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| Title: | 基本面投資組合策略之應用台灣市場實證
Fundamental Portfolio Strategy inTaiwan Stock Market |
| Authors: | 蘇新為 |
| Contributors: | 郭維裕
蘇新為 |
| Keywords: | 基本面策略 |
| Date: | 2012 |
| Issue Date: | 2013-07-11 16:15:11 (UTC+8) |
| Abstract: | 股票價值是否能正確預測存在於學術界和實務界，透過長期的分析和文獻可得最好的投資方式為直接投資代表整個市場的指數，而非找尋資產管理人，因此有有了主動式和被動式的管理投資策略。從1884年由Dow and Jones透過價格加權平均所合編的道瓊平均指數是全世界最早的股價指數到現今已發展出許多種編制指述的方式，如市價加權、市值加權以及平均加權法等等。而在1990年發生科技泡沫後，由Arnott, Hsu and Moore(2005)年提出利用經濟面為主的概念編製基本面指數，本文將透過該法加以修正成符合台灣市場的應用，並且根據報酬績效、風險指標、反映總體經濟能力以及產業分析比較的四大面向和以市值加權的台灣五十作全方位的探討。本研究實證結果發現基本面指數概念相對市值加權來說，對於台灣上市公司之報酬績效、風險指標、反映總體經濟能力皆獲得相對較優越的結果。
Price of the stock is predictable or not existing in theory and practice fields. According to the long term analysis and academic reports , instead of finding the best asset manager , investing in the index which represents the market is the best investment method. Dow and Jones constructed the Dow Jones Average Index by price average-weighted in 1884 and now there are many different ways to construct indices such as price-weighted, capitalization-weighted and average-weighed etc.. Arnott, Hsu and Moore indicated the concept of fundamental indexation after the Tech Bubble in 1990.This study adopts the adjusted method of fundamental indexation to analyze Taiwan stock market and discusses the four concepts including returns, risk indicator, ability of assessing the macroeconomic and industry analysis. This study finds out that in this four concepts, fundamental portfolios are slightly better than capitalization-weighted portfolio in Taiwan stock market. |
| Reference: | 一、 中文文獻
1. 鄭義、湯雲鶴(2006)，「基本面加權指數：台灣市場TWFI100指數驗證」，貨幣觀測與信用評等，第59期，pp. 9-19
二、 英文文獻
1. Arnott, Robert D, Jason Hsu, and Philip Moore.2005.“Fundamental Indexation.”Financial Analysts Journal, vol.61,no. 2:83-99.
2. Chen, Chen, Rong, Chen, and Gilbert W. Bassett.2007.“Fundamental indexation via smoothed cap weights.” Journal of Banking and Finance, vol. 31, no. 11:3486-3502.
3. Christian, W. and Sebastian, L.2009.“Fundamental Indexing Around the world.”, SSRN.
4. Cowles, A.1993. “Can Stock Market Forecasters Forecast? ” Econometrica ,July, pg. 579-586, October.
5. Fama, E. F.1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25, pg. 383-417, May
6. Hemminki, Julius. and Puttonen, Vesa, 2007.“Fundamental Indexation in Europe” Journal of Asset Management, vol.8,no.6: 401–405.
7. Holbrook Working.1934.“A Random-Difference Series for Use in the Analysis of Time Serious.”Journal of the American Statistical Association 29,11-24
8. Hsu,Jason.2006. “Cap-Weighted Portfolios Are Sub-Optimal Portfolios.”Journal of Investment Management,vol.4,no.3:1-10.
9. Hsu,Jason,and Campollo.2005.“An Examination of Fundamental Indexation.”Journal of Indexes,32-58.
10. Kaplan, Paul D.2008. “Why Fundamental Indexation Might-or Might Not-Work.” Financial Analysts Journal, vol.64,no.1: 32-39.
11. Kendall, M. G. and Bradford Hill, A. (1953) “The Analysis of Economic Time-Series-Part I: Prices” Journal of the Royal Statistical Society, Series A (General), vol. 116, no. 1:11-34
12. Lee, Cheng-few, and Rahman, Shafiqur.1990. “Market Timing,Selectivity,and Mutual Fund Performance: An Empirical Investigation.” Journal of Business, 63, 261-278
13. Lo, Andrew W., and Pankaj N. Patel. 2008. “130/30: The new long-only.”Journal of Portfolio Management 34, 12-38.
14. Markowitz,H,M.1952. “ Portfolio Selection.”The Journal of Finance, vol. 7, no. 1:77-91
15. Mayers,David. 1976.“Nonmarketable Assets, Market Segmentation, and the Level of asset Prices.” Journal of Financial and Quantitative Analysis, vol.11,no.1: 1-12.
16. Siegel, Jeremy J. 2006 .“The Noisy Market Hypothesis.” Wall Street Journal, A14.
17. Stambaugh, Robert F. 1982. “Testing the CAPM with Broader Market Indexes: A Problem of Mean Deficiency.” Journal of Banking and Finance,vol.71,no.1: 5-16.
18. Sharpe, William F. 1964.“Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance vol.19,no.3:425–42.
19. Treynor, Jack.2005.“Why Market-Valuation-Indifferent Indexing Works.” Financial Analysts Journal, vol.61,no.5: 65-69. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
100351010
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G1003510102 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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