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題名 利用企業投資指標建構投資組合 - 以台灣科技業為例
Portfolio Construction Using Corporate Investment Metrics - An Empirical Study on Taiwan Technology Sector
作者 吳永丞
Wu, Yung Cheng
貢獻者 吳啟銘
Wu, Chi Ming
吳永丞
Wu, Yung Cheng
關鍵詞 基本面指數化
企業投資
投資組合績效
Fundamental indexation
Corporate investment
Portfolio performance
日期 2018
上傳時間 2-Feb-2018 10:50:18 (UTC+8)
摘要 本研究以985筆台灣科技業公司為樣本，並且使用企業投資指標作為指數加權基礎，探討以有形和無形資產投資規模進行基本面指數化的績效表現與可行性。我們發現即使在考慮了價值風險和規模風險之後，以研究發展費用相關指標建構的基本面指數仍可以產生超額報酬。此外，研究結果顯示部分的基本面指數具有市場擇時能力，能避免投資組合績效受到價格不效率的影響。在對樣本進行流動性的篩選以及考慮投資組合的交易成本之後，我們仍得到一樣的結果。
We employ 985 companies in technology industry in Taiwan to examine the performance and feasibility of the fundamental indices constructed by corporate investment metrics (including both tangible and intangible investment). We find that the fundamental indices constructed by R&D expenditure-related metrics generate significant Fama-French alpha. Besides, evidence shows that parts of the fundamental indices have market timing ability to prevent performance dragged by price inefficiency. We draw a same conclusion after weeding out the companies with low liquidity and adjusting for transaction costs.
參考文獻 Abarbanell, J. S., & Bushee, B. J. (1998). Abnormal returns to a fundamental analysis strategy. Accounting Review, 19-45.
Arnott, R. D., Hsu, J., & Moore, P. (2005). Fundamental indexation. Financial Analysts Journal, 61(2), 83-99.
Arnott, R. D., Hsu, J. C., Liu, J., & Markowitz, H. (2014). Can noise create the size and value effects? Management Science, 61(11), 2569-2579.
Asness, C. (2006). The value of fundamental indexing proponents of market benchmarks weighted by dividends, earnings or sales claim that an investment management revolution is afoot. INSTITUTIONAL INVESTOR-NEW YORK-, 40(10), 94.
Balatti, M., Brooks, C., & Kappou, K. (2017). Fundamental indexation revisited: New evidence on alpha. International Review of Financial Analysis, 51, 1-15.
Ball, R., Gerakos, J., Linnainmaa, J. T., & Nikolaev, V. V. (2015). Deflating profitability. Journal of financial economics, 117(2), 225-248.
Banker, R. D., Huang, R., Natarajan, R. R., & Zhao, S. (2015). Market reaction to intangible asset value: Evidence on sg&a expenditure.
Berlemann, M., & Wesselhöft, J.-E. (2014). Estimating aggregate capital stocks using the perpetual inventory method. Review of economics, 65(1), 1-34.
Blitz, D., & Swinkels, L. (2008). Fundamental indexation: An active value strategy in disguise. Journal of Asset Management, 9(4), 264-269.
Blitz, D., Van Der Grient, B., & Van Vliet, P. (2010). Fundamental indexation: Rebalancing assumptions and performance. The Journal of Index Investing, 1(2), 82-88.
Bogle, J. C., & Malkiel, B. G. (2006). Turn on a paradigm? Wall Street Journal, 27(June), A14.
Brooks, C., Rew, A. G., & Ritson, S. (2001). A trading strategy based on the lead–lag relationship between the spot index and futures contract for the ftse 100. International Journal of Forecasting, 17(1), 31-44.
Chan, L. K., Lakonishok, J., & Sougiannis, T. (2001). The stock market valuation of research and development expenditures. The journal of finance, 56(6), 2431-2456.
Chan, S. H., Martin, J. D., & Kensinger, J. W. (1990). Corporate research and development expenditures and share value. Journal of financial economics, 26(2), 255-276.
Chen, C., Chen, R., & Bassett, G. W. (2007). Fundamental indexation via smoothed cap weights. Journal of Banking & Finance, 31(11), 3486-3502.
Chen, D., Dempsey, M., & Lajbcygier, P. (2015). Is fundamental indexation able to time the market? Evidence from the dow jones industrial average and the russell 1000. Journal of International Financial Markets, Institutions and Money, 37, 162-177.
Clarke, R., De Silva, H., & Thorley, S. (2016). Fundamentals of efficient factor investing. Financial Analysts Journal, 72(6), 9-26.
Clausen, S., & Hirth, S. (2016). Measuring the value of intangibles. Journal of Corporate Finance, 40(Supplement C), 110-127. doi:https://doi.org/10.1016/j.jcorpfin.2016.07.012
Corrado, C., Hulten, C., & Sichel, D. (2009). Intangible capital and us economic growth. Review of income and wealth, 55(3), 661-685.
Deng, Z., Lev, B., & Narin, F. (1999). Science and technology as predictors of stock performance. Financial Analysts Journal, 55(3), 20-32.
Dey-Chowdhury, S. (2008). Methods explained: Perpetual inventory method (pim). Economic & Labour Market Review, 2(9), 48-52.
Eberhart, A. C., Maxwell, W. F., & Siddique, A. R. (2004). An examination of long‐term abnormal stock returns and operating performance following r&d increases. The journal of finance, 59(2), 623-650.
Eisfeldt, A. L., & Papanikolaou, D. (2014). The value and ownership of intangible capital. The American economic review, 104(5), 189-194.
Estrada, J. (2008). Fundamental indexation and international diversification. The Journal of Portfolio Management, 34(3), 93-109.
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.
Gerhard, & Meinen, V. (1998). Perpetual inventory method: Service lives, discard patterns and depreciation methods: Statistics Netherlands.
Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American economic review, 70(3), 393-408.
Hall, B. H. (2007). Measuring the returns to r&d: The depreciation problem. Retrieved from
Hall, B. H., Mairesse, J., & Mohnen, P. (2010). Measuring the returns to r&d. Handbook of the Economics of Innovation, 2, 1033-1082.
Heeley, M. B., King, D. R., & Covin, J. G. (2006). Effects of firm r&d investment and environment on acquisition likelihood. Journal of Management Studies, 43(7), 1513-1535.
Hemminki, J., & Puttonen, V. (2008). Fundamental indexation in europe. Journal of Asset Management, 8(6), 401-405.
Henriksson, R. D., & Merton, R. C. (1981). On market timing and investment performance. Ii. Statistical procedures for evaluating forecasting skills. Journal of business, 513-533.
Houwer, R., & Plantinga, A. (2009). Fundamental indexing: An analysis of the returns, risks and costs of applying the strategy.
Hsu, J. C. (2004). Cap-weighted portfolios are sub-optimal portfolios.
Hsu, J. C., & Campollo, C. (2010). An examination of fundamental indexation.
Hughen, J. C., & Strauss, J. (2017). Portfolio allocations using fundamental ratios: Are profitability measures more effective in selecting firms and sectors? The Journal of Portfolio Management, 43(3), 87-101.
Hulten, C. R., & Hao, X. (2008). What is a company really worth? Intangible capital and the" market to book value" puzzle. Retrieved from
Jun, D., & Malkiel, B. G. (2008). New paradigms in stock market indexing. European Financial Management, 14(1), 118-126.
Kahn, R. N., & Lemmon, M. (2016). The asset manager’s dilemma: How smart beta is disrupting the investment management industry. Financial Analysts Journal, 72(1), 15-20.
Kaplan, P. D. (2008). Why fundamental indexation might—or might not—work. Financial Analysts Journal, 64(1), 32-39.
Knott, A. M., & Vieregger, C. (2015). The puzzle of market value from r&d.
Lev, B. (2004). Sharpening the intangibles edge. Harvard business review, 6, 109-116.
Lev, B., & Sougiannis, T. (1996). The capitalization, amortization, and value-relevance of r&d. Journal of accounting and economics, 21(1), 107-138.
Li, D. (2004). The implications of capital investment for future profitability and stock returns: An over-investment perspective. University of California, Berkeley.
Lin, W., & Sanger, G. C. (2015). In search of firms’ economic footprint: Incorporating debt information to enhance fundamental indexation.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The review of economics and statistics, 13-37.
Malkiel, B. G., & Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of finance, 25(2), 383-417.
Malkiel, B. G., & Jun, D. (2009). New methods of creating indexed portfolios: Weighing the possibilities of creating portfolios through fundamental indexing. Yale Economic Review, 5(2), 45.
Mann, W. (2015). Creditor rights and innovation: Evidence from patent collateral. Available at SSRN.
Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
McQuarrie, E. F. (2008). Fundamentally indexed or fundamentally misconceived: Locating the source of rafi outperformance. The Journal of Investing, 17(4), 29-37.
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the econometric society, 768-783.
Nadiri, M. I., & Prucha, I. R. (1996). Estimation of the depreciation rate of physical and r&d capital in the us total manufacturing sector. Economic Inquiry, 34(1), 43-56.
Perold, A. F. (2007). Fundamentally flawed indexing. Financial Analysts Journal, 63(6), 31-37.
Peters, R. H., & Taylor, L. A. (2017). Intangible capital and the investment-q relation. Journal of financial economics, 123(2), 251-272.
Roll, R. (1977). A critique of the asset pricing theory`s tests part i: On past and potential testability of the theory. Journal of financial economics, 4(2), 129-176.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Siegel, J. J. (2006). The ‘noisy market’ hypothesis. Wall Street Journal, 14, A14.
Tamura, H., & Shimizu, Y. (2005). Global fundamental indices: Do they outperform market-cap weighted indices on a global basis. Security Analysts Journal, 43(10), 32-46.
Titman, S., Wei, K. J., & Xie, F. (2004). Capital investments and stock returns. Journal of financial and Quantitative Analysis, 39(4), 677-700.
Treynor, J. (2005). Why market-valuation-indifferent indexing works. Financial Analysts Journal, 61(5), 65-69.
Treynor, J. L. (1961). Toward a theory of market value of risky assets. Unpublished manuscript, 6.
Walkshäusl, C., & Lobe, S. (2010). Fundamental indexing around the world. Review of Financial Economics, 19(3), 117-127.
Woolridge, J. R. (1988). Competitive decline and corporate restructuring: Is a myopic stock market to blame? Journal of Applied Corporate Finance, 1(1), 26-36.
描述 碩士
國立政治大學
財務管理研究所
104357022
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104357022
資料類型 thesis
dc.contributor.advisor 吳啟銘zh_TW
dc.contributor.advisor Wu, Chi Mingen_US
dc.contributor.author (Authors) 吳永丞zh_TW
dc.contributor.author (Authors) Wu, Yung Chengen_US
dc.creator (作者) 吳永丞zh_TW
dc.creator (作者) Wu, Yung Chengen_US
dc.date (日期) 2018en_US
dc.date.accessioned 2-Feb-2018 10:50:18 (UTC+8)-
dc.date.available 2-Feb-2018 10:50:18 (UTC+8)-
dc.date.issued (上傳時間) 2-Feb-2018 10:50:18 (UTC+8)-
dc.identifier (Other Identifiers) G0104357022en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/115724-
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) 104357022zh_TW
dc.description.abstract (摘要) 本研究以985筆台灣科技業公司為樣本，並且使用企業投資指標作為指數加權基礎，探討以有形和無形資產投資規模進行基本面指數化的績效表現與可行性。我們發現即使在考慮了價值風險和規模風險之後，以研究發展費用相關指標建構的基本面指數仍可以產生超額報酬。此外，研究結果顯示部分的基本面指數具有市場擇時能力，能避免投資組合績效受到價格不效率的影響。在對樣本進行流動性的篩選以及考慮投資組合的交易成本之後，我們仍得到一樣的結果。zh_TW
dc.description.abstract (摘要) We employ 985 companies in technology industry in Taiwan to examine the performance and feasibility of the fundamental indices constructed by corporate investment metrics (including both tangible and intangible investment). We find that the fundamental indices constructed by R&D expenditure-related metrics generate significant Fama-French alpha. Besides, evidence shows that parts of the fundamental indices have market timing ability to prevent performance dragged by price inefficiency. We draw a same conclusion after weeding out the companies with low liquidity and adjusting for transaction costs.en_US
dc.description.tableofcontents 1. Introduction 1
2. Literature Review and Hypothesis Development 5
2.1. Related Papers of Fundamental Indexation 5
2.2. Related Papers of Fundamental Indices’ Market Timing Ability 9
3. Methodology and Sample 10
3.1. Sample Description 10
3.2. Fundamental Indices: Construction 11
3.3. Corporate Investment Metrics 13
3.3.1. Size Metrics 13
3.3.2. Ratio Metrics 16
3.4. Performance Measurement 18
4. Empirical Results 19
4.1. Descriptive Statistics 19
4.2. Return and Performance Characteristics 20
4.3. Liquidity and Turnover Characteristics 21
4.4. CAPM and Fama-French Three Factor Characteristics 22
4.5. Evidence of Market Timing Ability 23
5. Robustness Tests 23
5.1. Influence of Liquidity Adjustment 23
5.2. Influence of Transaction Costs Adjustment 24
5.3. Outlier Risks 24
6. Conclusions 25
References 27		zh_TW
dc.format.extent 516003 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104357022en_US
dc.subject (關鍵詞) 基本面指數化zh_TW
dc.subject (關鍵詞) 企業投資zh_TW
dc.subject (關鍵詞) 投資組合績效zh_TW
dc.subject (關鍵詞) Fundamental indexationen_US
dc.subject (關鍵詞) Corporate investmenten_US
dc.subject (關鍵詞) Portfolio performanceen_US
dc.title (題名) 利用企業投資指標建構投資組合 - 以台灣科技業為例zh_TW
dc.title (題名) Portfolio Construction Using Corporate Investment Metrics - An Empirical Study on Taiwan Technology Sectoren_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Abarbanell, J. S., & Bushee, B. J. (1998). Abnormal returns to a fundamental analysis strategy. Accounting Review, 19-45.
Arnott, R. D., Hsu, J., & Moore, P. (2005). Fundamental indexation. Financial Analysts Journal, 61(2), 83-99.
Arnott, R. D., Hsu, J. C., Liu, J., & Markowitz, H. (2014). Can noise create the size and value effects? Management Science, 61(11), 2569-2579.
Asness, C. (2006). The value of fundamental indexing proponents of market benchmarks weighted by dividends, earnings or sales claim that an investment management revolution is afoot. INSTITUTIONAL INVESTOR-NEW YORK-, 40(10), 94.
Balatti, M., Brooks, C., & Kappou, K. (2017). Fundamental indexation revisited: New evidence on alpha. International Review of Financial Analysis, 51, 1-15.
Ball, R., Gerakos, J., Linnainmaa, J. T., & Nikolaev, V. V. (2015). Deflating profitability. Journal of financial economics, 117(2), 225-248.
Banker, R. D., Huang, R., Natarajan, R. R., & Zhao, S. (2015). Market reaction to intangible asset value: Evidence on sg&a expenditure.
Berlemann, M., & Wesselhöft, J.-E. (2014). Estimating aggregate capital stocks using the perpetual inventory method. Review of economics, 65(1), 1-34.
Blitz, D., & Swinkels, L. (2008). Fundamental indexation: An active value strategy in disguise. Journal of Asset Management, 9(4), 264-269.
Blitz, D., Van Der Grient, B., & Van Vliet, P. (2010). Fundamental indexation: Rebalancing assumptions and performance. The Journal of Index Investing, 1(2), 82-88.
Bogle, J. C., & Malkiel, B. G. (2006). Turn on a paradigm? Wall Street Journal, 27(June), A14.
Brooks, C., Rew, A. G., & Ritson, S. (2001). A trading strategy based on the lead–lag relationship between the spot index and futures contract for the ftse 100. International Journal of Forecasting, 17(1), 31-44.
Chan, L. K., Lakonishok, J., & Sougiannis, T. (2001). The stock market valuation of research and development expenditures. The journal of finance, 56(6), 2431-2456.
Chan, S. H., Martin, J. D., & Kensinger, J. W. (1990). Corporate research and development expenditures and share value. Journal of financial economics, 26(2), 255-276.
Chen, C., Chen, R., & Bassett, G. W. (2007). Fundamental indexation via smoothed cap weights. Journal of Banking & Finance, 31(11), 3486-3502.
Chen, D., Dempsey, M., & Lajbcygier, P. (2015). Is fundamental indexation able to time the market? Evidence from the dow jones industrial average and the russell 1000. Journal of International Financial Markets, Institutions and Money, 37, 162-177.
Clarke, R., De Silva, H., & Thorley, S. (2016). Fundamentals of efficient factor investing. Financial Analysts Journal, 72(6), 9-26.
Clausen, S., & Hirth, S. (2016). Measuring the value of intangibles. Journal of Corporate Finance, 40(Supplement C), 110-127. doi:https://doi.org/10.1016/j.jcorpfin.2016.07.012
Corrado, C., Hulten, C., & Sichel, D. (2009). Intangible capital and us economic growth. Review of income and wealth, 55(3), 661-685.
Deng, Z., Lev, B., & Narin, F. (1999). Science and technology as predictors of stock performance. Financial Analysts Journal, 55(3), 20-32.
Dey-Chowdhury, S. (2008). Methods explained: Perpetual inventory method (pim). Economic & Labour Market Review, 2(9), 48-52.
Eberhart, A. C., Maxwell, W. F., & Siddique, A. R. (2004). An examination of long‐term abnormal stock returns and operating performance following r&d increases. The journal of finance, 59(2), 623-650.
Eisfeldt, A. L., & Papanikolaou, D. (2014). The value and ownership of intangible capital. The American economic review, 104(5), 189-194.
Estrada, J. (2008). Fundamental indexation and international diversification. The Journal of Portfolio Management, 34(3), 93-109.
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.
Gerhard, & Meinen, V. (1998). Perpetual inventory method: Service lives, discard patterns and depreciation methods: Statistics Netherlands.
Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American economic review, 70(3), 393-408.
Hall, B. H. (2007). Measuring the returns to r&d: The depreciation problem. Retrieved from
Hall, B. H., Mairesse, J., & Mohnen, P. (2010). Measuring the returns to r&d. Handbook of the Economics of Innovation, 2, 1033-1082.
Heeley, M. B., King, D. R., & Covin, J. G. (2006). Effects of firm r&d investment and environment on acquisition likelihood. Journal of Management Studies, 43(7), 1513-1535.
Hemminki, J., & Puttonen, V. (2008). Fundamental indexation in europe. Journal of Asset Management, 8(6), 401-405.
Henriksson, R. D., & Merton, R. C. (1981). On market timing and investment performance. Ii. Statistical procedures for evaluating forecasting skills. Journal of business, 513-533.
Houwer, R., & Plantinga, A. (2009). Fundamental indexing: An analysis of the returns, risks and costs of applying the strategy.
Hsu, J. C. (2004). Cap-weighted portfolios are sub-optimal portfolios.
Hsu, J. C., & Campollo, C. (2010). An examination of fundamental indexation.
Hughen, J. C., & Strauss, J. (2017). Portfolio allocations using fundamental ratios: Are profitability measures more effective in selecting firms and sectors? The Journal of Portfolio Management, 43(3), 87-101.
Hulten, C. R., & Hao, X. (2008). What is a company really worth? Intangible capital and the" market to book value" puzzle. Retrieved from
Jun, D., & Malkiel, B. G. (2008). New paradigms in stock market indexing. European Financial Management, 14(1), 118-126.
Kahn, R. N., & Lemmon, M. (2016). The asset manager’s dilemma: How smart beta is disrupting the investment management industry. Financial Analysts Journal, 72(1), 15-20.
Kaplan, P. D. (2008). Why fundamental indexation might—or might not—work. Financial Analysts Journal, 64(1), 32-39.
Knott, A. M., & Vieregger, C. (2015). The puzzle of market value from r&d.
Lev, B. (2004). Sharpening the intangibles edge. Harvard business review, 6, 109-116.
Lev, B., & Sougiannis, T. (1996). The capitalization, amortization, and value-relevance of r&d. Journal of accounting and economics, 21(1), 107-138.
Li, D. (2004). The implications of capital investment for future profitability and stock returns: An over-investment perspective. University of California, Berkeley.
Lin, W., & Sanger, G. C. (2015). In search of firms’ economic footprint: Incorporating debt information to enhance fundamental indexation.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The review of economics and statistics, 13-37.
Malkiel, B. G., & Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of finance, 25(2), 383-417.
Malkiel, B. G., & Jun, D. (2009). New methods of creating indexed portfolios: Weighing the possibilities of creating portfolios through fundamental indexing. Yale Economic Review, 5(2), 45.
Mann, W. (2015). Creditor rights and innovation: Evidence from patent collateral. Available at SSRN.
Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
McQuarrie, E. F. (2008). Fundamentally indexed or fundamentally misconceived: Locating the source of rafi outperformance. The Journal of Investing, 17(4), 29-37.
Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the econometric society, 768-783.
Nadiri, M. I., & Prucha, I. R. (1996). Estimation of the depreciation rate of physical and r&d capital in the us total manufacturing sector. Economic Inquiry, 34(1), 43-56.
Perold, A. F. (2007). Fundamentally flawed indexing. Financial Analysts Journal, 63(6), 31-37.
Peters, R. H., & Taylor, L. A. (2017). Intangible capital and the investment-q relation. Journal of financial economics, 123(2), 251-272.
Roll, R. (1977). A critique of the asset pricing theory`s tests part i: On past and potential testability of the theory. Journal of financial economics, 4(2), 129-176.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Siegel, J. J. (2006). The ‘noisy market’ hypothesis. Wall Street Journal, 14, A14.
Tamura, H., & Shimizu, Y. (2005). Global fundamental indices: Do they outperform market-cap weighted indices on a global basis. Security Analysts Journal, 43(10), 32-46.
Titman, S., Wei, K. J., & Xie, F. (2004). Capital investments and stock returns. Journal of financial and Quantitative Analysis, 39(4), 677-700.
Treynor, J. (2005). Why market-valuation-indifferent indexing works. Financial Analysts Journal, 61(5), 65-69.
Treynor, J. L. (1961). Toward a theory of market value of risky assets. Unpublished manuscript, 6.
Walkshäusl, C., & Lobe, S. (2010). Fundamental indexing around the world. Review of Financial Economics, 19(3), 117-127.
Woolridge, J. R. (1988). Competitive decline and corporate restructuring: Is a myopic stock market to blame? Journal of Applied Corporate Finance, 1(1), 26-36.		zh_TW