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| Title: | 以預期風險溢價建立股票評分系統—以台灣股市為例
Using Expected Risk Premium to Build Scoring System in Taiwan Stock Market |
| Authors: | 徐若庭
Hsu, Jo-Ting |
| Contributors: | 郭維裕
徐若庭
Hsu, Jo-Ting |
| Keywords: | 風險溢價
因子溢價
超額報酬
四因子模型
Risk premium
Factor premium
Excess return
Four-factor model |
| Date: | 2020 |
| Issue Date: | 2020-09-02 11:40:13 (UTC+8) |
| Abstract: | 經過幾次的金融危機，投資者對於分散風險更為看重，各種投資組合的建構方法不斷地推陳出新。本文結合因子溢價的觀點以及風險曝露來建構個股的分數，依據分數進行排名，接著將排名由低到高組成五組等權重投資組合，持有投資組合並檢視各組的報酬表現，藉此提供投資者一個新的風險評估方法。
經本文實證研究得出，排名最低的投資組合，報酬表現較為優異，排名最高的組合，報酬表現則最為不佳。另外運用四因子模型進行分析，投資組合報酬約有84.7%能夠由模型解釋，且多數投資組合皆獲得了超額報酬，其中市場風險因子(MKT)對各投資組合報酬皆有顯著的正相關，經實證組成之五組投資組合顯示多偏向高帳面市值比、價值型投資組合。
After several financial crises, investors are more concerned about diversifying risks. Various methods to construct portfolio are constantly innovating. We integrating the views and exposures of the factor premiums to build the score of stocks, and rank stocks based on the score. Then, according to the ranking from low to high, the stocks are grouped into five equal weight portfolios. We hold the portfolios and observe the performance of each group to provide investors with a new method of risk assessment.
The empirical results show that the lowest-ranked portfolio has the best performance, and the highest-ranked portfolio has the worst performance. In addition, we also use the four-factor model for analysis. Approximately 84.7% of the portfolios returns can be explained by the model`s inputs, and most of the portfolios have received excess returns. Market risk factor (MKT) has a significant positive correlation with the return of each portfolio. The five groups of portfolios in the empirical result tend to be high book-to-market ratio portfolios and value portfolios. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
107351031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107351031 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202001347 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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