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題名 台灣公司特徵對未來經濟活動的預測能力
The Predictive Power of Firm Characteristics on Real Economic Activities in Taiwan作者 黃怡仁
Huang, Yi Jen貢獻者 郭維裕
黃怡仁
Huang, Yi Jen日期 2002 上傳時間 9-May-2016 16:17:31 (UTC+8) 摘要 In this article we examine whether the profitability of trading strategies based on size, book-to-market ratio, momentum, and liquidity can be linked to future GDP growth in Taiwan. Using data from Taiwan Stock Exchange, we find that strategies based on size and book-to-market ratio contain significant information about future economic growth. The predictive ability of these two strategies remains significant after taking the domestic market factor into account. Even in the presence of popular business cycle variables, the strategy based on book-to-market ratio maintains its strong power of predicting future GDP growth. In contrast, there is little evidence to support the hypothesis that the strategies based on momentum and liquidity can predict future GDP growth. 參考文獻 Amihud, Y., and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249. Aylward, T., and J. Glen, 1995, Some international evidence on stock prices as leading indicators of economic activity, IFC Unpublished Working Paper. Banz, R. W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18. Brennan, M. J., A. Subrahmanyam, 1996, Market microstructure and asset pricing: on the compensation for illiquidity in stock return, Journal Financial Economics 41, 341-364. Brennan, M. J., T. Chordia, and A. Subrahmanyam, 1998, Alternative factor specifications, security characteristics, and cross-section of expected stock returns, Journal of Financial Economics 49, 345-373. Chan, L. K., Y. Hamao, and J. Lakonishok, 1991, Fundamentals and stock returns in Japan, Journal of Finance 46, 1739-1789. Chan, Louis K. C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum strategies, Journal of Finance 56, 3-28. Chen, Pochu, 2001, The time series analysis of the stock returns in the Taiwan Stock Exchange. Chordia, T., A. Subrahmanyam, and R. Anshuman, 2000, Trading activity and expected stock return, Journal Financial Economics 59. Datar, T. V., Y. N. Naik, and R. Radcliffe, 1998, Liquidity and stock returns: An alternative test, Journal of Financial Markets 1, 203-219. Eleswarapu, V., and M. Reinganum, 1993, The seasonal behavior of the liquidity premium in asset pricing, Journal Financial Economics 34, 373-386. Fama, E. F., 1981, Stock returns, real activity, inflation, and money, American Economic Review 71, 545-565. Fama, E. F., and K. R. French, 1992, The cross-section of expected returns, Journal of Finance 47, 427-465. Fama, E. F., and K. R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal Financial Economics 33, 3-56. Fama, E. F., and K. R. French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-155. Fama, E. F., and K. R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-184. Fama, E. F., and K. R. French, 1998, Value versus growth: the international evidence, Journal of Finance 53, 1975-1998. Hawawini, G., and D. B. Kiem, 1995, On the predictability on common stock returns: world-wide evidence, Handbooks in OR & MS, Vol.9: Finance, Elsevier Science B.V. Glosten, L. R., and L. Harries, 1988, Estimating the components of bid/ask spread, Journal Financial Economics 21, 123-142. Jegadeesh, H., and S. Titman, 1993, Returns to buy winners and selling losers: implications for stock market efficiency, Journal of Finance 48, 65-92. Liew, J., and M. Vassalou, 1999, Can book-to-market, size, and momentum be risk factors that predict economic growth, Forthcoming Journal of Financial Economics. Lintner, J., 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37. Markowitz, H., 1959, Portfolio Selection: Efficient Diversification of Investment (Wiley New York). Newey, W., and K. West, 1987, A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708. Poterba, J. M., and A. A. Samwick, 1995, Stock ownership patterns, stock market fluctuations, and consumption, Brookings Papers on Economic Activity 2, 295-372. Rouwenhorst, K. G., 1998, International momentum strategies, Journal of Finance 53, 267-284. Sharpe, W. F., 1964, Capital asset pricing: a theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442. 描述 碩士
國立政治大學
國際經營與貿易學系
89351014資料來源 http://thesis.lib.nccu.edu.tw/record/#A2010000137 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.author (Authors) 黃怡仁 zh_TW dc.contributor.author (Authors) Huang, Yi Jen en_US dc.creator (作者) 黃怡仁 zh_TW dc.creator (作者) Huang, Yi Jen en_US dc.date (日期) 2002 en_US dc.date.accessioned 9-May-2016 16:17:31 (UTC+8) - dc.date.available 9-May-2016 16:17:31 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 16:17:31 (UTC+8) - dc.identifier (Other Identifiers) A2010000137 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95438 - 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) 89351014 zh_TW dc.description.abstract (摘要) In this article we examine whether the profitability of trading strategies based on size, book-to-market ratio, momentum, and liquidity can be linked to future GDP growth in Taiwan. Using data from Taiwan Stock Exchange, we find that strategies based on size and book-to-market ratio contain significant information about future economic growth. The predictive ability of these two strategies remains significant after taking the domestic market factor into account. Even in the presence of popular business cycle variables, the strategy based on book-to-market ratio maintains its strong power of predicting future GDP growth. In contrast, there is little evidence to support the hypothesis that the strategies based on momentum and liquidity can predict future GDP growth. en_US dc.description.tableofcontents 謝辭 Abstract-----1 1.Introduction-----2 2.Data description-----8 2.1 Data description-----8 2.2 portfolio construction-----10 2.3 Characteristics and performance of the HML, SMB, WML, VOL ,DVOL, and TURN strategies-----11 2.4 Country business cycle variables-----12 2.5 Returns on these trading strategies at different states of the real economy-----13 3.Empirical Methodology-----15 4.Empirical Results-----15 4.1 Univariate regression-----16 4.2 Bivariate regression including the market factor-----19 4.3 Multivariate regression including the market factor and two of six factors based on the market anomaly-----21 4.4 Multiple regression including the market factor and business cycle variables-----22 5.Summaries conclusion-----25 References-----27 Table-----30 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2010000137 en_US dc.title (題名) 台灣公司特徵對未來經濟活動的預測能力 zh_TW dc.title (題名) The Predictive Power of Firm Characteristics on Real Economic Activities in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Amihud, Y., and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249. Aylward, T., and J. Glen, 1995, Some international evidence on stock prices as leading indicators of economic activity, IFC Unpublished Working Paper. Banz, R. W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3-18. Brennan, M. J., A. Subrahmanyam, 1996, Market microstructure and asset pricing: on the compensation for illiquidity in stock return, Journal Financial Economics 41, 341-364. Brennan, M. J., T. Chordia, and A. Subrahmanyam, 1998, Alternative factor specifications, security characteristics, and cross-section of expected stock returns, Journal of Financial Economics 49, 345-373. Chan, L. K., Y. Hamao, and J. Lakonishok, 1991, Fundamentals and stock returns in Japan, Journal of Finance 46, 1739-1789. Chan, Louis K. C., N. Jegadeesh, and J. Lakonishok, 1996, Momentum strategies, Journal of Finance 56, 3-28. Chen, Pochu, 2001, The time series analysis of the stock returns in the Taiwan Stock Exchange. Chordia, T., A. Subrahmanyam, and R. Anshuman, 2000, Trading activity and expected stock return, Journal Financial Economics 59. Datar, T. V., Y. N. Naik, and R. Radcliffe, 1998, Liquidity and stock returns: An alternative test, Journal of Financial Markets 1, 203-219. Eleswarapu, V., and M. Reinganum, 1993, The seasonal behavior of the liquidity premium in asset pricing, Journal Financial Economics 34, 373-386. Fama, E. F., 1981, Stock returns, real activity, inflation, and money, American Economic Review 71, 545-565. Fama, E. F., and K. R. French, 1992, The cross-section of expected returns, Journal of Finance 47, 427-465. Fama, E. F., and K. R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal Financial Economics 33, 3-56. Fama, E. F., and K. R. French, 1995, Size and book-to-market factors in earnings and returns, Journal of Finance 50, 131-155. Fama, E. F., and K. R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-184. Fama, E. F., and K. R. French, 1998, Value versus growth: the international evidence, Journal of Finance 53, 1975-1998. Hawawini, G., and D. B. Kiem, 1995, On the predictability on common stock returns: world-wide evidence, Handbooks in OR & MS, Vol.9: Finance, Elsevier Science B.V. Glosten, L. R., and L. Harries, 1988, Estimating the components of bid/ask spread, Journal Financial Economics 21, 123-142. Jegadeesh, H., and S. Titman, 1993, Returns to buy winners and selling losers: implications for stock market efficiency, Journal of Finance 48, 65-92. Liew, J., and M. Vassalou, 1999, Can book-to-market, size, and momentum be risk factors that predict economic growth, Forthcoming Journal of Financial Economics. Lintner, J., 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47, 13-37. Markowitz, H., 1959, Portfolio Selection: Efficient Diversification of Investment (Wiley New York). Newey, W., and K. West, 1987, A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708. Poterba, J. M., and A. A. Samwick, 1995, Stock ownership patterns, stock market fluctuations, and consumption, Brookings Papers on Economic Activity 2, 295-372. Rouwenhorst, K. G., 1998, International momentum strategies, Journal of Finance 53, 267-284. Sharpe, W. F., 1964, Capital asset pricing: a theory of market equilibrium under conditions of risk, Journal of Finance 19, 425-442. zh_TW
