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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/95877


    Title: 股票報酬預測模型與最適股票風格配置之研究─以MSCI新興市場指數台股為例
    Authors: 鄭豐餘
    Contributors: 吳啟銘
    鄭豐餘
    Date: 2002
    Issue Date: 2016-05-10 15:48:53 (UTC+8)
    Abstract:   本論文是以國際基金經理人的角度為出發點,以摩根士丹利資本國際公司(MSCI)所編制的新興市場指數(EMF)中的台灣股市為例,利用股票報酬預測模型和風格配置的策略,組成台股部分的投資內容;再利用資產配置最適化來決定台股的投資權重。
      本研究的實證結果可以歸納為以下三點:
      一、利用三因子模型來解釋台股報酬率時,發現台股存在負的規模效應、正的淨值對市值比效應。三因子模型無法完全解釋台股的報酬率。
      二、利用風格配置策略來形成台股的投組時,發現長期而言,價值型的投組具有較高的報酬率。
      三、台灣股市與其他新興市場的相關性不高,相對於其他新興市場股市來說,台灣股市屬於較低風險、較低報酬的市場,因此應屬於防禦型的標的。而透過股票報酬預測模型和風格配置的策略,再加上資產配置最大化策略所形成投組的績效優於大盤。
    Reference: 英文參考文獻
    (1)Ammann M., and H. Zimmermann. “Tracking Error and Tactical Asset Allocation.” Finacial Analysts Journal, March-April 2001: P32-43
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    (6)Conover, C. Mitchell, Gerald R. Jensen, and Robert R. Johnson, “Emerging Markets: When Are They Worth it?” Financial Analysts Journal, March/April 2002: P86-95
    (7)Eaker, Mark, Dwight Grant, and Nelson Woodard, “Realized Rates of Return in Emerging Equity Markets.” Journal of Portfolio Management, Spring 2000: P41-49
    (8)Fama, Eugene F. and James MacBeth, “Risk, Return and Equilibrium: Empirical Tests” Journal of Political Economy, 1973, vol.81: P607-636
    (9)Fama, Eugene F., and Kenneth R. French. “The Cross-sectional of Expected Stock Returns.” Journal of Finance, 1992, vol.47: P427-465
    (10)Fama, Eugene F. and Kenneth R. French. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics, 1993, vol.33: P3-56
    (11)Fama, Eugene F. and Kenneth R. French. “Size and Book-to-Market Factors in Earning and Returns.” Journal of Finance, 1995: P131-155
    (12)Fama, Eugene F. and Kenneth R. French. “Multifactor Explanations of Asset Pricing Anomalies .” Journal of Finance, 1996: P55-84
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    (14)Haugen, R. A. and N. L. Baker. “Commonality in the Determinants of Expected Stock Returns” Journal of Financial Economics, 1996, vol. 41: P401-439
    (15)Perritt, Gerald W. “The Mutual Fund Encyclopedia”, 1993-1994
    (16)Riepe, Mark W., and Matthew D. Werner. “Are Enhanced Index Mutual Funds Worthy of Their Name?” Journal of Investing, summer 1998: P6-15
    (17)Reinganum, Marc R., “Abnormal Returns in Small Firm Portfolios,’ Financial Ananysts Journal, March/April 1981:P 52-56
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    中文參考文獻
    (1)王泳萍,「台灣與上海股市報酬率決定因子之研究-三因子或公司特徵」朝陽科技大學財務金融系碩士論文,2001年
    (2)杜幸樺,「影響台灣股票報酬之共同因素與企業特性之研究-Fama-French三因子模式、動能策略與交易量因素」,國立中山大學企業管理研究所碩士論文,1999年
    (3)李文聖,「因子、特徵與資產配置」,中央大學財務管理研究所碩士論文,2000年
    (4)阮昌財,莊淑媜,陳一如,郭迺鋒,「以多元迴歸方式探討影響台灣電子類股報酬率之因素」,產業金融113期,2000年
    (5)邵朝賢,「超額報酬投資組合之研究」,國立政治大學金融研究所碩士論文,1999
    (6)胡玉雪,「益本比、淨值/市價比及公司規模對股票報酬之影響-相似無關迴歸法之應用」,國立台灣大學商學研究所碩士論文,1994年
    (7)張宮熊,投資組合分析與管理,華泰文化事業公司,2001年
    (8)陳志民,「選股與衍生性策略超額報酬之研究」,政治大學企業管理學系碩士論文,2001年
    (9)褚耐安譯,理財絕配:法人生財保本的組合投資法,麥格羅‧希爾出版社,2000年
    (10)鄭雅如,「動能策略與股票風格在台灣股市的實證研究」,政治大學財務管理學系碩士論文,2001年
    Description: 碩士
    國立政治大學
    企業管理學系
    89355060
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000515
    Data Type: thesis
    Appears in Collections:[Department of Business Administation] Theses

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