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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) 2016en_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) G0103358001en_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) 103358001zh_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/#G0103358001en_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) GARCHzh_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 Processen_US
dc.type (資料類型) thesisen_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