English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113325/144300 (79%)
Visitors : 51157520      Online Users : 907
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/98834


    Title: 量化投資模型在台灣股市之應用
    Quantitative Investment Model applied in Taiwan Stock Market
    Authors: 游棅然
    Yu, Ping Jan
    Contributors: 郭維裕
    Kuo, Wei Yu
    游棅然
    Yu, Ping Jan
    Keywords: 量化投資
    量化模型
    因子模型
    主動投資
    超額報酬
    Quantitative Investment
    Quantitative Model
    Factor Model
    Active Management
    Excess return
    Date: 2016
    Issue Date: 2016-07-11 16:52:48 (UTC+8)
    Abstract: 本研究目的為建立適用於台灣股市的量化投資模型,並針對台灣50及中型100成分股進行分析。本研究利用多因子模型為量化投資模型架構,試圖找尋更多維度影響股價報酬的因子,並以資訊係數(Information Coefficient)、IC t統計量、成功率(Success rate)及Quintile累積報酬檢驗因子有效性,篩選出穩定且有效解釋股價報酬的月頻率因子,再依據市場波動性、因子預測股市報酬的能力及因子獲利能力組成Alpha分數,並以Alpha分數作為投資權重的依據。本研究透過多因子量化投資模型建構台灣50及中型100為標竿指數的投資組合,並根據資訊比率及夏普比率來衡量兩檔標竿指數使用不同加權方式組成的投資組合績效,我們發現中型100標竿指數依價值加權組成的投資組合績效優於其他投資組合並有效打敗標竿指數。
    本研究亦發現樣本內因子與樣本外因子結構的不同,可能是導致量化投資模型應用在台灣50標竿指數成分股的效果不是相當理想的原因。
    Reference: 劉宗聖、許家榮、粘瑞益、張力文,2007。計量化投資策略:資產管理的創新與應用。台北市:財訊

    Ang, A., & Bekaert, G. (2007). "Stock return predictability: Is it there?. " Review of Financial studies, 20(3), 651-707.

    Campbell, J. Y., & Thompson, S. B. (2005). "Predicting the Equity Premium out of sample: Can anything beat the historical average? " (No. w11468). National Bureau of Economic Research.

    Ding, Z. (2010). "The Fundamental Law of Active Management: Time Series Dynamics and Cross-Sectional Properties. " Available at SSRN 1625834.

    Goetzmann, W. N., & Jorion, P. (1993). "Testing the predictive power of dividend yields. " The Journal of Finance, 48(2), 663-679.

    Grinold, Richard C. (1994) "Alpha is volatility times IC times score." The Journal of Portfolio Management 20.4: 9-16.

    Guo, H. (2002). "On the out-of-sample predictability of stock market returns. " Available at SSRN 315089.

    Lamont, O. (1998). "Earnings and expected returns. " The journal of Finance, 53(5), 1563-1587.

    Menzly, L., Santos, T., & Veronesi, P. (2004). "Understanding predictability. " Journal of Political Economy, 112(1), 1-47.

    Pontiff, J., & Schall, L. D. (1998). "Book-to-market ratios as predictors of market returns. " Journal of Financial Economics, 49(2), 141-160.

    Qian, Edward, and Ronald Hua. (2004) "Active risk and information ratio." Journal of Investment Management 2.3: 20-34.

    Richard Lawson and George Platt, (August 2004)" The A-Z Quant", Macquarie Research Equity
    Richard C. Grinold and Ronald N. Kahn, (Spring 1992) “Information analysis”, The Journal of Portfolio Management, vol.18, no.3:14-21

    Rozeff, M. S. (1984). "Dividend yields are equity risk premiums. " Journal of Portfolio management, 68-75.

    Welch, Ivo, and Amit Goyal. (2008) "A comprehensive look at the empirical performance of equity premium prediction." Review of Financial Studies 21.4: 1455-1508.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    103351032
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103351032
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

    Files in This Item:

    File Description SizeFormat
    103201.pdf1127KbAdobe PDF2142View/Open
    103202.pdf1127KbAdobe PDF297View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback