政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/136367

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/136367

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文笔数/总笔数 : 113318/144297 (79%)
造访人次 : 51071195 在线人数 : 988

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜寻范围

查询小技巧：

您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果

若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据

进阶搜寻

主页 ‧ 登入 ‧ 上传 ‧ 说明 ‧ 关于政大典藏 ‧ 管理

到手机版

政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/136367

请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/136367

题名:	基於打分法之多因子選股策略建構：中國 A股市場實證分析 Constructing a Multi-factor Investing Strategy Based on Scoring Method: An Empirical Analysis of China A- share market
作者:	胡維維 Hu, Wei-Wei
贡献者:	林建秀 Lin, Chien-Hsiu 胡維維 Hu, Wei-Wei
关键词:	中國A股市場因子有效性多因子模型歸因分析 China A-share market Factor validity Multi-factor model Attribution analysis
日期:	2021
上传时间:	2021-08-04 14:52:43 (UTC+8)
摘要:	本研究以2006年至2020年的中國A股市場爲對象構建打分法下的多因子選股策略，首先以中國A股市場股灾發生前的數據爲樣本，在規模類、估值類、質量類、成長類等常見的10大類因子中選擇了18個因子對其有效性進行識別，經過橫斷面t檢定、IC-IR檢定法、相關性檢定、因子分層回測一系列步驟對各類因子進行有效性、穩健型、獨立性以及一致性進行分析，最終篩選出6個風格因子，分別爲總市值對數、賬面市值比、每股收益成長率、非流動性指標、過去一個月股價報酬、過去一個月BETA值。識別出有效因子後，再基於打分法對六因子進行隨機組合，發現在單因子的基礎上不斷加入其餘因子可以在一定程度上提升選股效果，樣本內績效最佳的投資策略爲由六因子共同排序打分所構建的策略，投組的夏普比率與信息比率分別達到了1.1767以及1.3061。爲檢驗六因子打分法的穩定性，將該策略應用於股灾後的數據進行回測檢驗，雖然結果顯示投組在整體上的表現仍優於基準指數滬深300，但在2017-2018年間的超額收益有所下降，最後透過投組歸因分析發現由於因子風格轉變以及行業輪動等原因造成策略發生階段性的失效。 This paper takes China`s A-share market from 2006 to 2020 as the object to construct a multi-factor investing strategy under the scoring method. First, taking the data before the 2015 China stock market crash as the sample, selected 18 factors from 10 common categories, such as size, valuation, quality, and growth to identify their effectiveness. Through a series of steps of cross-sectional T-test, IC-IR test, correlation test, and factor stratification test, the effectiveness, robustness, independence, and consistency of various factors were analyzed, and finally, 6 style factors were screened out: logarithm of total market capitalization, book-to-market ratio, EPS growth rate, Amihud ILLIQ, a stock price return of the past month, BETA of the past month. After the effective factors are identified, these six factors are randomly combined based on the scoring method. It is found that adding other factors based on a single factor can improve the effect of stock selection to a certain extent. The investment strategy with the best performance in the sample is the six-factor model, the Sharpe ratio and Information ratio of the portfolio reached 1.1767 and 1.3061. This strategy was applied to the market after the 2015 crash to test the stability of the six-factor scoring method. Although the results showed that the portfolio`s overall performance was still better than the benchmark index CSI 300, the excess return declined from 2017 to 2018. Finally, through the attribution analysis, we can find that the strategy fails periodically due to factor style and industry rotation change.
參考文獻:	[1] Amihud, Y. and H. Mendelson, (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223–249. [2] Amihud, Y., (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56 [3] Arbel, A., Strebel, P. (1982). The neglected and small firm effects. Financial Review, 17(4), 201-218. [4] Banz, Rolf W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18. [5] Basu.S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis. Journal of Finance, 32(3), 663-682 [6] Blitz, D., & Van Vliet, P. (2007). The volatility effect: lower risk without lower return. Journal of Portfolio Management, 34(1), 102-113 [7] Chan, K.C. and Chen, N. (1991). Structural and return characteristics of small and large firms. Journal of Finance, 46(4), 1467-1484. [8] Carhart, M. (1997). On persistence in mutual fund performance. Journal of Finance, 52(1), 57-82. [9] Chen, L, Novy-Marx, R, Zhang, L. (2010). An alternative three-factor model. Working paper. Washington University in St. Louis. [10] De Bondt, W. F. M., R. H. Thaler. (1985). Does the stock market overreact?. Journal of Finance, 40(3), 793-805. [11] Fama, E. F. and K. R. French, (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427–465. [12] Fama, E. F. and K. R. French. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22. [13] Haugen, R., W. Baker, (1996). Commonality in the determinants of expected stock returns. Journal of Financial Economies, 41(3), 401-439. [14] Jegadeesh, N.and S. Titman. (1993). Return to buying winner and selling losers: implication for stock market efficiency, Journal of Finance,48(1),65-91. [15] Lee, C. M. C., Y. Qu, and T. Shen (2017). Reverse mergers, shell value, and regulation risk in Chinese equity markets. Working paper. Stanford University. [16] Reinganum, Marc R. (1981). Misspecification of capital asset pricing: Empirical anomalies based on earnings` yields and market values. Journal of Financial Economics, 9(1), 19-46. [17] Rosenberg, B., Reid, K. and Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11(3), 9-16. [18] 孔東民.“流動性風險與資產定價：來自中國股市的證據”.南方經濟.2006(3). 91-107 [19] 王永宏,趙學軍.“中國股市‘慣性策略’和‘反轉策略’的實證分析”.經濟研究.2001(6).56-89 [20] 王春峰,韓冬,蔣祥林.“流動性與股票回報：基於上海股市的實證研究”.經濟管理.2002(24)58-67 [21] 朱世武,鄭淳.“中國資本市場股權風險溢價研究”.世界經濟.2003(11).62-70 [22] 李斌,馮佳捷. “中國股市的公司質量因子研究”. 管理評論. 2019(3).14-26 [23]肖軍,徐信忠.“中國股市價值反轉投資策略有效實證研究”.經濟研究.2004(3).55-64 [24] 林曉明.“華泰多因子模型體系初探”.華泰證券研究報告.(2016). [25] 胡昌生，高玉森.“分析師情緒會影響股票價格嗎?”.金融研究. 2013 (6).193-206 [26] 柴宗澤. “證券流動專題研究（一）：非流動性因子ILLIQ的選股效力”.安信證券研究報告.(2013). [27] 郭少石.“基於多因子模型的量化選股研究”.天津大學金融學系碩士論文.(2016). [28]彭慧文.“中國股市個股非流動性、換手率和短期反轉的關係”. 金融發展研究.2013(9). 8-14 [29] 費洋.“A股市場多因選股量化模型構建及其檢驗”.浙江大學金融學系碩士論文.(2018). [30] 楊雨晴.“系統波動率還是特質波動率？”. 厦門大學金融學系碩士論文.(2020). [31] 雷璇.“基於回歸和打分法的因子選股模型對比分析”.大連理工大學金融學系碩士論文.(2019). [32] 熊海斌,楊帆. “股息率與股票收益:基於中國股市經驗證據的研究”.商業研究. 2013 (8).151-156 [33] 蔡慶豐,楊侃.“是誰在“捕風捉影”：機構投資者VS證券分析師”.投資研究. 2018 (1).193-206 [34] 蘇冬蔚,麥元勛.“流動性與資産定價: 基於我國股市資産換手率與預期收益的實證研究”.經濟科學.2004(2).95-105
描述:	碩士國立政治大學金融學系 108352036
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0108352036
数据类型:	thesis
DOI:	10.6814/NCCU202100728
显示于类别:	[金融學系] 學位論文

文件中的档案:

档案	描述	大小	格式	浏览次数
203601.pdf		2309Kb	Adobe PDF2	0	检视/开启

在政大典藏中所有的数据项都受到原著作权保护.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - 回馈