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| Title: | 基本面選股策略運用於儀表板之投資組合績效評估—以台灣半導體產業為例
Dashboard on Fundamental Stock Selection Strategy for Assets Allocation in Taiwan Semiconductor Industry |
| Authors: | 莊語宸
Chuang, Yu-Chen |
| Contributors: | 郭維裕
Kuo, Wei-Yu
莊語宸
Chuang, Yu-Chen |
| Keywords: | 基本面分析
會計資訊
動能策略
選股策略
儀表板
投資組合配置
超額報酬率
多空策略
半導體產業
Fundamental
Accounting information
Momentum
Stock selection
Dashboard
Excess return
Long-short strategy
Semiconductor |
| Date: | 2021 |
| Issue Date: | 2021-07-01 16:01:09 (UTC+8) |
| Abstract: | 本研究以基本面的角度切入股市，運用多項常見之22項財務指標以及動能策略，建立一個新的選股方法，以儀表板(dashboard)視覺化的方式呈現買進及賣出訊號，並將此資產配置方法運用於台股之半導體產業中，最後依據所組成之投資組合績效來評估本研究採用之基本面選股方法，以檢視上述基本面指標是否有預測未來股價走向之能力。本研究以2005年第二季至2020年第三季台股半導體產業之72家標的公司作為研究樣本，並設定50%、60%與70%三種命中率(hit rate)，以及持有投資組合一個月、兩個月與三個月，共九種情形做為不同狀況之分析。採用全樣本做為研究對象時，持有兩個月以及三個月之投資組合績效明顯優於大盤，其中，又以持有三個月投資組合之績效最佳，報酬率大幅優於同期大盤之報酬率；採用五年期滾動(rolling)預測時，在所有情況下，本研究之投資組合績效優於大盤的比率皆大於50%，又以命中率為70%的情況下表現最佳。上述結果於命中率設定為50%下並持有一個月及兩個月，以及命中率設定為70%下並持有兩個月之投資組合績效在90%信心水準下顯著。此外，將本實驗結果於套用本資產定價模型（CAPM）時，在命中率設定為60%下，其超額報酬最為顯著，超額報酬分別為1.85%、4.41%以及8.23%。其中，持有兩個月及三個月之投資組合之超額報酬於99%信心水準下仍為顯著，而顯著性在命中率設定為50%時次之。因此，依據本研究之基本面選股策略，可增強對於個股標的股價未來走勢的預測能力。
This research uses 22 financial indicators and momentum strategies to establish a new stock selection method, and visualizes whether to long or short in a dashboard. Applying this asset allocation method to the Taiwanese semiconductor industry, and at the end of this study we examine whether these fundamental indicators have the ability to predict price. This study uses 72 companies in the Taiwanese semiconductor industry from the 2005 Q2 to 2020 Q3 as sample, and sets three hit rates:50%, 60%, and 70%, as well as holding portfolios 1 month, 2 months and 3 months.When using full sample, the return of the two and three-month portfolios is largely better than that of the market. When using the five-year rolling forecast, in all cases, the rate of the portfolio return outperforming the market is greater than 50%, and the best return is when the hit rate is 70%. From the above results, when the hit rate is set to 50% and held for one and two months, also the hit rate is set to 70% and held for two months, their return are significant under the 90% confidence level. In addition, when the results are applied to CAPM, the excess returns are most significant when the hit rate is set to 60% which are 1.85%, 4.41%, and 8.23%, respectively. The excess return of the portfolio held for two and three months is significant under the 99% confidence level, and the significance takes second place when the hit rate is set to 50%. Therefore, based on the stock selection strategy of this research, the ability to predict the future prices of stocks can be enhanced. |
| Reference: | 1. Clewell, D., Faulkner-Macdonagh, C., Giroux, D., Page, S., & Shriver, C. (2017). Macroeconomic Dashboards for Tactical Asset Allocation. The Journal of Portfolio Management, 44(2), 50-61.
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16. 朱詩桓(2014)。「價值投資：選股策略之投資績效」，國立政治大學商學院金融學系碩士班碩士論文。 |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
108351011 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108351011 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100556 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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