臺灣博碩士論文加值系統

本研究使用1998/12~2016/02，共5個景氣循環階段的資料，並依據行政院國家發展委員會的定義，將景氣階段區分為擴張、緊縮期。首先，使用Fama-MacBeth橫斷面迴歸檢驗規模、價值、投資、獲利、動能五項因子，發現在景氣擴張時，對個股報酬有顯著影響的為價值因子(淨值市價比)、獲利因子(營運獲利對資產比)，而景氣緊縮期時，對個股報酬有顯著影響的有投資因子(總資產成長率)、獲利因子(營運獲利對資產比)。
接著，本研究以不同景氣階段下顯著的因子，建構投資組合，發現在景氣擴張期下，結合價值因子(淨值市價比)、獲利因子(營運獲利對資產比)，能提升單一因子的表現，另外，雙因子投資組合的平均月報酬，超越同時期大盤，約為加權股價指數的兩倍，但未顯著異於加權股價指數的表現。而在景氣緊縮期下，結合投資因子(總資產成長率)、獲利因子(營運獲利對資產比)，可以提升單一因子的表現，另外，與同時期加權股價指數相比，以等權重方式建構的雙因子投資組合仍可獲利，而加權股價指數卻產生了虧損，不過投資組合並未顯著異於加權股價指數的表現。

The objective of the research is to explore the relation between business cycle and factor investing. The data starts from December 1998 to February 2016. According to National Development Council, the sample includes five business cycle. The classification of expansion and contraction period in each business cycle also based on the definition of National Development Council. The research contains two parts. First, I employ Fama-Macbeth regression to identify which investing factors are significant in expansion and contraction periods. In expansion periods, value factor (defined as book to market ratio) and profitability factor (defined as operating profitability to total asset ratio) are significant factors. In contraction periods, investment factor (defined as total asset growth rate) and profitability factor (defined as operating profitability to total asset ratio) are significant factors.
Second, I apply value, profitability and investment factor in portfolio sorts. I sort stocks by value and profitability factor in expansion periods and construct portfolios based on investment and profitability factor in contraction periods. Compared to an independent sort, double-sorting portfolios generate higher returns. Specifically, the average monthly return of portfolios based on value and profitability factor is twice as high as Taiwan stock market index. However, the performance of double-sorting portfolios is not significantly better than that of Taiwan stock market index.

第一章 緒論 7
第二章 研究方法 11
　　第一節 樣本資料 11
　　第二節 景氣循環定義 11
　　第三節 Fama-Macbeth橫斷面迴歸模型 12
　　第四節 投資組合建構方式 13
第三章 實證結果 14
　　第一節 景氣擴張期、緊縮期下顯著的因子 14
　　第二節 以顯著的因子建構投資組合之表現 16
第四章 結論 27
參考文獻 29
附錄 32
　　使用季資料之Fama-Macbeth橫斷面迴歸結果 32

中文部分
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2. 吳國源(2020)，台股價格動能投資策略之探討：以市值前 150 大之股票為 標的，國立中央大學財務金融學系碩士論文。
3. 李逸倫(2017)，台灣股市的多空策略獲利性研究-扣除利息費用與加回研發費用後之營業利益對總資產比、營業毛利對帳值比、與傳統因子資訊間之搭配，逢甲大學財務金融學系碩士班論文。
4. 林志育(2005)，淨值市價比成因之探討，國立中正大學財務金融所碩士論文。
5. 林佳穎(2010)，總資產成長率對股票報酬影響之實證研究，國立中正大學財務金融系碩士論文。
6. 彭盛寬(2019)，考量景氣循環之智慧型投資策略，國立高雄科技大學金融資訊系碩士論文。
7. 葉鳳蓮(2010)，台灣上市櫃公司資產成長效應與股票報酬之關聯性研究， 國立臺北大學國際財務金融碩士在職專班碩士論文。
8. 蔣文敏(2009)，景氣循環指標建構與風格投資策略，國立雲林科技大學財務金融碩士論文。
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英文部分
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