學術產出-學位論文
| 題名 | 因子投資策略的應用-以美國科技業為例 The application of factor investing to American technology industry |
| 作者 | 黃凱偉 |
| 貢獻者 | 岳夢蘭 黃凱偉 |
| 關鍵詞 | 因子投資 投資策略 美國科技業 factor investing investment strategy American technology industry |
| 日期 | 2016 |
| 上傳時間 | 2-八月-2016 15:58:08 (UTC+8) |
| 摘要 | 近年來(2005-2014)，因子投資在市值、帳面市值比和動能在美國股市無法得到比大盤更好的表現，所以本研究以五因子亦即市值因子、帳面市值比因子、動能因子、低市場因子和品質因子，進行特定產業美國科技股研究，不同於大部分因子投資研究都以地區作為區分標準，期望可以得到不同的因子投資策略。研究結果發現無論是個別因子投資或是因子投資組合確實可以在美國科技股中提高夏普指標並擊敗那斯達克指數，此外檢視因子投資組合在不同時間的投資效益，發現因子投資組合在金融海嘯的壞時機期間，相對於投資那斯達克，更具有抗跌作用、投資的效益，在經濟穩定的好時機時，也能具備足夠的收益率並能夠提供投資者更好夏普指標，顯示因子投資在美國科技股中是一個可以成功的投資策略。 Recently, factor investing in market value, book/market ratio and momentum had no outperformance comparing to the market index in terms of return and sharpe ratio. The research focus on technology stocks in U.S to construct 5 factors which are market value, book/market ratio, momentum, betting against beta, quality. Unlike other regional-based researches, this paper is industrial-based and aims to create a new factor investing strategy. The result shows that some factors and factory portfolios do outperform NASDAQ index with higher sharpe ratio. Moreover, analyses in timing for factor portfolios show that factor portfolios provide better return and sharpe ratio during financial crisis in U.S. On the other hand, under stable economy circumstance, factor portfolios still beat NASDAQ in terms of higher sharpe ratio. |
| 參考文獻 | Ang, A. (2014). Asset Management: A Systematic Approach to Factor Investing. Oxford University Press Asness, C. S., Frazzini, A., & Pedersen, L. H. (2014). Quality minus junk.Available at SSRN 2312432. Business, 45(3), 444-455. Asness, C. S., Frazzini, A., Israel, R., & Moskowitz, T. J. (2014). Fact, fiction and momentum investing. Journal of Portfolio Management, Fall. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985. Baker, M., Bradley, B., & Taliaferro, R. (2014). The low-risk anomaly: A decomposition into micro and macro effects. Financial Analysts Journal, 70(2), 43-58. Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3), 444-455. Jensen, M. C., Black, F., & Scholes, M. S. (1972). The capital asset pricing model: Some empirical tests. Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82. Cazalet, Z., & Roncalli, T. (2014). Facts and fantasies about factor investing.Available at SSRN 2524547. De Bondt, W. F., & Thaler, R. H. (1long/short). Further evidence on investor overreaction and stock market seasonality. Journal of finance, 557-581. Decomposition into Micro and Macro Effects, Financial Analysts Journal, 70(2),.43-58. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. Fama, E. F., & French, K. R. (1995). Size and book‐to‐market factors in earnings and returns. The Journal of Finance, 50(1), 131-155. Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of financial economics, 105(3), 457-472. Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1-25. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), 65-91. Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91. Novy-Marx, R. (2013). The other side of value: The gross profitability premium.Journal of Financial Economics, 108(1), 1-28. Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 1-41. Praeger Publishers Inc., 79-121. Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of economic theory, 13(3), 341-360. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442. |
| 描述 | 碩士 國立政治大學 財務管理研究所 103357005 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0103357005 |
| 資料類型 | thesis |
| dc.contributor.advisor | 岳夢蘭 | zh_TW |
| dc.contributor.author (作者) | 黃凱偉 | zh_TW |
| dc.creator (作者) | 黃凱偉 | zh_TW |
| dc.date (日期) | 2016 | en_US |
| dc.date.accessioned | 2-八月-2016 15:58:08 (UTC+8) | - |
| dc.date.available | 2-八月-2016 15:58:08 (UTC+8) | - |
| dc.date.issued (上傳時間) | 2-八月-2016 15:58:08 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0103357005 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/99537 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 103357005 | zh_TW |
| dc.description.abstract (摘要) | 近年來(2005-2014)，因子投資在市值、帳面市值比和動能在美國股市無法得到比大盤更好的表現，所以本研究以五因子亦即市值因子、帳面市值比因子、動能因子、低市場因子和品質因子，進行特定產業美國科技股研究，不同於大部分因子投資研究都以地區作為區分標準，期望可以得到不同的因子投資策略。研究結果發現無論是個別因子投資或是因子投資組合確實可以在美國科技股中提高夏普指標並擊敗那斯達克指數，此外檢視因子投資組合在不同時間的投資效益，發現因子投資組合在金融海嘯的壞時機期間，相對於投資那斯達克，更具有抗跌作用、投資的效益，在經濟穩定的好時機時，也能具備足夠的收益率並能夠提供投資者更好夏普指標，顯示因子投資在美國科技股中是一個可以成功的投資策略。 | zh_TW |
| dc.description.abstract (摘要) | Recently, factor investing in market value, book/market ratio and momentum had no outperformance comparing to the market index in terms of return and sharpe ratio. The research focus on technology stocks in U.S to construct 5 factors which are market value, book/market ratio, momentum, betting against beta, quality. Unlike other regional-based researches, this paper is industrial-based and aims to create a new factor investing strategy. The result shows that some factors and factory portfolios do outperform NASDAQ index with higher sharpe ratio. Moreover, analyses in timing for factor portfolios show that factor portfolios provide better return and sharpe ratio during financial crisis in U.S. On the other hand, under stable economy circumstance, factor portfolios still beat NASDAQ in terms of higher sharpe ratio. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 1 第二節 研究架構 4 第二章 文獻回顧 5 第一節 資本資產定價模型 5 第二節 無風險套利模型 5 第三節 Fama-French的三因子模型 6 第四節 其他因子 7 第五節 因子的選擇和投資績效 9 第三章 研究方法 10 第一節 資料蒐集來源 10 第二節 樣本的選擇、期間 11 第三節 風險因子的建構 11 第四章 實證與分析結果 16 第一節 無放空限制(long/short) 16 一、long/short因子表現 16 二、long/short因子權重分配與投資組合的建立 19 第二節 有放空限制(long only) 21 一、long only因子表現 21 二、long only因子權重分配與投資組合的建立 25 第三節 因子投資組合投資時機 27 一、long/short投資組合不同時機表現 28 二、long only 投資組合不同時機表現 30 第五章 結論與建議 32 第一節 研究結論 32 第二節 研究限制與後續建議 32 參考文獻. 34 | zh_TW |
| dc.format.extent | 984968 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0103357005 | en_US |
| dc.subject (關鍵詞) | 因子投資 | zh_TW |
| dc.subject (關鍵詞) | 投資策略 | zh_TW |
| dc.subject (關鍵詞) | 美國科技業 | zh_TW |
| dc.subject (關鍵詞) | factor investing | en_US |
| dc.subject (關鍵詞) | investment strategy | en_US |
| dc.subject (關鍵詞) | American technology industry | en_US |
| dc.title (題名) | 因子投資策略的應用-以美國科技業為例 | zh_TW |
| dc.title (題名) | The application of factor investing to American technology industry | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | Ang, A. (2014). Asset Management: A Systematic Approach to Factor Investing. Oxford University Press Asness, C. S., Frazzini, A., & Pedersen, L. H. (2014). Quality minus junk.Available at SSRN 2312432. Business, 45(3), 444-455. Asness, C. S., Frazzini, A., Israel, R., & Moskowitz, T. J. (2014). Fact, fiction and momentum investing. Journal of Portfolio Management, Fall. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985. Baker, M., Bradley, B., & Taliaferro, R. (2014). The low-risk anomaly: A decomposition into micro and macro effects. Financial Analysts Journal, 70(2), 43-58. Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3), 444-455. Jensen, M. C., Black, F., & Scholes, M. S. (1972). The capital asset pricing model: Some empirical tests. Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact?. The Journal of finance, 40(3), 793-805. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82. Cazalet, Z., & Roncalli, T. (2014). Facts and fantasies about factor investing.Available at SSRN 2524547. De Bondt, W. F., & Thaler, R. H. (1long/short). Further evidence on investor overreaction and stock market seasonality. Journal of finance, 557-581. Decomposition into Micro and Macro Effects, Financial Analysts Journal, 70(2),.43-58. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. Fama, E. F., & French, K. R. (1995). Size and book‐to‐market factors in earnings and returns. The Journal of Finance, 50(1), 131-155. Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of financial economics, 105(3), 457-472. Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics, 111(1), 1-25. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), 65-91. Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91. Novy-Marx, R. (2013). The other side of value: The gross profitability premium.Journal of Financial Economics, 108(1), 1-28. Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 1-41. Praeger Publishers Inc., 79-121. Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of economic theory, 13(3), 341-360. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442. | zh_TW |