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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145779


    Title: 學術研究對於股票報酬可預測性之影響：以台灣股票市場為例
    The Impact of Academic Research on the Predictability of Stock Returns in Taiwan Stock Market
    Authors: 陳靖倫
    Chen, Ching-Lun
    Contributors: 鍾令德
    陳靖倫
    Chen, Ching-Lun
    Keywords: 因子投資
    發表效果
    統計偏誤
    Factor investing
    Publication effect
    Statistical biases
    Date: 2023
    Issue Date: 2023-07-06 16:29:52 (UTC+8)
    Abstract: 因子投資法讓投資人有系統地選擇投資組合，其建設方式既直接且透明度高，故日漸受到實務界及學界的青睞。然而過去的投資績效並不保證未來的收益，隨著數以百計的因子的出現，亦有諸多學者質疑因子在不同市場及時間的預測能力。本研究彙整36個台灣股票市場證實有效預測橫斷面報酬之財務特徵，透過回測以檢視特徵排序所建立之多空因子投資策略，並參考McLean and Pontiff(2016)的研究方法評估各因子在學術研究發表前、後的表現。在我們所檢視的36個因子中，僅在4個因子發現負的發表效果，可證因子之學術研究發表效果於台股、美股市場不盡相同。
    Factor investing gives investors a systematic approach to selecting investment portfolios, and its construction is intuitive and transparent. As a result, it becomes increasingly popular among practitioners and academics. However, past investment performance does not guarantee future returns. With the emergence of hundreds of factors, researchers are growingly concerned about the validity of factors across different markets and time periods. In this study, we re-examine 36 stock characteristics that are effective in predicting cross-sectional returns in the Taiwan stock market. Following McLean and Pontiff(2016), we first sort stocks by their characteristics to form longshort strategies, we then measure their performance before and after their academic research publications. It turns out that only 4 out of 36 factors exhibit negative publication effects, suggesting that the academic publications on factor investing impact the Taiwan and U.S. stock markets differently.
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    110351007
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110351007
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

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