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題名 以基本面分析建構最適資產配置流程
Using Fundamental Analysis To Construct The Optimal Asset Allocation Process作者 蕭鈞銓 貢獻者 黃泓智
蕭鈞銓關鍵詞 基本面分析
比例交集法
資產配置
夏普指標
時間序列
GARCH日期 2016 上傳時間 20-Jul-2016 17:17:32 (UTC+8) 摘要 於現今經濟情勢混沌不明，令人想起價值投資的投資策略方法，期望在任何環境下，只要篩選出的股票是具有獲益潛力，則可趁勢進場，獲取超額收益。本論文嘗試以基本面分析為主體建構三步驟的資產配置流程。第一步驟使用比例交集法進行資產選擇，而多因子方法通常比單因子所篩選的報酬率更優異，且加上月營收成長率作為篩選條件其報酬率更是亮眼。再者，第二步驟透過風控管指標選股發現，當採用 GSR 做為資產選擇的條件時，可達到最佳的表現。最後於最適權重的配置之中，資產模型及目標函數會因為不同的資產組合而有不同的效果，其中，當 FCFY(0.1) &ROA(0.2)加上月營收成長率20%做為篩選條件並使用GSR進行二次篩選後，使用 ARMA(1,1)-GARCH(1,1)且目標函數為最大化夏普指標時可達最大報酬。 參考文獻 1. Albert, R. L.,Henderson, G. V, 1995.Firm size, overreaction, and return reversals.Quarterly Journal of Business and Economics,34.2. Basu, Sanjoy, 1977. Investment performance of common stocks in relation to their price‐earnings ratios: A test of the efficient market hypothesis. The journal of Finance32 (3):663-682.3. Banz, R. W, 1981.The Relationship between Return and Market Value of Common Stocks.Journal of Financial Economics,9.4. Brock, William, JosefLakonishok, and Blake LeBaron, 1992. Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance47 (5):1731-1764.5. Brown, P.,Keim, D. B.,Kleidon, A. W.,Marsh, Terry A, 1983.Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of Argument and Australian Evidence.Journal of Financial Economics,12.6. Chan, K. C.,Chen, Nai-Fu, 1991.Structural and Return Characteristics of Small and Large Firms.Journal of Finance,46. 7. Cook, T. J.,Rozeff, M. S, 1984.Size and Earnings/ Price Ratio Anomalies: One Effect or Two?.Journal of Financial and Quantitative Analysis,19.8. De Bondt, W. F. M.,Thaler, Richard H, 1985.Does the Stock Market Overreact?.Journal of Finance,40.9. Fama, E. F.,French, K. R, 1995.Size and Book-to-Market Factors in Earnings and Returns.Journal of Finance,50.10. Fama, Eugene F, and Kenneth R French. 1988. Permanent and temporary components of stock prices. The Journal of Political Economy:246-273.11. Fama, Eugene F, and Kenneth R French, 1993. Common risk factors in the returns on stocks and bonds. Journal of financial economics33 (1):3-56.12. Fama, E. F.,French, K. R, 1992.The Cross-Section of Expected Stock Returns.The Journal of Finance,47(2).13. Fant, L. F.,Peterson, D. R, 1995.The Effect of Size, Book-to-Market Equity, Prior Returns, and Beta on Stock Returns: January Versus the Remainder of the Year.Journal of Financial Research,18(2).14. Loughran, T, 1997.Book-to-Market across Firm Size, Exchange, and Seasonality: Is there an Effect?Journal of Financial and Quantitative Analysis,32.15. Loughran, T.,Ritter, J. R, 1996.Long-Term Market Overreaction: The Effect of Low-Priced Stocks.Journal of Finance,51.16. Rozeff, M. S.,William, Jr. R. K, 1976.Capital Market Seasonality: The Case of Stock Return.Journal of Financial Economics,3. 17. Rozeff, M. S.,Zaman, M. A, 1998.Overreaction and Insider Trading: Evidence from Growth and Value Portfolios.Journal of Finance,53.18. Tseng, Kuo C, 1988.Low Price, Price-earnings Ratio, Market Value, and Abnormal Stock Returns.Financial Review,23.19. Zarowin, P, 1990.Size, Seasonality, and Stock Market Overreaction.Journal of Financial and Quantitative Analysis,25.20. 李顯儀，2012。各類基本面分析指標與基金從眾行為之關聯性。21. 陳淑玲，吳安琪，費業勳，2011。台灣股票市場技術指標之研究-不同頻率資料績效比較。東海管理評論【特刊】，第十二卷，第一期，187-226。22. 黃勝邦，2010。技術分析在台灣股市之實證研究-均值交易策略之績效分析。碩士論文。 描述 碩士
國立政治大學
風險管理與保險研究所
103358001資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103358001 資料類型 thesis dc.contributor.advisor 黃泓智 zh_TW dc.contributor.author (Authors) 蕭鈞銓 zh_TW dc.creator (作者) 蕭鈞銓 zh_TW dc.date (日期) 2016 en_US dc.date.accessioned 20-Jul-2016 17:17:32 (UTC+8) - dc.date.available 20-Jul-2016 17:17:32 (UTC+8) - dc.date.issued (上傳時間) 20-Jul-2016 17:17:32 (UTC+8) - dc.identifier (Other Identifiers) G0103358001 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99343 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 103358001 zh_TW dc.description.abstract (摘要) 於現今經濟情勢混沌不明，令人想起價值投資的投資策略方法，期望在任何環境下，只要篩選出的股票是具有獲益潛力，則可趁勢進場，獲取超額收益。本論文嘗試以基本面分析為主體建構三步驟的資產配置流程。第一步驟使用比例交集法進行資產選擇，而多因子方法通常比單因子所篩選的報酬率更優異，且加上月營收成長率作為篩選條件其報酬率更是亮眼。再者，第二步驟透過風控管指標選股發現，當採用 GSR 做為資產選擇的條件時，可達到最佳的表現。最後於最適權重的配置之中，資產模型及目標函數會因為不同的資產組合而有不同的效果，其中，當 FCFY(0.1) &ROA(0.2)加上月營收成長率20%做為篩選條件並使用GSR進行二次篩選後，使用 ARMA(1,1)-GARCH(1,1)且目標函數為最大化夏普指標時可達最大報酬。 zh_TW dc.description.tableofcontents 第一章 緒論 5第一節 研究動機與研究背景 5第二節 研究目的 6第三節 研究流程 7第二章 文獻探討 8第一節 基本面分析文獻探討 8第二節 風險控管指標文獻探討 10第三節 資產模型文獻探討 11第三章 研究方法 13第一節 前言 13第二節 基本面因子比例交集法及因子介紹 14第三節 風險控管指標使用方法及介紹 20第四節 資產模型與蒙地卡羅模擬作法及介紹 22第五節 目標函數使用方法及介紹 24第四章 實證結果分析 26第一節 實證分析樣本來源 26第二節 投資組合績效分析 26第五章 結論與未來方向建議 41第一節 結論 41第二節 未來方向建議 42參考文獻 43附錄一、雙因子各比例報酬率 45 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103358001 en_US dc.subject (關鍵詞) 基本面分析 zh_TW dc.subject (關鍵詞) 比例交集法 zh_TW dc.subject (關鍵詞) 資產配置 zh_TW dc.subject (關鍵詞) 夏普指標 zh_TW dc.subject (關鍵詞) 時間序列 zh_TW dc.subject (關鍵詞) GARCH zh_TW dc.title (題名) 以基本面分析建構最適資產配置流程 zh_TW dc.title (題名) Using Fundamental Analysis To Construct The Optimal Asset Allocation Process en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Albert, R. L.,Henderson, G. V, 1995.Firm size, overreaction, and return reversals.Quarterly Journal of Business and Economics,34.2. Basu, Sanjoy, 1977. Investment performance of common stocks in relation to their price‐earnings ratios: A test of the efficient market hypothesis. The journal of Finance32 (3):663-682.3. Banz, R. W, 1981.The Relationship between Return and Market Value of Common Stocks.Journal of Financial Economics,9.4. Brock, William, JosefLakonishok, and Blake LeBaron, 1992. Simple technical trading rules and the stochastic properties of stock returns. The Journal of Finance47 (5):1731-1764.5. Brown, P.,Keim, D. B.,Kleidon, A. W.,Marsh, Terry A, 1983.Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of Argument and Australian Evidence.Journal of Financial Economics,12.6. Chan, K. C.,Chen, Nai-Fu, 1991.Structural and Return Characteristics of Small and Large Firms.Journal of Finance,46. 7. Cook, T. J.,Rozeff, M. S, 1984.Size and Earnings/ Price Ratio Anomalies: One Effect or Two?.Journal of Financial and Quantitative Analysis,19.8. De Bondt, W. F. M.,Thaler, Richard H, 1985.Does the Stock Market Overreact?.Journal of Finance,40.9. Fama, E. F.,French, K. R, 1995.Size and Book-to-Market Factors in Earnings and Returns.Journal of Finance,50.10. Fama, Eugene F, and Kenneth R French. 1988. Permanent and temporary components of stock prices. The Journal of Political Economy:246-273.11. Fama, Eugene F, and Kenneth R French, 1993. Common risk factors in the returns on stocks and bonds. Journal of financial economics33 (1):3-56.12. Fama, E. F.,French, K. R, 1992.The Cross-Section of Expected Stock Returns.The Journal of Finance,47(2).13. Fant, L. F.,Peterson, D. R, 1995.The Effect of Size, Book-to-Market Equity, Prior Returns, and Beta on Stock Returns: January Versus the Remainder of the Year.Journal of Financial Research,18(2).14. Loughran, T, 1997.Book-to-Market across Firm Size, Exchange, and Seasonality: Is there an Effect?Journal of Financial and Quantitative Analysis,32.15. Loughran, T.,Ritter, J. R, 1996.Long-Term Market Overreaction: The Effect of Low-Priced Stocks.Journal of Finance,51.16. Rozeff, M. S.,William, Jr. R. K, 1976.Capital Market Seasonality: The Case of Stock Return.Journal of Financial Economics,3. 17. Rozeff, M. S.,Zaman, M. A, 1998.Overreaction and Insider Trading: Evidence from Growth and Value Portfolios.Journal of Finance,53.18. Tseng, Kuo C, 1988.Low Price, Price-earnings Ratio, Market Value, and Abnormal Stock Returns.Financial Review,23.19. Zarowin, P, 1990.Size, Seasonality, and Stock Market Overreaction.Journal of Financial and Quantitative Analysis,25.20. 李顯儀，2012。各類基本面分析指標與基金從眾行為之關聯性。21. 陳淑玲，吳安琪，費業勳，2011。台灣股票市場技術指標之研究-不同頻率資料績效比較。東海管理評論【特刊】，第十二卷，第一期，187-226。22. 黃勝邦，2010。技術分析在台灣股市之實證研究-均值交易策略之績效分析。碩士論文。 zh_TW
