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    政大典藏 > College of Commerce > Department of MIS > Theses >  Item 140.119/95168


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95168


    Title: 以產業空間與景氣空間之關聯性建立投資策略
    Authors: 黃國容
    Contributors: 劉文卿
    黃國容
    Keywords: 產業空間
    景氣空間
    投資策略
    Date: 2009
    Issue Date: 2016-05-09 15:18:24 (UTC+8)
    Abstract: 　　本研究將台灣整體市場之股票以財務指標、規模及產業進行分類，定義為產業空間，並將各總體經濟指標分類，定義為景氣空間。藉由尋找出產業空間與景氣空間內元素之相關性，以順向逐步迴歸(Forward Stepwise Regression)建構模型，並建立投資策略，可以協助投資人選擇投資標的與買進賣出之判斷。將其績效與大盤及各類股指數進行比較，回測數據顯示本研究之投資策略均有較優的表現。
    Reference: 中文部分
    1.經建會，台灣景氣指標月刊，第28卷第3期。
    2.劉維琪、李佳玲(1993)，運用隨機優勢模式再探討台灣股市本益比效應，會計評論，第27期，1-24。
    3.方志強、姚明慶(1998)，台灣上市公司的淨值市價比現象，管理學報，第15卷第3期，367-391。
    4.黃柏農(1998)，再驗台灣的股價與總體變數之間的關係，證券市埸發展季刊，第10卷第4期，89-109。
    5.邱建良、李命志、邱柏霖(1999)，台灣股價之預測，台灣銀行季刊，第50卷第4期，130-171。
    6.吳啟銘(2001)，企業評價個案實證分析，智勝文化出版社。
    英文部分
    7.Babson, David L.(1951), The Case of Growth vs Income Stocks on a Yield Basis, Weekly Staff letter, September, 17.
    8.Chan, L. Y. Hamao, and J. Lakonishok(1991), Fundamentals and Stock Return in Japan, Journal of Finance, 46, 1739-1764.
    9.Capaul, C.,I. Rowley, and W. Sharpe(1993), International value and growth stock returns, Financial Analysts Journal, 1993 Janury/February, 27-36.
    10.Dreman. D. N. and Lufkin E. A.(1997), Do Contrarian Strategies Work Within Industries?, Journal of Investing, Fall 1997, 6, 7-29.
    11.Fama, E. and K. French(1992), The Cross-section of Expected Stock Rerurns, Journal of Finance, 47, 427-465.
    12.Graham and Dodd(1934), Security Analysis, New York: McGraw-Hill.
    13.Grinold and Kahn(1992), Information Analysis, Journal of Portfolio Management, Spring, 14-21.
    14.Lakonishok, J.,A. shleifer, and R. Vishny(1994), Contrarian Investment, Extrapolation, and Risk, Journal of Finance , 49, 1541-1578.
    15.Morningstar Style Box Methodology(2004), Morningstar Methodology paper.
    16.McMillan David G. (2003), Non-linear Predictability of UK Stock Market Returns, Oxford Bulletin of Economics and Statistic, 65, 557-573.
    17.Schwert, G. W. (1989), Why Does Stock Market Volatility Change over Time, Journal of Finance, 44, 1115-1154.
    Description: 碩士
    國立政治大學
    資訊管理學系
    96356029
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096356029
    Data Type: thesis
    Appears in Collections:[Department of MIS] Theses

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