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題名 金融科技之風險屬性及投資價值之研究-以美國指數股票型基金為研究對象
Risk Attributes and Investment Value of Financial Technology- Evidence from U.S. Exchange Traded Funds
作者 呂依璇
Lu, Yi-Shiuan
貢獻者 吳啟銘
呂依璇
Lu, Yi-Shiuan
關鍵詞 金融科技
投資風格
風險屬性
超額報酬
投資價值
日期 2020
上傳時間 1-Jul-2020 13:37:34 (UTC+8)
摘要 面對數位化浪潮來襲，金融科技顯然已成為近年的發展重點，不僅為傳統金融業的服務模式帶來衝擊，亦使人們的生活型態產生極大變化。對於金融科技強勁的成長潛力，眾多科技公司及金融機構皆計畫跨足此利基市場，進而使得金融科技產業、科技產業及金融產業之間的關係日漸緊密，並相互影響。而金融科技究竟屬於金融產業或科技產業之一環，抑或是不同於兩者的全新產業，存在許多不同的論點，故本研究以美國指數股票型基金為研究對象，並就投資人角度探討金融科技產業、科技產業及金融產業是否存在差異。研究結果顯示，在投資風格方面，金融科技股ETF與科技股ETF較為相似，與金融股ETF則存在差異；在風險屬性方面，金融科技股ETF、科技股ETF及金融股ETF皆存在部分差異；在報酬表現方面，金融科技股ETF未能持續擁有顯著的超額報酬；最後，在投資價值方面，將金融科技股ETF納入投資組合得以提升整體績效，然而因其波動程度較高，使之投資績效增加幅度皆遜於含有科技股ETF及金融股ETF之投資組合。
參考文獻 一、中文部分
Skinner, Chris（2014）。數位銀行：銀行數位轉型策略指南（孫一仕譯）。台北市：財團法人台灣金融研訓院。（原著出版年：2013）。
中央銀行（2019，6月）。央行理監事會後記者會參考資料。央行理監事會議，中央銀行，台北市。
吳易修（2010）。台灣股票型共同基金投資風格與投資績效之關聯性探討（碩士論文）。實踐大學財務金融與保險研究所。台北市。
林佩蓉（2002）。動態貝他值估計模型之研究（碩士論文）。淡江大學財務金融學系。新北市。

二、英文部分
Arner, D. W., Barberis, J., & Buckley, R. P. (2015). The evolution of Fintech: A new post-crisis paradigm. Geo. J. Int`l L., 47, 1271.
Atkinson, B., Averill, K., & Hardy, S. (2001). The dangers of misusing returns based style analysis.
Bams, D., Otten, R., & Ramezanifar, E. (2017, March). Investment style misclassification and mutual fund performance. In 28th Australasian Finance and Banking Conference.
Braga, M. D. (2016). Returns-Based Style Analysis. In Asset Management and Institutional Investors (pp. 277-300). Springer, Cham.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
Cenesizoglu, T., Ribeiro, F. D. O. F., & Reeves, J. J. (2017). Beta forecasting at long horizons. International Journal of Forecasting, 33(4), 936-957.
Center for the Digital Future（2019, April）. The Future of Money and Banking. Los Angeles：Center for the Digital Future.
Chan, L. K., Chen, H. L., & Lakonishok, J. (2002). On mutual fund investment styles. The Review of Financial Studies, 15(5), 1407-1437.
Christopherson, J. A. (1995). Equity style classifications. Journal of portfolio management, 21(3), 32.
Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.
Farrell, J. L. (1974). Analyzing covariation of returns to determine homogeneous stock groupings. The Journal of Business, 47(2), 186-207.
Fukui, T., Sato, S., & Takahashi, A. (2017). Style analysis with particle filtering and generalized simulated annealing. International Journal of Financial Engineering, 4(02n03), 1750037.
Gallagher, D. R., Harman, G., Schmidt, C., & Warren, G. (2016). Global Equity Fund Performance Evaluation with Equity and Currency Style Factors. CIFR Paper, (123).
Gallo, J. G., & Lockwood, L. (1997). Benefits of proper style classification of equity portfolio managers. Journal of Portfolio Management, 23(3), 47.
Gong, S. X., Firth, M., & Cullinane, K. (2006). Beta estimation and stability in the US-listed international transportation industry. Review of Pacific Basin Financial Markets and Policies, 9(03), 463-490.
HUANG, S. W., & GUAN, P. F. (2016). Do Style Investing and Co-movement Predict Stock Return? Evidence from Stock Market in China. Financial Theory & Practice, (6), 16.
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.
Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. The Journal of finance, 23(2), 389-416.
KPMG Global Fintech & H2 Ventures（2019, November）. 2019 FinTech100. Zurich：KPMG.
Kurniawan, M., How, J., & Verhoeven, P. (2016). Fund governance and style drift. Pacific-Basin Finance Journal, 40, 59-72.
Le Sourd, V. (2007). Return-Based Style Analysis: an answer to the difficulties of implementing Holding-Based Style Analysis.
Levy, M. (2017). Measuring portfolio performance: Sharpe, alpha, or the geometric mean?. Journal of Investment Management, 15(3), 1-17.
Liu, Z., & Wang, J. (2018). Do Style Momentum Strategies Produce Abnormal Returns: Evidence from Index Investing. The International Journal of Business and Finance Research, 12(2), 63-75.
Lucas, L., & Riepe, M. W. (1996). The role of returns-based style analysis: understanding, implementing, and interpreting the technique. Ibbotson Associates, Inc., USA.
Pattarin, F., Paterlini, S., & Minerva, T. (2004). Clustering financial time series: an application to mutual funds style analysis. Computational Statistics & Data Analysis, 47(2), 353-372.
Pettengill, G. N., Sundaram, S., & Mathur, I. (1995). The conditional relation between beta and returns. Journal of Financial and quantitative Analysis, 30(1), 101-116.
Rekenthaler, J., Gambera, M., & Charlson, J. (2006). Estimating portfolio style in US equity funds: A comparative study of portfolio-based fundamental style analysis and returns-based style analysis. The Journal of Investing, 15(3), 25-33.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138.
Sharpe, W. F. (1992). Asset allocation: Management style and performance measurement. Journal of portfolio Management, 18(2), 7-19.
Treynor, J. (1965). How to rate management of investment funds.
World Economic Forum（2015, June）. The Future of Financial Services. Cologny：World Economic Forum.
描述 碩士
國立政治大學
財務管理學系
107357003
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357003
資料類型 thesis
dc.contributor.advisor 吳啟銘zh_TW
dc.contributor.author (Authors) 呂依璇zh_TW
dc.contributor.author (Authors) Lu, Yi-Shiuanen_US
dc.creator (作者) 呂依璇zh_TW
dc.creator (作者) Lu, Yi-Shiuanen_US
dc.date (日期) 2020en_US
dc.date.accessioned 1-Jul-2020 13:37:34 (UTC+8)-
dc.date.available 1-Jul-2020 13:37:34 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2020 13:37:34 (UTC+8)-
dc.identifier (Other Identifiers) G0107357003en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130524-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 107357003zh_TW
dc.description.abstract (摘要) 面對數位化浪潮來襲，金融科技顯然已成為近年的發展重點，不僅為傳統金融業的服務模式帶來衝擊，亦使人們的生活型態產生極大變化。對於金融科技強勁的成長潛力，眾多科技公司及金融機構皆計畫跨足此利基市場，進而使得金融科技產業、科技產業及金融產業之間的關係日漸緊密，並相互影響。而金融科技究竟屬於金融產業或科技產業之一環，抑或是不同於兩者的全新產業，存在許多不同的論點，故本研究以美國指數股票型基金為研究對象，並就投資人角度探討金融科技產業、科技產業及金融產業是否存在差異。研究結果顯示，在投資風格方面，金融科技股ETF與科技股ETF較為相似，與金融股ETF則存在差異；在風險屬性方面，金融科技股ETF、科技股ETF及金融股ETF皆存在部分差異；在報酬表現方面，金融科技股ETF未能持續擁有顯著的超額報酬；最後，在投資價值方面，將金融科技股ETF納入投資組合得以提升整體績效，然而因其波動程度較高，使之投資績效增加幅度皆遜於含有科技股ETF及金融股ETF之投資組合。zh_TW
dc.description.tableofcontents 表目錄 II
圖目錄 III
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與問題 3
第二章 文獻探討 5
第一節 投資風格分析之相關研究 5
第二節 投資風險衡量之相關研究 8
第三節 投資績效評估之相關研究 9
第三章 研究方法 15
第一節 研究問題 15
第二節 研究期間與樣本選取 15
第三節 實證模型與變數定義 22
第四章 實證結果與分析 28
第一節 敘述性統計 28
第二節 相關性分析 32
第三節 實證結果分析 34
第五章 結論與建議 55
第一節 研究結論 55
第二節 研究限制與建議 57
參考文獻 58		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357003en_US
dc.subject (關鍵詞) 金融科技zh_TW
dc.subject (關鍵詞) 投資風格zh_TW
dc.subject (關鍵詞) 風險屬性zh_TW
dc.subject (關鍵詞) 超額報酬zh_TW
dc.subject (關鍵詞) 投資價值zh_TW
dc.title (題名) 金融科技之風險屬性及投資價值之研究-以美國指數股票型基金為研究對象zh_TW
dc.title (題名) Risk Attributes and Investment Value of Financial Technology- Evidence from U.S. Exchange Traded Fundsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部分
Skinner, Chris（2014）。數位銀行：銀行數位轉型策略指南（孫一仕譯）。台北市：財團法人台灣金融研訓院。（原著出版年：2013）。
中央銀行（2019，6月）。央行理監事會後記者會參考資料。央行理監事會議，中央銀行，台北市。
吳易修（2010）。台灣股票型共同基金投資風格與投資績效之關聯性探討（碩士論文）。實踐大學財務金融與保險研究所。台北市。
林佩蓉（2002）。動態貝他值估計模型之研究（碩士論文）。淡江大學財務金融學系。新北市。

二、英文部分
Arner, D. W., Barberis, J., & Buckley, R. P. (2015). The evolution of Fintech: A new post-crisis paradigm. Geo. J. Int`l L., 47, 1271.
Atkinson, B., Averill, K., & Hardy, S. (2001). The dangers of misusing returns based style analysis.
Bams, D., Otten, R., & Ramezanifar, E. (2017, March). Investment style misclassification and mutual fund performance. In 28th Australasian Finance and Banking Conference.
Braga, M. D. (2016). Returns-Based Style Analysis. In Asset Management and Institutional Investors (pp. 277-300). Springer, Cham.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
Cenesizoglu, T., Ribeiro, F. D. O. F., & Reeves, J. J. (2017). Beta forecasting at long horizons. International Journal of Forecasting, 33(4), 936-957.
Center for the Digital Future（2019, April）. The Future of Money and Banking. Los Angeles：Center for the Digital Future.
Chan, L. K., Chen, H. L., & Lakonishok, J. (2002). On mutual fund investment styles. The Review of Financial Studies, 15(5), 1407-1437.
Christopherson, J. A. (1995). Equity style classifications. Journal of portfolio management, 21(3), 32.
Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. Journal of political economy, 81(3), 607-636.
Farrell, J. L. (1974). Analyzing covariation of returns to determine homogeneous stock groupings. The Journal of Business, 47(2), 186-207.
Fukui, T., Sato, S., & Takahashi, A. (2017). Style analysis with particle filtering and generalized simulated annealing. International Journal of Financial Engineering, 4(02n03), 1750037.
Gallagher, D. R., Harman, G., Schmidt, C., & Warren, G. (2016). Global Equity Fund Performance Evaluation with Equity and Currency Style Factors. CIFR Paper, (123).
Gallo, J. G., & Lockwood, L. (1997). Benefits of proper style classification of equity portfolio managers. Journal of Portfolio Management, 23(3), 47.
Gong, S. X., Firth, M., & Cullinane, K. (2006). Beta estimation and stability in the US-listed international transportation industry. Review of Pacific Basin Financial Markets and Policies, 9(03), 463-490.
HUANG, S. W., & GUAN, P. F. (2016). Do Style Investing and Co-movement Predict Stock Return? Evidence from Stock Market in China. Financial Theory & Practice, (6), 16.
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.
Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. The Journal of finance, 23(2), 389-416.
KPMG Global Fintech & H2 Ventures（2019, November）. 2019 FinTech100. Zurich：KPMG.
Kurniawan, M., How, J., & Verhoeven, P. (2016). Fund governance and style drift. Pacific-Basin Finance Journal, 40, 59-72.
Le Sourd, V. (2007). Return-Based Style Analysis: an answer to the difficulties of implementing Holding-Based Style Analysis.
Levy, M. (2017). Measuring portfolio performance: Sharpe, alpha, or the geometric mean?. Journal of Investment Management, 15(3), 1-17.
Liu, Z., & Wang, J. (2018). Do Style Momentum Strategies Produce Abnormal Returns: Evidence from Index Investing. The International Journal of Business and Finance Research, 12(2), 63-75.
Lucas, L., & Riepe, M. W. (1996). The role of returns-based style analysis: understanding, implementing, and interpreting the technique. Ibbotson Associates, Inc., USA.
Pattarin, F., Paterlini, S., & Minerva, T. (2004). Clustering financial time series: an application to mutual funds style analysis. Computational Statistics & Data Analysis, 47(2), 353-372.
Pettengill, G. N., Sundaram, S., & Mathur, I. (1995). The conditional relation between beta and returns. Journal of Financial and quantitative Analysis, 30(1), 101-116.
Rekenthaler, J., Gambera, M., & Charlson, J. (2006). Estimating portfolio style in US equity funds: A comparative study of portfolio-based fundamental style analysis and returns-based style analysis. The Journal of Investing, 15(3), 25-33.
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138.
Sharpe, W. F. (1992). Asset allocation: Management style and performance measurement. Journal of portfolio Management, 18(2), 7-19.
Treynor, J. (1965). How to rate management of investment funds.
World Economic Forum（2015, June）. The Future of Financial Services. Cologny：World Economic Forum.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202000505en_US