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| Title: | 分析師樣本公司之因子模型 : 台灣市場實證分析
Factor model of analyst forecasting companies : an empirical analysis of Taiwan market |
| Authors: | 阮彥勳
Juan, Yen Hsun |
| Contributors: | 林士貴
阮彥勳
Juan, Yen Hsun |
| Keywords: | 統計套利
因子模型
分析師歧異度
投資組合策略
Statistical arbitrage
Factor model
Analyst dispersion
Portfolio |
| Date: | 2017 |
| Issue Date: | 2017-07-11 11:29:55 (UTC+8) |
| Abstract: | 研究使用2000~2016年台灣證券交易所1887家公司，包含所有上下市櫃分析師預測公司，分析師預測資料除研究常用之盈餘預測外，亦將營收、毛利與毛利率等預測項目納入研究，此外加入額外因子，如:規模因子、淨值市價比因子、系統性風險因子、非流動性因子等進行多因子研究，使用Fama and French(1992)之Fama Macbeth迴歸模型，進行時間序列與橫斷面迴歸測驗，檢驗各因子之有效性，最終依據各績效評估因子決定出最適之投資組合，並附上各因子組合之權益曲線與績效。
實證結果發現，在台灣分析師樣本公司中，分析師歧異度、短期動能與長期動能三因子的影響較為顯著，分析師預期歧異度較高的公司未來預期報酬相對低於分析師預期歧異度較低的公司，而短期動能與長期動能較強的公司相較於短期動能與長期動能較弱的公司，擁有較高之未來預期報酬，以此三因子構建之投資組合，在2000~2016年間夏普值達0.78；而Fama and French使用的三因子在此樣本空間解釋力並不顯著，非流動性因子亦不顯著。
This paper used the 1887 companies in Taiwan from 2000 to 2016, including all the analysts forecasting listed and delisted companies in either exchange market or over-the-counter market. The data of analyst’s prediction not only used the earnings forecast, but also revenue, gross profit and gross profit forecast in this research. In addition, other factors such as size factor, B/M factor, systemic risk factor, non-liquidity factor were used in this study. This paper used the Fama Macbeth regression model, which contains both time series and cross section Regression test, test the effectiveness of each factor, and ultimately based on the performance factor to determine the optimal portfolio, and finally obtain the equity curve and performance of the combination with various factors.
The empirical results show that the analyst`s earning dispersion, short-term momentum and long-term momentum three factors are more significant in the analyst forecasting companies in Taiwan. Companies with higher degree of earning prediction dispersion have relatively lower return in the future, and companies with higher short-term momentum and long-term momentum have a higher expected return. Build a portfolio with the three factor in 2000~2016 could obtain 0.88 Sharpe ratio! Neither Fama and French three factors nor non-liquidity factor in this sample space is significant. |
| Reference: | [1] Abarbanell, J. S. (1991). Do analysts` earnings forecasts incorporate information in prior stock price changes?. Journal of Accounting and Economics, 14(2), 147-165.
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[15] 李佳玲. " 分析師預測歧異度與修正量對股權價值評估之攸關性, 靜宜大學財務金融學系碩士論文." (2014).
[16] 陳榮昌. "台灣股票報酬之結構分析, 國立中山大學財務管理學系碩士論文." (2002). |
| Description: | 碩士
國立政治大學
金融學系
104352010 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104352010 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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