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題名 以財務指標預測台股橫斷面期望報酬
Cross-Sectional Return Predictability of Financial Indicators in Taiwan作者 蔣佳穎
Jiang, Jia-Ying貢獻者 鍾令德
蔣佳穎
Jiang, Jia-Ying關鍵詞 因子投資
財務特徵
Factor investing
Accounting characteristics日期 2022 上傳時間 1-Jul-2022 15:58:01 (UTC+8) 摘要 因子投資近年來深受金融市場關注，業界與學界均提出數以百計的因子投資策略。投資者網羅股票的各種特徵，作為評選投資組合的基準，從而創造超額報酬。本文擷取共80個由Chen and Zimmermann (2021)所整理出的財務特徵，將其歸納為6大類別：盈餘及盈餘組成、財務槓桿、資產與資本投資、營運資產、企業銷售及利潤、企業價值評估，並透過回測以各單一財務指標建立多空投資策略，檢視每項因子在台股市場的表現，本研究所使用的在80個財務特徵中，僅有21個能有效獲取超額報酬。其中盈餘、投資與營運相關的財務特徵，才相對能產生有效的投資策略，可證財務因子在台股市場的比現和美股市場不盡相同。
Factor investing is becoming increasingly popular among the investment community in recent years. To capture abnormal return, hundreds of factor investing strategies have been created. This article examines the return predictability of 80 accounting characteristics solicited by Chen and Zimmermann (2021) in the Taiwanese stock market. We classify the accounting characteristics into 6 groups: earnings and earnings components, financial leverage, assets and capital investment, operating assets, sales and revenue and company valuation. After back testing all 80 long-short strategies constructed by sorting stocks on individual accounting characteristics, we find that only 21 accounting characteristics are able to generate abnormal return in the Taiwanese stock market. In particular, accounting characteristics that are related to earnings, corporate investment, and operating performance are relatively effective in generating profitable trading strategies. Our research highlights salience differences in the performances of accounting based investment factors between Taiwan and the US.參考文獻 Abarbanell, Jeffery S., and Brian J. Bushee, 1998, Abnormal returns to a fundamental analysis strategy, The Accounting Review 73, 19–45.Altman, Edward I., 1968, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, The Journal of Finance 23, 589–609.Alwathainani, Abdulaziz M., 2009, Consistency of firms’ past financial performance measures and future returns, The British Accounting Review 41, 184–196.Anderson, Christopher W., and Luis Garcia-Feijóo, 2006, Empirical evidence on capital investment, growth options, and security returns, The Journal of Finance 61, 171–194.Ball, Ray, Joseph Gerakos, Juhani T. Linnainmaa, and Valeri Nikolaev, 2016, Accruals, cash flows, and operating profitability in the cross section of stock returns, Journal of Financial Economics 121, 28–45.Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18.Belo, Frederico, and Xiaoji Lin, 2012, The inventory growth spread, The Review of Financial Studies 25, 278–313.Bradshaw, Mark T., Scott A. Richardson, and Richard G. Sloan, 2006, The relation between corporate financing activities, analysts＇forecasts and stock returns, Journal of Accounting and Economics 42, 53–85.Cakici, Nusret, Kudret Topyan, and Chia-Jane Wang, 2014, Cross-sectional return predictability in Taiwan stock exchange: An empirical investigation, Review of Pacific Basin Financial Markets and Policies 17, 1450010.Carhart, Mark M., 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.Chan, Louis K. C., Josef Lakonishok, and Theodore Sougiannis, 2001, The stock market valuation of research and development expenditures, The Journal of Finance 56, 2431–2456.Chen, Andrew Y., and Tom Zimmermann, 2021, Open source cross sectional asset pricing, Critical Finance Review 11, 207–264.Cohen, Lauren, Karl Diether, and Christopher Malloy, 2013, Misvaluing innovation, The Review of Financial Studies 26, 635–666.Collins, Daniel W., and Paul Hribar, 2000, Earnings-based and accrual-based market anomalies: One effect or two?, Journal of Accounting and Economics 29, 101–123.Cooper, Michael J., Huseyin Gulen, and Michael J. Schill, 2008, Asset growth and the cross-section of stock returns, The Journal of Finance 63, 1609–1651.Daniel, Kent, and Sheridan Titman, 2006, Market reactions to tangible and intangible information, The Journal of Finance 61, 1605–1643.Dechow, Patricia M., and Ilia D. Dichev, 2002, The quality of accruals and earnings: The role of accrual estimation errors, The Accounting Review 77, 35–59.Desai, Hemang, Shivaram Rajgopal, and Mohan Venkatachalam, 2004, Value-glamour and accruals mispricing: One anomaly or two?, The Accounting Review 79, 355–385.Dichev, Ilia D., 1998, Is the risk of bankruptcy a systematic risk?, The Journal of Finance53, 1131–1147.Fairfield, Patricia M., J. Scott Whisenant, and Teri Lombardi Yohn, 2003, Accrued earnings and growth: Implications for future profitability and market mispricing, The Accounting Review 78, 353–371.Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427–465.Fama, Eugene F., and Kenneth R. French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22.Francis, Jennifer, Ryan LaFond, Per Olsson, and Katherine Schipper, 2005, The market pricing of accruals quality, Journal of Accounting and Economics 39, 295–327.Francis, Jennifer, Ryan LaFond, Per M. Olsson, and Katherine Schipper, 2004, Costs of equity and earnings attributes, The Accounting Review 79, 967–1010.Hafzalla, Nader, Russell Lundholm, and E. Matthew Van Winkle, 2011, Percent accruals, The Accounting Review 86, 209–236.Hahn, Jaehoon, and Hangyong Lee, 2009, Financial constraints, debt capacity, and the cross-section of stock returns, The Journal of Finance 64, 891–921.Harvey, Campbell, and Yan Liu, 2019, A census of the factor zoo, SSRN Electronic Journal.Haugen, Robert A., and Nardin L. Baker, 1996, Commonality in the determinants of expected stock returns, Journal of Financial Economics 41, 401–439.Hirshleifer, David, Kewei Hou, Siew Hong Teoh, and Yinglei Zhang, 2004, Do investors overvalue firms with bloated balance sheets?, Journal of Accounting and Economics38, 297–331.Holthausen, Robert W, and David F Larcker, 1992, The prediction of stock returns using financial statement information, Journal of Accounting and Economics 15, 373–411.Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An investment approach, The Review of Financial Studies 28, 650–705.Ilmanen, Antti, and Jared Kizer, 2012, The death of diversification has been greatly exaggerated, The Journal of Portfolio Management 38, 15–27.Jensen, Michael C., 1968, The performance of mutual funds in the period 1945-1964, The Journal of Finance 23, 389–416.Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, Contrarian investment, extrapolation, and risk, The Journal of Finance 49, 1541–1578.Lamont, Owen, Christopher Polk, and Jesús Saá-Requejo, 2001, Financial constraints and stock returns, The Review of Financial Studies 14, 529–554.Li, Dongmei, 2011, Financial constraints, R&D investment, and stock returns, The Review of Financial Studies 24, 2974–3007.Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615.Loh, Roger, and Mitch Warachka, 2011, Streaks in earnings surprises and the cross section of stock returns, Management Science 58, 1305–1321.Loughran, Tim, and Jay W. Wellman, 2011, New evidence on the relation between the enterprise multiple and average stock returns, The Journal of Financial and Quantitative Analysis 46, 1629–1650.Lyandres, Evgeny, Le Sun, and Lu Zhang, 2008, The new issues puzzle: Testing the investment-based explanation, The Review of Financial Studies 21, 2825–2855.Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica41, 867–887.Mohanram, Partha, 2005, Separating winners from losers among low book-to-market stocks using financial statement analysis, Review of Accounting Studies 10, 133–170.Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783.Ohlson, James A., 1980, Financial ratios and the probabilistic prediction of bankruptcy, Journal of Accounting Research 18, 109–131.Ortiz-Molina, Hernán, and Gordon M. Phillips, 2014, Real asset illiquidity and the cost of capital, Journal of Financial and Quantitative Analysis 49, 1–32.Ou, Jane A., and Stephen H. Penman, 1989, Financial statement analysis and the prediction of stock returns, Journal of Accounting and Economics 11, 295–329.Penman, Stephen H., Scott A. Richardson, and İrem Tuna, 2007, The book-to-price effect in stock returns: Accounting for leverage, Journal of Accounting Research 45,427–467.Piotroski, Joseph D., 2000, Value investing: The use of historical financial statement information to separate winners from losers, Journal of Accounting Research 38, 1–41.Richardson, Scott A., Richard G. Sloan, Mark T. Soliman, and İrem Tuna, 2005, Accrual reliability, earnings persistence and stock prices, Journal of Accounting and Economics 39, 437–485.Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341–360.Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442.Sloan, Richard G., 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings?, The Accounting Review 71, 289–315.Soliman, Mark T., 2008, The use of Dupont analysis by market participants, The Accounting Review 83, 823–853.Thomas, Jacob K, and Huai Zhang, 2002, Inventory changes and future returns, Review of Accounting Studies 7, 163–187.Titman, Sheridan, K. C. John Wei, and Feixue Xie, 2004, Capital investments and stock returns, The Journal of Financial and Quantitative Analysis 39, 677–700.William C. Barbee, Jr., Sandip Mukherji, and Gary A. Raines, 1996, Do sales-price and debt-equity explain stock returns better than book-market and firm size?, Financial Analysts Journal 52, 56–60.Xie, Hong, 2001, The mispricing of abnormal accruals, The Accounting Review 76,357–373. 描述 碩士
國立政治大學
國際經營與貿易學系
108351010資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108351010 資料類型 thesis dc.contributor.advisor 鍾令德 zh_TW dc.contributor.author (Authors) 蔣佳穎 zh_TW dc.contributor.author (Authors) Jiang, Jia-Ying en_US dc.creator (作者) 蔣佳穎 zh_TW dc.creator (作者) Jiang, Jia-Ying en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jul-2022 15:58:01 (UTC+8) - dc.date.available 1-Jul-2022 15:58:01 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2022 15:58:01 (UTC+8) - dc.identifier (Other Identifiers) G0108351010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140544 - 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) 108351010 zh_TW dc.description.abstract (摘要) 因子投資近年來深受金融市場關注，業界與學界均提出數以百計的因子投資策略。投資者網羅股票的各種特徵，作為評選投資組合的基準，從而創造超額報酬。本文擷取共80個由Chen and Zimmermann (2021)所整理出的財務特徵，將其歸納為6大類別：盈餘及盈餘組成、財務槓桿、資產與資本投資、營運資產、企業銷售及利潤、企業價值評估，並透過回測以各單一財務指標建立多空投資策略，檢視每項因子在台股市場的表現，本研究所使用的在80個財務特徵中，僅有21個能有效獲取超額報酬。其中盈餘、投資與營運相關的財務特徵，才相對能產生有效的投資策略，可證財務因子在台股市場的比現和美股市場不盡相同。 zh_TW dc.description.abstract (摘要) Factor investing is becoming increasingly popular among the investment community in recent years. To capture abnormal return, hundreds of factor investing strategies have been created. This article examines the return predictability of 80 accounting characteristics solicited by Chen and Zimmermann (2021) in the Taiwanese stock market. We classify the accounting characteristics into 6 groups: earnings and earnings components, financial leverage, assets and capital investment, operating assets, sales and revenue and company valuation. After back testing all 80 long-short strategies constructed by sorting stocks on individual accounting characteristics, we find that only 21 accounting characteristics are able to generate abnormal return in the Taiwanese stock market. In particular, accounting characteristics that are related to earnings, corporate investment, and operating performance are relatively effective in generating profitable trading strategies. Our research highlights salience differences in the performances of accounting based investment factors between Taiwan and the US. en_US dc.description.tableofcontents 中文摘要 i英文摘要 ii第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 2第三節 研究架構 2第二章 文獻回顧 3第一節 因子投資 3第二節 財務特徵說明 4第三章 研究資料與方法 7第一節 研究資料 7第二節 財務特徵定義 7第三節 投資組合建構方式及報酬計算方式 29第四章 研究結果與分析 31第一節 因子分組報酬 31第五章 結論與建議 38第一節 結論 38第二節 限制與建議 39參考文獻 40附錄 45 zh_TW dc.format.extent 3272477 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108351010 en_US dc.subject (關鍵詞) 因子投資 zh_TW dc.subject (關鍵詞) 財務特徵 zh_TW dc.subject (關鍵詞) Factor investing en_US dc.subject (關鍵詞) Accounting characteristics en_US dc.title (題名) 以財務指標預測台股橫斷面期望報酬 zh_TW dc.title (題名) Cross-Sectional Return Predictability of Financial Indicators in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Abarbanell, Jeffery S., and Brian J. Bushee, 1998, Abnormal returns to a fundamental analysis strategy, The Accounting Review 73, 19–45.Altman, Edward I., 1968, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, The Journal of Finance 23, 589–609.Alwathainani, Abdulaziz M., 2009, Consistency of firms’ past financial performance measures and future returns, The British Accounting Review 41, 184–196.Anderson, Christopher W., and Luis Garcia-Feijóo, 2006, Empirical evidence on capital investment, growth options, and security returns, The Journal of Finance 61, 171–194.Ball, Ray, Joseph Gerakos, Juhani T. Linnainmaa, and Valeri Nikolaev, 2016, Accruals, cash flows, and operating profitability in the cross section of stock returns, Journal of Financial Economics 121, 28–45.Banz, Rolf W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18.Belo, Frederico, and Xiaoji Lin, 2012, The inventory growth spread, The Review of Financial Studies 25, 278–313.Bradshaw, Mark T., Scott A. Richardson, and Richard G. Sloan, 2006, The relation between corporate financing activities, analysts＇forecasts and stock returns, Journal of Accounting and Economics 42, 53–85.Cakici, Nusret, Kudret Topyan, and Chia-Jane Wang, 2014, Cross-sectional return predictability in Taiwan stock exchange: An empirical investigation, Review of Pacific Basin Financial Markets and Policies 17, 1450010.Carhart, Mark M., 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82.Chan, Louis K. C., Josef Lakonishok, and Theodore Sougiannis, 2001, The stock market valuation of research and development expenditures, The Journal of Finance 56, 2431–2456.Chen, Andrew Y., and Tom Zimmermann, 2021, Open source cross sectional asset pricing, Critical Finance Review 11, 207–264.Cohen, Lauren, Karl Diether, and Christopher Malloy, 2013, Misvaluing innovation, The Review of Financial Studies 26, 635–666.Collins, Daniel W., and Paul Hribar, 2000, Earnings-based and accrual-based market anomalies: One effect or two?, Journal of Accounting and Economics 29, 101–123.Cooper, Michael J., Huseyin Gulen, and Michael J. Schill, 2008, Asset growth and the cross-section of stock returns, The Journal of Finance 63, 1609–1651.Daniel, Kent, and Sheridan Titman, 2006, Market reactions to tangible and intangible information, The Journal of Finance 61, 1605–1643.Dechow, Patricia M., and Ilia D. Dichev, 2002, The quality of accruals and earnings: The role of accrual estimation errors, The Accounting Review 77, 35–59.Desai, Hemang, Shivaram Rajgopal, and Mohan Venkatachalam, 2004, Value-glamour and accruals mispricing: One anomaly or two?, The Accounting Review 79, 355–385.Dichev, Ilia D., 1998, Is the risk of bankruptcy a systematic risk?, The Journal of Finance53, 1131–1147.Fairfield, Patricia M., J. Scott Whisenant, and Teri Lombardi Yohn, 2003, Accrued earnings and growth: Implications for future profitability and market mispricing, The Accounting Review 78, 353–371.Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, The Journal of Finance 47, 427–465.Fama, Eugene F., and Kenneth R. French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22.Francis, Jennifer, Ryan LaFond, Per Olsson, and Katherine Schipper, 2005, The market pricing of accruals quality, Journal of Accounting and Economics 39, 295–327.Francis, Jennifer, Ryan LaFond, Per M. Olsson, and Katherine Schipper, 2004, Costs of equity and earnings attributes, The Accounting Review 79, 967–1010.Hafzalla, Nader, Russell Lundholm, and E. Matthew Van Winkle, 2011, Percent accruals, The Accounting Review 86, 209–236.Hahn, Jaehoon, and Hangyong Lee, 2009, Financial constraints, debt capacity, and the cross-section of stock returns, The Journal of Finance 64, 891–921.Harvey, Campbell, and Yan Liu, 2019, A census of the factor zoo, SSRN Electronic Journal.Haugen, Robert A., and Nardin L. Baker, 1996, Commonality in the determinants of expected stock returns, Journal of Financial Economics 41, 401–439.Hirshleifer, David, Kewei Hou, Siew Hong Teoh, and Yinglei Zhang, 2004, Do investors overvalue firms with bloated balance sheets?, Journal of Accounting and Economics38, 297–331.Holthausen, Robert W, and David F Larcker, 1992, The prediction of stock returns using financial statement information, Journal of Accounting and Economics 15, 373–411.Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An investment approach, The Review of Financial Studies 28, 650–705.Ilmanen, Antti, and Jared Kizer, 2012, The death of diversification has been greatly exaggerated, The Journal of Portfolio Management 38, 15–27.Jensen, Michael C., 1968, The performance of mutual funds in the period 1945-1964, The Journal of Finance 23, 389–416.Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, Contrarian investment, extrapolation, and risk, The Journal of Finance 49, 1541–1578.Lamont, Owen, Christopher Polk, and Jesús Saá-Requejo, 2001, Financial constraints and stock returns, The Review of Financial Studies 14, 529–554.Li, Dongmei, 2011, Financial constraints, R&D investment, and stock returns, The Review of Financial Studies 24, 2974–3007.Lintner, John, 1965, Security prices, risk, and maximal gains from diversification, The Journal of Finance 20, 587–615.Loh, Roger, and Mitch Warachka, 2011, Streaks in earnings surprises and the cross section of stock returns, Management Science 58, 1305–1321.Loughran, Tim, and Jay W. Wellman, 2011, New evidence on the relation between the enterprise multiple and average stock returns, The Journal of Financial and Quantitative Analysis 46, 1629–1650.Lyandres, Evgeny, Le Sun, and Lu Zhang, 2008, The new issues puzzle: Testing the investment-based explanation, The Review of Financial Studies 21, 2825–2855.Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica41, 867–887.Mohanram, Partha, 2005, Separating winners from losers among low book-to-market stocks using financial statement analysis, Review of Accounting Studies 10, 133–170.Mossin, Jan, 1966, Equilibrium in a capital asset market, Econometrica 34, 768–783.Ohlson, James A., 1980, Financial ratios and the probabilistic prediction of bankruptcy, Journal of Accounting Research 18, 109–131.Ortiz-Molina, Hernán, and Gordon M. Phillips, 2014, Real asset illiquidity and the cost of capital, Journal of Financial and Quantitative Analysis 49, 1–32.Ou, Jane A., and Stephen H. Penman, 1989, Financial statement analysis and the prediction of stock returns, Journal of Accounting and Economics 11, 295–329.Penman, Stephen H., Scott A. Richardson, and İrem Tuna, 2007, The book-to-price effect in stock returns: Accounting for leverage, Journal of Accounting Research 45,427–467.Piotroski, Joseph D., 2000, Value investing: The use of historical financial statement information to separate winners from losers, Journal of Accounting Research 38, 1–41.Richardson, Scott A., Richard G. Sloan, Mark T. Soliman, and İrem Tuna, 2005, Accrual reliability, earnings persistence and stock prices, Journal of Accounting and Economics 39, 437–485.Ross, Stephen A, 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341–360.Sharpe, William F., 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442.Sloan, Richard G., 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings?, The Accounting Review 71, 289–315.Soliman, Mark T., 2008, The use of Dupont analysis by market participants, The Accounting Review 83, 823–853.Thomas, Jacob K, and Huai Zhang, 2002, Inventory changes and future returns, Review of Accounting Studies 7, 163–187.Titman, Sheridan, K. C. John Wei, and Feixue Xie, 2004, Capital investments and stock returns, The Journal of Financial and Quantitative Analysis 39, 677–700.William C. Barbee, Jr., Sandip Mukherji, and Gary A. Raines, 1996, Do sales-price and debt-equity explain stock returns better than book-market and firm size?, Financial Analysts Journal 52, 56–60.Xie, Hong, 2001, The mispricing of abnormal accruals, The Accounting Review 76,357–373. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200466 en_US
