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| Title: | 多因子選股策略之建構——以臺灣股市為實證
Constructing a Multi-factor Investing Strategy – An Empirical Study in Taiwan Stock market |
| Authors: | 余羚華
Yu, Ling-Hua |
| Contributors: | 李志宏
Lee, Jie-Haun
余羚華
Yu, Ling-Hua |
| Keywords: | 多因子投資
規模
帳市值比
獲利性
公司治理
流動性
資產成長
Multifactor investing
Size
Book to market ratio
Profitability
Corporate governance
Liquidity
Asset growth |
| Date: | 2018 |
| Issue Date: | 2018-08-01 16:22:09 (UTC+8) |
| Abstract: | 在本研究中檢視了六個因子──公司規模、帳市值比、獲利性、公司治理程度、股票流動性及公司資產成長，以2000年至2017年之台灣股市進行實證，觀察其是否能運用在台灣的股票市場中，作為有效的選股因子，為投資人創造潛在的超額報酬。並逐步將各因子做結合，以多因子模式進行選股投資，同時檢視不同的多因子選股方式是否能更有效創造出好的投資績效。
實證結果發現，在台灣的股票市場中，以公司規模、帳市值比、獲利性、公司治理程度、股票流動性因子等五個因子進行投資，都能透過買進持有策略獲得顯著且持續的超額報酬。將所選取的因子進行整合後，本研究發現結合多因子之投資模式，能利用多個因子的效果，並透過因子間的交互作用降低風險，創造出比單一因子之投資策略更佳的表現。其中，將規模、帳市值比、獲利性、公司治理以及流動性都同時綜合考量的五因子組合，能透過針對「物美價廉的冷門小型股」進行投資獲得最好的投資績效。而隨著投資期間越長，五因子組合越能將投資組合的風險降至與市場風險相當的水平，能有較佳的績效表現。然而因子數並非越多越好，選擇因子時除了考量是否能有效帶來超額報酬，是否能降低投資組合的風險，也是建構多因子組合所需要考量的重點之一。此外，以提升有效因子之權重的方式進行多因子選股，能夠創造更好的績效表現。本研究中增加了有效因子的權重，發現到能藉此進一步的提升多因子選股的表現。
In this study, we examined six factors—size, book to market ratio, profitability, corporate governance, stock liquidity, and asset growth. We used the data of Taiwan stock market from 2000 to 2017, to examine whether these factors can serve as effective stock selection factors in Taiwan stock market, and bring potential excess returns for investors. we also combined the factors to conduct multi-factor investments, and compared the performance of different process of multi-factor stock selection.
The empirical results show that while investing in Taiwan stock market through long-only strategy, selecting stocks by size, book to market ratio, profitability, corporate governance, and stock liquidity could continuously earn significant excess return. We also combined the factors selected, and found that multi-factor investments performed better than single-factor investment. It could not only take advantage of the effects of the single factor, but also reduce the portfolio risk. Among them, the five-factor investment which combined size, book to market ratio, profitability, corporate governance, and liquidity could have the best performance. As the investment period became longer, the five-factor investment could perform better by reducing the risk to the level close to the market. However, more factors do not guarantee better portfolio performance. Not only the effectiveness but the correlation between the factors should be considered. In addition, increasing the weight of effective factor could increase the excess return. In this study, we increase the weight of effective factors, and found that the portfolio performs better. |
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| Description: | 碩士
國立政治大學
財務管理學系
1053570191 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G1053570191 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.Finance.020.2018.F07 |
| Appears in Collections: | [財務管理學系] 學位論文
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