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| Title: | 最佳資產配置法與多因子模型探討：以台灣市場為例
Optimal Asset Allocation Strategy and Multi-Factor Models: The Case of Taiwan Stock Market |
| Authors: | 張芷涵
Chang, Chih-Han |
| Contributors: | 林靖庭
張芷涵
Chang, Chih-Han |
| Keywords: | 投資組合策略
1/N法
多因子投資
Carhart四因子模型
資料勘誤
Portfolio strategies
1/N rule
Multi-factor investing
Carhart’s four-factor model
Data-snooping bias |
| Date: | 2021 |
| Issue Date: | 2021-07-01 17:53:59 (UTC+8) |
| Abstract: | 將多種投資組合策略及不考慮歷史資訊的1/N法應用於台灣股票市場，並同時修正資料勘誤的問題，欲檢視各投資組合策略績效是否優於1/N法績效，且以多因子模型建構的投資組合觀察台灣股票市場是否適合多因子投資。
實證結果發現在修正資料勘誤的問題之後，對於含有較多高市值藍籌股的投資組合，確實有優於1/N法績效的投資組合策略，特別是Carhart (1997)的四因子模型績效最優，這代表台灣股票市場具有市場風險溢酬效應、規模溢酬效應、淨值市價比效應及動能效應。根據實證結果，投資人可根據這些資訊來決定投資組合配置策略以獲得投資報酬。此外，在構建投資組合策略時，也強調資料勘誤修正的重要性，避免影響投資組合績效結果而產生誤差。
Applying the naïve portfolio strategy and various optimal portfolio strategies into the Taiwan’s stock market and conducting a series of tests to correct the data-snooping bias simultaneously, we examine the performance of portfolio strategies relative to the naïve 1/N rule and observe that whether multi-factor investing is useful for in Taiwan’ stock market. We find that for the portfolio containing more blue-chip stocks, there are indeed some portfolio strategies are better than the 1/n rule after controlling for the data-snooping, especially the Carhart’s (1997) four-factor model, which suggests that Taiwan’s stock market might capture the market risk effect, size effect, value effect, and momentum effect. According to the result, investors can follow such information to decide the investment decisions and earn the returns on the investments. Moreover, we also suggest the importance of the data-snooping bias, which would influence the performance outcomes, should be controlled by investors when constructing portfolio strategies. |
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| Description: | 碩士
國立政治大學
金融學系
108352008 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108352008 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202100523 |
| Appears in Collections: | [金融學系] 學位論文
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