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題名 基於F-score以及修正式F-score的交易策略
Trading Strategies based on F-score and Revised F-score作者 夏明義
Hsia, Ming-Yi貢獻者 廖四郎
Liao, Szu-Lang
夏明義
Hsia, Ming-Yi關鍵詞 F-score
投資組合
交易策略
台灣股市
F-score
Portfolios
Trading Strategy
Stock Markets in Taiwan日期 2022 上傳時間 1-Aug-2022 17:29:26 (UTC+8) 摘要 本研究透過近20年來仍屹立不搖的選股模型，Piotroski F-score，建構不同交易策略並進行投資組合比較。此外，本研究以F-score為基礎，並利用公司對於每一項指標的達成率給予F-score進行分數調整，修改為Revised F-score。本文以台灣上市櫃公司為研究標的，研究期間從2013年5月15日至2022年3月31日。透過交易策略的設計，我們將逐步調整並增加不同條件，希冀能接近實際交易情況。首先，本文將先討論在固定選取30或50家公司的投資組合下，比較只考量F-score以及同時考量F-score以及Revised F-score的績效表現。在固定選取30家公司並以市值加權的投資組合中，同時考量F-score以及Revised F-score在統計上顯著優於僅考量F-score，說明了修改後的評分方式有助於績效的提升。後續在同時考量F-score以及Revised F-score的模型基礎下，以固定選取30家公司並以市值加權的投資組合進行各種條件測試。實證結果顯示，不論在何種策略下，絕對報酬都優於元大台灣50 ETF以及台灣加權股價報酬指數。此外，本文最後也考量資金規模並建構投資組合，年化報酬更提升至36.6%。此方法將提供個人以及機構投資者在此研究的模型中，找出適合的投資標的
This research uses the Piotroski F-score, a stock selection model that has been remain strong for nearly 20 years, to construct different trading strategies and compare performance of portfolios. In addition, We use the F-score as the basis and calculate the company`s achievement rate for each indicator to adjust the F-score, which is called Revised F-score. This paper considers companies traded in Taiwan Stock Exchange and Taipei Exchange, and the research period is from 15 May 2013 to 31 March 2022.Through the design of the trading strategies, we will gradually adjust and add different conditions into strategies in order to close to the actual trading situation. First, this research will compare the performance of the F-score with that of the Revised F-score. Under the portfolios with market value weighted and 30 companies in the portfolio, the performance of considering the F-score and the Revised F-score is significantly greater than that of considering the F-score only. The statistical result shows that the revised scoring method can improve the performance significantly. We will conduct further researches on the basis of the portfolio with market value weighted and 30 companies in the portfolio under the consideration of the F-score and the Revised F-score. The empirical results show that, regardless of any strategy, the absolute returns are better than the Yuanta Taiwan Top 50 ETF and TWSE Capitalization Weighted Stock Index-Total Return Index. In addition, this research also considers the size of funds to construct the portfolios and the annualized return can be 36.6% at most. This method provides individual and institutional investors to find suitable investment targets in the model of this research.參考文獻 Hyde, C. E. (2014), "An emerging markets analysis of the Piotroski F-score," JASSA(2), 23-28.Krauss, C., Krüger, T., and Beerstecher, D. (2015), "The Piotroski F-Score: A fundamental value strategy revisited from an investor`s perspective," IWQW Discussion Papers, 2015.Ng, C. C. A., and Shen, J. (2020), "Quality investing in Asian stock markets," Accounting & Finance, 60(3), 3033-3064.Piotroski, J. D. (2000), "Value investing: The use of historical financial statement information to separate winners from losers," Journal of Accounting Research, 1-41.Tikkanen, J., and Äijö, J. (2018), "Does the F-score improve the performance of different value investment strategies in Europe?" Journal of Asset Management, 19(7), 495-506.Walkshäusl, C. (2019), "The fundamentals of momentum investing: European evidence on understanding momentum through fundamentals," Accounting & Finance, 59, 831-857.Walkshäusl, C. (2020), "Piotroski’s FSCORE: international evidence," Journal of Asset Management, 21(2), 106-118.Wang, Yi-Ting. (2013), "Application of Fundamental and Intrinsic Value Analysis for Stock Selection Strategy in Taiwan Stock Market."Chou, Wei-Yun. (2018), "The Optimal Portfolio in Combination of Fundament and Artificial Neural NetworksTake the Taiwan Stock Market as an Example."Lin, Szu-I. (2021), "An Empirical Study of Value Investing Strategy:Evidence from Taiwan Stock Market."Yeh, Pei-Hsin. (2012), "Application of Fundamental and Technical Analysis for Stock Selection Strategy in Taiwan Stock Market."Tsai, Li-Chueh, Pei-Hsun Tsai, Chuan-Hao Hsu. (2017), "The Empirical Study of Value Investing in Taiwan Stock Market：Dividend Yield and F-SCORE," Hsiuping Journal (35), 125-144.Lai, Jing-Yi, Shuh-Chyi Doong, Sheng-Yung Yang, Chien-Hua Miao. (2011), "Value Investing: An Application of Financial Statement and Public Announcement Information," Review of Securities and Futures Markets, 22(4), 123-182. 描述 碩士
國立政治大學
金融學系
109352022資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109352022 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.advisor Liao, Szu-Lang en_US dc.contributor.author (Authors) 夏明義 zh_TW dc.contributor.author (Authors) Hsia, Ming-Yi en_US dc.creator (作者) 夏明義 zh_TW dc.creator (作者) Hsia, Ming-Yi en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Aug-2022 17:29:26 (UTC+8) - dc.date.available 1-Aug-2022 17:29:26 (UTC+8) - dc.date.issued (上傳時間) 1-Aug-2022 17:29:26 (UTC+8) - dc.identifier (Other Identifiers) G0109352022 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141063 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 109352022 zh_TW dc.description.abstract (摘要) 本研究透過近20年來仍屹立不搖的選股模型，Piotroski F-score，建構不同交易策略並進行投資組合比較。此外，本研究以F-score為基礎，並利用公司對於每一項指標的達成率給予F-score進行分數調整，修改為Revised F-score。本文以台灣上市櫃公司為研究標的，研究期間從2013年5月15日至2022年3月31日。透過交易策略的設計，我們將逐步調整並增加不同條件，希冀能接近實際交易情況。首先，本文將先討論在固定選取30或50家公司的投資組合下，比較只考量F-score以及同時考量F-score以及Revised F-score的績效表現。在固定選取30家公司並以市值加權的投資組合中，同時考量F-score以及Revised F-score在統計上顯著優於僅考量F-score，說明了修改後的評分方式有助於績效的提升。後續在同時考量F-score以及Revised F-score的模型基礎下，以固定選取30家公司並以市值加權的投資組合進行各種條件測試。實證結果顯示，不論在何種策略下，絕對報酬都優於元大台灣50 ETF以及台灣加權股價報酬指數。此外，本文最後也考量資金規模並建構投資組合，年化報酬更提升至36.6%。此方法將提供個人以及機構投資者在此研究的模型中，找出適合的投資標的 zh_TW dc.description.abstract (摘要) This research uses the Piotroski F-score, a stock selection model that has been remain strong for nearly 20 years, to construct different trading strategies and compare performance of portfolios. In addition, We use the F-score as the basis and calculate the company`s achievement rate for each indicator to adjust the F-score, which is called Revised F-score. This paper considers companies traded in Taiwan Stock Exchange and Taipei Exchange, and the research period is from 15 May 2013 to 31 March 2022.Through the design of the trading strategies, we will gradually adjust and add different conditions into strategies in order to close to the actual trading situation. First, this research will compare the performance of the F-score with that of the Revised F-score. Under the portfolios with market value weighted and 30 companies in the portfolio, the performance of considering the F-score and the Revised F-score is significantly greater than that of considering the F-score only. The statistical result shows that the revised scoring method can improve the performance significantly. We will conduct further researches on the basis of the portfolio with market value weighted and 30 companies in the portfolio under the consideration of the F-score and the Revised F-score. The empirical results show that, regardless of any strategy, the absolute returns are better than the Yuanta Taiwan Top 50 ETF and TWSE Capitalization Weighted Stock Index-Total Return Index. In addition, this research also considers the size of funds to construct the portfolios and the annualized return can be 36.6% at most. This method provides individual and institutional investors to find suitable investment targets in the model of this research. en_US dc.description.tableofcontents LIST OF TABLES 5LIST OF FIGURES 61. INTRODUCTION 72. LITERATURE REVIEW AND MOTIVATION 83. RESEARCH METHODOLOGY 94. DESIGN OF TRADING STRATEGY 114.1 Timing of Stocks Selection and Rebalance 114.2 With Liquidity Constraints 124.3 Substitute of Companies in Financial and Insurance Industry 135. DATA 136. EMPIRICAL RESULTS 166.1 Performance of Portfolios with Fixed Quantity of Companies 176.2 Alternative for the Companies in the Financial and Insurance Industry 246.3 Comparing the Performance of Portfolios under Different Combinations of Liquidity and Market Value 276.4 Constructing the Portfolios on Different Fund Size 297. CONCLUSION AND FURTHER WORKS 33REFERENCE 34 zh_TW dc.format.extent 804083 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109352022 en_US dc.subject (關鍵詞) F-score zh_TW dc.subject (關鍵詞) 投資組合 zh_TW dc.subject (關鍵詞) 交易策略 zh_TW dc.subject (關鍵詞) 台灣股市 zh_TW dc.subject (關鍵詞) F-score en_US dc.subject (關鍵詞) Portfolios en_US dc.subject (關鍵詞) Trading Strategy en_US dc.subject (關鍵詞) Stock Markets in Taiwan en_US dc.title (題名) 基於F-score以及修正式F-score的交易策略 zh_TW dc.title (題名) Trading Strategies based on F-score and Revised F-score en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Hyde, C. E. (2014), "An emerging markets analysis of the Piotroski F-score," JASSA(2), 23-28.Krauss, C., Krüger, T., and Beerstecher, D. (2015), "The Piotroski F-Score: A fundamental value strategy revisited from an investor`s perspective," IWQW Discussion Papers, 2015.Ng, C. C. A., and Shen, J. (2020), "Quality investing in Asian stock markets," Accounting & Finance, 60(3), 3033-3064.Piotroski, J. D. (2000), "Value investing: The use of historical financial statement information to separate winners from losers," Journal of Accounting Research, 1-41.Tikkanen, J., and Äijö, J. (2018), "Does the F-score improve the performance of different value investment strategies in Europe?" Journal of Asset Management, 19(7), 495-506.Walkshäusl, C. (2019), "The fundamentals of momentum investing: European evidence on understanding momentum through fundamentals," Accounting & Finance, 59, 831-857.Walkshäusl, C. (2020), "Piotroski’s FSCORE: international evidence," Journal of Asset Management, 21(2), 106-118.Wang, Yi-Ting. (2013), "Application of Fundamental and Intrinsic Value Analysis for Stock Selection Strategy in Taiwan Stock Market."Chou, Wei-Yun. (2018), "The Optimal Portfolio in Combination of Fundament and Artificial Neural NetworksTake the Taiwan Stock Market as an Example."Lin, Szu-I. (2021), "An Empirical Study of Value Investing Strategy:Evidence from Taiwan Stock Market."Yeh, Pei-Hsin. (2012), "Application of Fundamental and Technical Analysis for Stock Selection Strategy in Taiwan Stock Market."Tsai, Li-Chueh, Pei-Hsun Tsai, Chuan-Hao Hsu. (2017), "The Empirical Study of Value Investing in Taiwan Stock Market：Dividend Yield and F-SCORE," Hsiuping Journal (35), 125-144.Lai, Jing-Yi, Shuh-Chyi Doong, Sheng-Yung Yang, Chien-Hua Miao. (2011), "Value Investing: An Application of Financial Statement and Public Announcement Information," Review of Securities and Futures Markets, 22(4), 123-182. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202201016 en_US
