因子模型 4
第二節 雙因子模型 6
第三節 多因子模型 6
第三章 研究方法 8
第一節 蒐集財報資料 8
第二節 投資組合建構期間 12
第三節 獨立樣本T檢定 13
第四節 主成分分析 15
第四章 設計投資策略與回測績效分析 17
第一節 每季指標篩選之個股績效 17
第二節 設計投資策略與投資限制 25
第三節 衡量投資組合績效指標 25
第四節 回測績效分析 28
第五章 結論與建議 41
第一節 結論 41
第二節 後續研究建議 43
參考文獻 44
一、中文文獻
蔡宗勳 (2009) 多因子風險模型系統平台,國立中山大學財務管理所,碩士論文。
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