政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/99537
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113822/144841 (79%)
造访人次 : 51821147      在线人数 : 491
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/99537


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/99537


    题名: 因子投資策略的應用-以美國科技業為例
    The application of factor investing to American technology industry
    作者: 黃凱偉
    贡献者: 岳夢蘭
    黃凱偉
    关键词: 因子投資
    投資策略
    美國科技業
    factor investing
    investment strategy
    American technology industry
    日期: 2016
    上传时间: 2016-08-02 15:58:08 (UTC+8)
    摘要: 近年來(2005-2014)，因子投資在市值、帳面市值比和動能在美國股市無法得到比大盤更好的表現，所以本研究以五因子亦即市值因子、帳面市值比因子、動能因子、低市場因子和品質因子，進行特定產業美國科技股研究，不同於大部分因子投資研究都以地區作為區分標準，期望可以得到不同的因子投資策略。研究結果發現無論是個別因子投資或是因子投資組合確實可以在美國科技股中提高夏普指標並擊敗那斯達克指數，此外檢視因子投資組合在不同時間的投資效益，發現因子投資組合在金融海嘯的壞時機期間，相對於投資那斯達克，更具有抗跌作用、投資的效益，在經濟穩定的好時機時，也能具備足夠的收益率並能夠提供投資者更好夏普指標，顯示因子投資在美國科技股中是一個可以成功的投資策略。
    Recently, factor investing in market value, book/market ratio and momentum had no outperformance comparing to the market index in terms of return and sharpe ratio. The research focus on technology stocks in U.S to construct 5 factors which are market value, book/market ratio, momentum, betting against beta, quality. Unlike other regional-based researches, this paper is industrial-based and aims to create a new factor investing strategy. The result shows that some factors and factory portfolios do outperform NASDAQ index with higher sharpe ratio. Moreover, analyses in timing for factor portfolios show that factor portfolios provide better return and sharpe ratio during financial crisis in U.S. On the other hand, under stable economy circumstance, factor portfolios still beat NASDAQ in terms of higher sharpe ratio.
    參考文獻: Ang, A. (2014). Asset Management: A Systematic Approach to Factor Investing. Oxford University Press
    Asness, C. S., Frazzini, A., & Pedersen, L. H. (2014). Quality minus junk.Available at SSRN 2312432. Business, 45(3), 444-455.
    Asness, C. S., Frazzini, A., Israel, R., & Moskowitz, T. J. (2014). Fact, fiction and momentum investing. Journal of Portfolio Management, Fall.
    Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.
    Baker, M., Bradley, B., & Taliaferro, R. (2014). The low-risk anomaly: A decomposition into micro and macro effects. Financial Analysts Journal, 70(2), 43-58.
    Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3), 444-455.
    Jensen, M. C., Black, F., & Scholes, M. S. (1972). The capital asset pricing model: Some empirical tests.
    Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805.
    Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
    Cazalet, Z., & Roncalli, T. (2014). Facts and fantasies about factor investing.Available at SSRN 2524547.
    De Bondt, W. F., & Thaler, R. H. (1long/short). Further evidence on investor overreaction and stock market seasonality. Journal of finance, 557-581.
    Decomposition into Micro and Macro Effects, Financial Analysts Journal, 70(2),.43-58.
    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. (1995). Size and book‐to‐market factors in earnings and returns. The Journal of Finance, 50(1), 131-155.
    Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of financial economics, 105(3), 457-472.
    Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1-25.
    Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), 65-91.
    Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
    Novy-Marx, R. (2013). The other side of value: The gross profitability premium.Journal of Financial Economics, 108(1), 1-28.
    Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 1-41.
    Praeger Publishers Inc., 79-121.
    Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of economic theory, 13(3), 341-360.
    Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
    描述: 碩士
    國立政治大學
    財務管理研究所
    103357005
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103357005
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    700501.pdf961KbAdobe PDF267检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈