政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152082

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152082

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/152082

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/152082

題名:	台灣交易策略績效之比較 The Performance of Investment Strategies: Evidence from Taiwan
作者:	趙于甄 CHAO, YU-CHEN
貢獻者:	徐政義趙于甄 CHAO, YU-CHEN
關鍵詞:	外資持股比率效應獲利能力效應股利殖利率效應低波動效應 foreign ownership effect profitability effect dividend yield effect low-volatility effect
日期:	2024
上傳時間:	2024-07-01 12:43:11 (UTC+8)
摘要:	近年台股市場上有許多主動型、被動型ETF的產品設計，各有不同的選股邏輯以及投資策略，然而因為發行時間不同，較難以一致的衡量其策略績效的差異。而現行期刊中，有多篇研究檢驗如DOTD股利策略、低波動效應等策略績效，解釋橫斷面股票報酬，以及使用不同國家市場檢驗因子模型解釋股票異常超額報酬現象的研究。因此本研究以台灣市場為例，比較各種投資策略，如外資持股比率、獲利能力、股利投資、低波動等策略，觀察在台灣市場的績效比較，並以較為廣泛使用的Fama and French (1993) 三因子模型以及Fama and French (2015)五因子模型觀察模型對超額報酬解釋的能力。 There are lots of active and passive ETFs on the market, each with different stock selecting method and different investment strategies. However, they are not issued at the same time, which makes it hard to compare the performance on the same benchmark. Some current studies for example examines the Dog of the Dow strategy, low-volatility strategy, etc., to explain the cross-sectional stock return. And others apply Fama and French (1993) three factor model and Fama and French (2015) five factor model to explain the excess return in international markets. This study investigates the foreign ownership effect, profitability effect, dividend yield effect and low-volatility effect in Taiwan stock market, and examines the ability of the three factor model and five factor model to explain the excess return of the portfolios.
參考文獻:	王芯儀、徐政義、陳姿伶、賴弘能（2023），因子訂價模型有效性之比較：臺灣股市實證，證券市場發展季刊倪衍森、黃寶玉、古曜嘉（2011），台灣高額現金股利宣告效果之實證研究－以富時指數公司所編製的成分股為例，東吳經濟商學學報，(72)，81-107 黃琬娟(1996)，現金股利變動宣告和股價關聯之研究，中央大學企業管理研究所碩士論文陳柔君, 劉晏睿, & 蕭朝興. (2022). 台灣股市的未預期月營收: 綜合分析. Journal of Management & Business Research (2521-4306), 39(4). Ang, A., & Bekaert, G. (2007). Stock return predictability: Is it there?. The Review of Financial Studies, 20(3), 651-707. Baker, M., Bradley, B., & Wurgler, J. (2011). Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. Financial Analysts Journal, 67(1), 40-54. Blitz, D. (2023). Macro Risk of Low-Volatility Portfolios. The Journal of Portfolio Management, 49(3), 25-35. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82. Clemens, M. (2013). Dividend investing performance and explanations: A practitioner perspective. International Journal of Managerial Finance, 9(3), 185-197. Fama, E. F., & French, K. R. (1988). Dividend yields and expected stock returns. Journal of financial economics, 22(1), 3-25. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of financial economics, 116(1), 1-22. Fama, E. F., & French, K. R. (2016). Dissecting anomalies with a five-factor model. The Review of Financial Studies, 29(1), 69-103. Huang, R. D., & Shiu, C. Y. (2009). Local effects of foreign ownership in an emerging financial market: Evidence from qualified foreign institutional investors in Taiwan. Financial management, 38(3), 567-602. Harvey, C. R., Liu, Y., & Zhu, H. (2016). … and the cross-section of expected returns. The Review of Financial Studies, 29(1), 5-68. Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. The Review of Financial Studies, 28(3), 650-705. Kubota, K., & Takehara, H. (2018). Does the Fama and French five‐factor model work well in Japan?. International Review of Finance, 18(1), 137-146. Liu, N., Bredin, D., & Cao, H. (2020). The investment behavior of qualified foreign institutional investors in China. Journal of Multinational Financial Management, 54, 100614. Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of financial economics, 108(1), 1-28. Titman, S., Wei, K. J., & Xie, F. (2004). Capital investments and stock returns. Journal of financial and Quantitative Analysis, 39(4), 677-700. Visscher, S., & Filbeck, G. (2003). Dividend-yield strategies in the Canadian stock market. Financial Analysts Journal, 59(1), 99-106. Wang, F., & Xu, Y. (2004). What determines Chinese stock returns?. Financial Analysts Journal, 60(6), 65-77. Yu, H. Y., Chen, L. W., & Chen, C. Y. (2022). The profitability effect: An evaluation of alternative explanations. Pacific-Basin Finance Journal, 72, 101711.
描述:	碩士國立政治大學國際經營與貿易學系 111351025
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0111351025
資料類型:	thesis
顯示於類別:	[國際經營與貿易學系 ] 學位論文

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