Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/33992
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | 李桐豪 | zh_TW |
dc.contributor.author | 林雨蓉 | zh_TW |
dc.creator | 林雨蓉 | zh_TW |
dc.date | 2005 | en_US |
dc.date.accessioned | 2009-09-17T11:02:40Z | - |
dc.date.available | 2009-09-17T11:02:40Z | - |
dc.date.issued | 2009-09-17T11:02:40Z | - |
dc.identifier | G0093352010 | en_US |
dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/33992 | - |
dc.description | 碩士 | zh_TW |
dc.description | 國立政治大學 | zh_TW |
dc.description | 金融研究所 | zh_TW |
dc.description | 93352010 | zh_TW |
dc.description | 94 | zh_TW |
dc.description.abstract | 摘 要\n本研究參照Deboeck and Ultsch(1998)想法,不同的是利用多變量分析法中的群集分析來將研究樣本做最合適的分群,再檢視各季各群組是否符合各指標門檻值愈多者,未來投資期間所獲得的報酬也較高,甚至超越類指的現象;另外,也針對年複合成長率以及各指標的門檻值做敏感度分析,而投資期間則分別就短期的1個月、中期的3個月以及長期的6個月做為觀察。實證結果如下:\n一、利用CAN SLIM選股策略直接篩選投資標的,本研究的研究樣本中幾乎\n 沒有一家能夠完全符合;若將條件逐漸放寬只利用C, A, L,三個指標或 \n C、A二個指標來篩選時,較容易選出投資標的,然而,通過篩選的投資標\n 的在未來投資期間的平均報酬表現卻未必皆能超越類指表現,顯示若利用\n CAN SLIM選股策略的指標來直接篩選未必可以為台灣投資人帶來超越\n 類指的報酬。\n\n二、利用群集分析法將樣本做最合適的分群後,再與類指報酬表現做比較,顯\n 示傳統產業中的塑膠業在A=3或A=5下的結果差距不大,顯示此產業有較\n 穩定的特性,然而實證結果也顯示利用符合指標門檻值的多寡來決定當期\n 投資的標群組未必能確保選出的標的群組未來投資表現會超越類指。而高\n 科技產業中的資訊電子業在A=3或A=5下結果明顯不同,以A=3較符合預\n 期,即符合指標門檻值最多的群組在未來的投資期間表現幾乎皆能超越類\n 指表現,符合此變化快速的產業特性所需。\n\n三、在對各指標進行敏感度分析中,塑膠業仍未有一個強而有力的結果。而在\n 資訊電子業中 ,以A=3做為分群資料的情況下,維持原始門檻值依然有較\n 好的表現。\n\n四、在對投資期間進行敏感度分析中,整體而言,若將投資標的持有3到6個\n 月,其符合指標門檻值最多的群組平均報酬超越類指的比例較高,也就是\n 利用CAN SLIM選股策略結合群集分析方法,適合中長期的投資持有。 | zh_TW |
dc.description.tableofcontents | 目 錄\n第一章 緒論 ……………………………………………………………1 \n 第一節 研究背景與動機 ………………………………………………1\n 第二節 研究目的 ………………………………………………………4\n 第三節 研究流程與架構 ………………………………………………6\n第二章 文獻回顧……………………………………………………… 9\n 第一節 CAN SLIM選股策略相關實證文獻…..………………………9\n 2.1.1 Picking Stocks with Emergent \n Self-organizing Value maps..…10\n 2.1.2 An Empirical Test of German \n Stock Market Efficiency………11\n 第二節 各指標與股價報酬相關文獻探討 ……………………………14\n 2.2.1盈餘與股價報酬相關文獻 …………………………………… 14\n 2.2.2規模與股價報酬相關文獻 …………………………………… 16\n 2.2.3技術分析與股價報酬相關文獻 ……………………………… 17 \n 2.2.4專業投資機構與股價報酬相關文獻 ………………………… 19\n 第三節 小結…….……………………………………………………… 21\n第三章 研究方法………………………………………………………23 \n 第一節 研究樣本與期間………………………………………………23\n 3.1.1 研究期間 ………………………………………………………23\n 3.1.2 研究樣本 ………………………………………………………23\n 第二節 統計方法 ─ 群集分析(Cluster Analysis) ……………25\n 3.2.1 群集分析的意義 ………………………………………………25\n 3.2.2 群集分析二大主要工作 ………………………………………25\n 3.2.3 群集分析三大型式 ……………………………………………26\n 3.2.4 群集數評量指標 ………………………………………………27\n 3.2.5 與其它分類分析不同之處……………………………………28\n 第三節 實驗設計 ……………………………………………………30\n 3.3.1 資料整理 ……………………………………………………30\n 3.3.2 實驗流程………………………………………………………31\n第四章 實證結果………………………………………………………35\n 第一節 直接篩選………………………………………………………35\n 第二節 研究樣本分群…………………………………………………38\n 第三節 與類指做比較…………………………………………………42\n 4.3.1原始門檻值…………………………………………………… 42\n 4.3.2敏感度分析─各指標門檻值… ……………………………… 50\n 4.3.3敏感度分析─投資期間 ………………………………………53\n 第四節 小結 ….……………………………………………………… 55\n第五章 結論與建議……………………………………………………58\n附註 ……………………………………………………………………63\n參考文獻\n附錄 \n 附錄一 SAS程式(群集分析)\n 附錄二 群集評量指標圖\n 附錄三 分群結果(各群成份公司)\n\n\n\n\n圖 表 目 錄\n[圖1.3-1] 研究流程圖\n[圖3.3-1] 實驗流程圖\n[圖4.2-1] 群集數評量指標的分析圖(塑膠產業2003年第一季)\n[表3.1-1] 各指標變數採樣時間表\n[表4.1-1] 資訊電子業 直接篩選結果比較(三項指標篩選)\n[表4.1-2] 塑膠業 直接篩選結果比較(三項指標篩選)\n[表4.1-3] 資訊電子業 直接篩選結果比較(二項指標篩選)\n[表4.1-2] 塑膠業 直接篩選結果比較(二項指標篩選)\n[表4.2-1] 第一階段群集分析 塑膠業和資訊電子業各季分群結果整理(A=5)\n[表4.2-2] 第二階段群集分析 塑膠產業在2003年各群組成份公司(A=5)\n[表4.2-3] 第一階段群集分析 塑膠業和資訊電子業各季分群結果整理(A=3)\n[表4.2-4] 第二階段群集分析 塑膠產業在2003年各群組成份公司(A=3)\n[表4.3-1] 與類指比較結果(塑膠業(A=5),MED,投資期3個月)\n[表4.3-2] 與類指比較結果(資訊電子業(A=5),MED,投資期3個月)\n[表4.3-3] 與類指比較結果(塑膠業(A=3),MED,投資期3個月)\n[表4.3-4] 與類指比較結果(資訊電子業(A=3),MED,投資期3個月)\n[表4.3-5] 機率值整理\n[表4.3-6] 資訊電子業 各指標敏感度分析\n[表4.3-7] 塑膠業 各指標敏感度分析\n[表4.3-8] 投資期間敏感度分析 | zh_TW |
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dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0093352010 | en_US |
dc.subject | 群集分析 | zh_TW |
dc.subject | 選股策略 | zh_TW |
dc.subject | 股價報酬 | zh_TW |
dc.subject | CAN SLIM | en_US |
dc.title | CAN SLIM 選股指標在台灣股巿適用性之實證研究 | zh_TW |
dc.type | thesis | en |
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