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Title:	選股與衍生性策略超額報酬之研究
Authors:	陳志民
Contributors:	周行一陳志民
Keywords:	選股策略衍生性策略指數基金超額報酬增強型指數基金指數期貨
Date:	2001
Issue Date:	2016-04-18 16:23:25 (UTC+8)
Abstract:	本研究首先以1991年至2000年為取樣期間，運用選股策略，每個投組選取五十支股票，檢視投組是否可以顯著超越大盤報酬率。選股變數分為價值型、成長型、規模、組合型等四大類變數。本研究第二階段再以1998年至2000年為取樣期間，檢驗加入指數期貨的操作策略，是否存在超越前述投組的超額報酬。三種衍生性策略分別為現金增值策略（一成資金做為期貨保證金，另外九成投入固定收益商品）、期貨現貨互轉套利策略（以一定程度價差比為標準，互相轉換期貨與現貨）、避險策略（以九成資金持有現貨部位，另外一成資金做為避險用途）。相關實證結果如下：
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Description:	碩士國立政治大學企業管理學系 88355039
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002001445
Data Type:	thesis
Appears in Collections:	[Department of Business Administation] Theses

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