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    题名: 分析師樣本公司之因子模型: 台灣市場實證分析
    作者: 林士貴
    Lin, Shih-kuei
    阮彥勳;林朝陽
    Juan, Yen-hsun;Lin, Chao-yang
    贡献者: 金融系
    关键词: 統計套利;因子模型;分析師歧異度;最適投資組合
    Statistical arbitrage;Factor model;Analyst dispersion;Optimal portfolio
    日期: 2020-12
    上传时间: 2022-07-06 09:59:55 (UTC+8)
    摘要: 研究使用2000至2016年台灣證交所1,887家分析師預測公司。其資料除常用之盈餘預測外，亦加入額外因子，如規模、淨值市價比、系統性風險、流動性等多因子，使用Fama-Macbeth迴歸模型，進行時序與橫斷面測驗，檢驗各因子之有效性，最終依據各績效評估因子，決定最適之投資組合，並附上各因子組合之權益曲線與績效。結果發現，在台灣分析師樣本公司中，分析師歧異度、短期與長期動能三因子的影響較顯著，分析師預期歧異度較高其未來預期報酬，相對低於歧異度較低的公司；而短期與長期動能較強的公司，相對於較弱公司擁有較高之未來預期報酬，以此三因子構建之投組，在全期間夏普值達0.78；而Fama&French使用的三因子，在此樣本空間解釋力並不顯著，非流動性（Illiquidity）因子亦不顯著。
    This paper used the 1,887 companies in Taiwan from 2000 to 2016. The data of analyst`s prediction not only used the earnings forecast, but also other factors such as size factor, B/M factor, systemic risk factor, Illiquidity factor were used in this study. This paper used the Fama-Macbeth regression model, which contains both time series and cross section Regression test. It tested 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 factors during the period could obtain 0.78 Sharpe ratio. Neither Fama & French three factors nor Illiquidity factor in this sample space is significant.
    關聯: 統計與資訊評論, Vol.20, pp.1-37
    数据类型: article
    显示于类别:[金融學系] 期刊論文

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