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題名 探討因子投資之交易成本對績效之影響
The Impact of Trading Costs on the Performance of Factor Investing作者 曹林晨 貢獻者 鍾令德
曹林晨關鍵詞 財報
因子投資
交易成本
Financial reports
Factor investing
Transaction costs日期 2023 上傳時間 2-Aug-2023 13:11:33 (UTC+8) 摘要 為探討在台股市場中，因子投資之交易成本對投資報酬之影響，本文利用台股上市櫃、下市櫃股票自2005年1月至2021年12月的資料，對21個有效財務因子進行回測，並進一步檢視財務資訊更新頻率及投資組合周轉率對交易成本及報酬的影響。回測後發現，以年度財報、季度財報來調整投資組合，有效財務因子數量分別由21個下降至4個及6個，研究亦顯示交易成本會令因子投資報酬明顯下降，提高交易頻率雖然會讓交易成本同步上升，但也有助於讓投資人即時依據財報資訊調整投資組合，而投資組合調整帶來的正面效果大於交易成本上升帶來的負面效果，因此透過季度財報調整投資組合能替投資人帶來更高的投資報酬。
This study explores the impact of transaction costs on factor investing in Taiwan. We backtest 21 strategies based on financial indicators of listed and delisted stocks in the Taiwan stock market from January 2005 to December 2021. We further examine the effects of alternative information update frequencies and portfolio turnover rates on transaction costs and returns. Our backtest suggests that updating portfolios based on annual and quarterly financial reports reduce the number of effective financial factors from 21 to 4 and 6, respectively. While transaction costs significantly reduce the returns of factor investing, higher portfolio turnover facilitates timely incorporation of the latest financial information to the portfolio. Since the positive effects of increased returns outweigh the negative effects of rising transaction costs, quarterly rebalanced portfolios outperform their annually rebalanced counterparts.參考文獻 Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.Chen, Andrew Y, and Mihail Velikov, 2023, Zeroing in on the expected returns of anomalies, Journal of Financial and Quantitative Analysis 58, 968–1004.Chen, Andrew Y., and Tom Zimmermann, 2022, Open source cross-sectional asset pricing, Critical Finance Review 27, 207–264.Chung, Kee H, and Hao Zhang, 2014, A simple approximation of intraday spreads using daily data, Journal of Financial Markets 17, 94–120.Fama, Eugene F, and Kenneth R French, 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427–465.Fama, Eugene F, and Kenneth R French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22.Hanna, J Douglas, and Mark J Ready, 2005, Profitable predictability in the cross section of stock returns, Journal of Financial Economics 78, 463–505.Hasbrouck, Joel, 2009, Trading costs and returns for U.S. equities: Estimating effective costs from daily data, The Journal of Finance 64, 1445–1477.Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An investment approach, The Review of Financial Studies 28, 650–705.Hou, Kewei, Chen Xue, and Lu Zhang, 2020, Replicating anomalies, The Review of Financial Studies 33, 2019–2133.Li, Feifei, Tzee-Man Chow, Alex Pickard, and Yadwinder Garg, 2019, Transaction costs of factor-investing strategies, Financial Analysts Journal 75, 62–78.Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615.Merton, Robert C, 1973, An intertemporal capital asset pricing model, Econometrica41, 867–887.Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783.Novy-Marx, Robert, and Mihail Velikov, 2016, A taxonomy of anomalies and their trading costs, The Review of Financial Studies 29, 104–147.Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341 – 360Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442蔣佳穎, 2022, 以財務指標預測台股橫斷面期望報酬, 碩士論文, 國立政治大學國際經營與貿易學系.詹場、謝俊魁、池祥麟、徐崇閔, 2016, 「臺灣、上海及深圳股市交易成本之比較」, 《證券市場發展季刊》 28, 107–152.錢邦彥, 2005, 台灣股市價格衝擊成本之研究, 碩士論文, 國立政治大學國際經營與貿易學系. 描述 碩士
國立政治大學
國際經營與貿易學系
110351027資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351027 資料類型 thesis dc.contributor.advisor 鍾令德 zh_TW dc.contributor.author (Authors) 曹林晨 zh_TW dc.creator (作者) 曹林晨 zh_TW dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 13:11:33 (UTC+8) - dc.date.available 2-Aug-2023 13:11:33 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 13:11:33 (UTC+8) - dc.identifier (Other Identifiers) G0110351027 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146338 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 110351027 zh_TW dc.description.abstract (摘要) 為探討在台股市場中，因子投資之交易成本對投資報酬之影響，本文利用台股上市櫃、下市櫃股票自2005年1月至2021年12月的資料，對21個有效財務因子進行回測，並進一步檢視財務資訊更新頻率及投資組合周轉率對交易成本及報酬的影響。回測後發現，以年度財報、季度財報來調整投資組合，有效財務因子數量分別由21個下降至4個及6個，研究亦顯示交易成本會令因子投資報酬明顯下降，提高交易頻率雖然會讓交易成本同步上升，但也有助於讓投資人即時依據財報資訊調整投資組合，而投資組合調整帶來的正面效果大於交易成本上升帶來的負面效果，因此透過季度財報調整投資組合能替投資人帶來更高的投資報酬。 zh_TW dc.description.abstract (摘要) This study explores the impact of transaction costs on factor investing in Taiwan. We backtest 21 strategies based on financial indicators of listed and delisted stocks in the Taiwan stock market from January 2005 to December 2021. We further examine the effects of alternative information update frequencies and portfolio turnover rates on transaction costs and returns. Our backtest suggests that updating portfolios based on annual and quarterly financial reports reduce the number of effective financial factors from 21 to 4 and 6, respectively. While transaction costs significantly reduce the returns of factor investing, higher portfolio turnover facilitates timely incorporation of the latest financial information to the portfolio. Since the positive effects of increased returns outweigh the negative effects of rising transaction costs, quarterly rebalanced portfolios outperform their annually rebalanced counterparts. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 2第三節 研究架構 3第二章 文獻回顧 4第一節 財務因子投資策略 4第二節 交易成本文獻 5第三節 交易成本計算 6第三章 研究資料與方法 7第一節 資料來源 7第二節 財務因子計算 7第三節 交易成本計算 11第四章 研究結果與分析 14第一節 各因子交易成本 14第二節 扣除交易成本後因子投資報酬 19第五章 結論與建議 22第一節 結論 22第二節 限制與建議 23參考文獻 24 zh_TW dc.format.extent 2143261 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351027 en_US dc.subject (關鍵詞) 財報 zh_TW dc.subject (關鍵詞) 因子投資 zh_TW dc.subject (關鍵詞) 交易成本 zh_TW dc.subject (關鍵詞) Financial reports en_US dc.subject (關鍵詞) Factor investing en_US dc.subject (關鍵詞) Transaction costs en_US dc.title (題名) 探討因子投資之交易成本對績效之影響 zh_TW dc.title (題名) The Impact of Trading Costs on the Performance of Factor Investing en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.Chen, Andrew Y, and Mihail Velikov, 2023, Zeroing in on the expected returns of anomalies, Journal of Financial and Quantitative Analysis 58, 968–1004.Chen, Andrew Y., and Tom Zimmermann, 2022, Open source cross-sectional asset pricing, Critical Finance Review 27, 207–264.Chung, Kee H, and Hao Zhang, 2014, A simple approximation of intraday spreads using daily data, Journal of Financial Markets 17, 94–120.Fama, Eugene F, and Kenneth R French, 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427–465.Fama, Eugene F, and Kenneth R French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22.Hanna, J Douglas, and Mark J Ready, 2005, Profitable predictability in the cross section of stock returns, Journal of Financial Economics 78, 463–505.Hasbrouck, Joel, 2009, Trading costs and returns for U.S. equities: Estimating effective costs from daily data, The Journal of Finance 64, 1445–1477.Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An investment approach, The Review of Financial Studies 28, 650–705.Hou, Kewei, Chen Xue, and Lu Zhang, 2020, Replicating anomalies, The Review of Financial Studies 33, 2019–2133.Li, Feifei, Tzee-Man Chow, Alex Pickard, and Yadwinder Garg, 2019, Transaction costs of factor-investing strategies, Financial Analysts Journal 75, 62–78.Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615.Merton, Robert C, 1973, An intertemporal capital asset pricing model, Econometrica41, 867–887.Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783.Novy-Marx, Robert, and Mihail Velikov, 2016, A taxonomy of anomalies and their trading costs, The Review of Financial Studies 29, 104–147.Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341 – 360Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442蔣佳穎, 2022, 以財務指標預測台股橫斷面期望報酬, 碩士論文, 國立政治大學國際經營與貿易學系.詹場、謝俊魁、池祥麟、徐崇閔, 2016, 「臺灣、上海及深圳股市交易成本之比較」, 《證券市場發展季刊》 28, 107–152.錢邦彥, 2005, 台灣股市價格衝擊成本之研究, 碩士論文, 國立政治大學國際經營與貿易學系. zh_TW
