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題名 ETF持股對價值型投資策略影響之探討
An exploration of the impact of ETF holdings on value investment strategies
作者 吳雨蓮
Wu, Yu-Lien
貢獻者 張元晨
吳雨蓮
Wu, Yu-Lien
關鍵詞 ETF
價值投資
F-Score
被動持股
股價資訊效率
ETF
Value Investing
F-Score
Passive Holdings
Stock Price Information Efficiency
日期 2025
上傳時間 4-Feb-2025 15:40:50 (UTC+8)
摘要 近年來，隨著ETF等被動投資工具在全球資本市場中的份額持續攀升，其對市場效率、公司治理結構以及資本市場穩定性的影響，逐漸成為學術研究的重要課題。其中，ETF所採取的被動投資模式如何影響股票市場效率尚無定論，支持者主張，ETF能透過提升市場流動性來增強定價效率；反對者則認為，ETF投資模式忽略個別股票的基本面訊息，可能削弱市場效率，同時加劇金融危機期間的市場波動性。本文旨在藉由分析ETF持股對傳統價值選股策略(以F-Score模型為代表)的影響，來進一步探討被動投資模式對市場效率可能帶來的改變。研究結果顯示，於2003年至2022年之研究期間，F-Score模型未能穩定產生顯著的F-Score溢酬，然而，如參考其他學者之相關研究，對應切割樣本期間，實證顯示於子樣本期間2003年至2010年以及2003年至2015年，高得分股票組合呈現顯著的F-Score溢酬，表明模型在這些時期仍具一定程度的擇股效益，惟於其後之2016年至2022年，F-Score模型溢酬顯著衰減，未能持續展現統計上顯著的選股效益。迴歸分析進一步揭示，持股ETF檔數對個股報酬具正面影響，F-Score模型擇股效益的下降，可能受到ETF持股干擾所致，當低得分股票被多檔ETF納入成分股，其報酬表現將更容易受到市場資金效應所推動，導致這些股票不再呈現傳統意義上的「輸家」特性，從而削弱了價值投資策略F-Score理論模型之溢酬。
In recent years, the growing prevalence of Exchange-Traded Funds (ETFs) in global capital markets has prompted extensive research into their impact on market efficiency, corporate governance, and financial stability. While proponents argue that ETFs enhance price efficiency by improving market liquidity, critics contend that ETFs ignore stock fundamental information, potentially reducing market efficiency and increasing volatility during crises. This study investigates the effect of ETF holdings on the F-Score model, a traditional value-based stock selection strategy, to explore the broader implications of passive investing on market efficiency. Using data from 2003 to 2022, the analysis reveals that the F-Score model failed to consistently generate significant excess returns over the entire period. However, referring to the relevant research of other scholars, the empirical evidence shows that in the sub-sample period from 2003 to 2010 and from 2003 to 2015, the high F-Score portfolios achieved significant premiums, demonstrating stock-picking effectiveness, but from 2016 to 2022, the model’s F-Score premium declined substantially, showing no statistically significant selection benefits. Regression analysis further highlights a positive relationship between the number of ETFs holding a stock and its returns. However, the diminished performance of the F-Score model may stem from the influence of ETFs. When low F-Score stocks are included as constituents in multiple ETFs, their return performance becomes more easily driven by market fund flows, causing these stocks to no longer exhibit the traditional “loser” characteristics. This weakens the premium of the F-Score theoretical model.
參考文獻 Antoniou, C., Li, F. W., Liu, X., Subrahmanyam, A., & Sun, C. (2023). Exchange-traded funds and real investment. The Review of Financial Studies, 36(3), 1043–1093. Asness, C., Frazzini, A., Israel, R., & Moskowitz, T. (2015). Fact, fiction, and value investing. Journal of Portfolio Management, 42(1), 34–52. Battisti, E., Miglietta, N., Salvi, A., & Creta, F. (2019). Strategic approaches to value investing: A systematic literature review of international studies. Review of International Business and Strategy, 29(3), 253–266. Ben-David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility? Journal of Finance, 73(6), 2471–2535. Buss, A., & Sundaresan, S. (2023). More risk, more information: How passive ownership can improve informational efficiency. The Review of Financial Studies, 36(12), 4713–4758. 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., & 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. (2013). A four-factor model for the size, value, and profitability patterns in stock returns. SSRN Electronic Journal, 16(3), 1-52 Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. Fisher, P. A. (1958). Common stocks and uncommon profits. New York, NY: Harper & Brothers. Gârleanu, N., & Pedersen, L. H. (2022). Active and Passive Investing: Understanding Samuelson’s Dictum. The Review of Asset Pricing Studies, 12(2), 389–446. Glosten, L., Nallareddy, S., & Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67(1), 22–47. Graham, B., & Dodd, D. (1934). Security analysis. New York: McGraw-Hill. Israel, R., Laursen, K., & Richardson, S. (2020). Is (Systematic) Value Investing Dead? Unpublished Manuscript. Retrieved from the uploaded document. Israeli, D., Lee, C., & Sridharan, S. (2017). Is there a dark side to exchange traded funds? An information perspective. Review of Accounting Studies, 22(4), 1048–1083. Kacperczyk, M., Nosal, J., & Sundaresan, S. (2024). Market power and price informativeness. The Review of Economic Studies, 91(1), 1–32. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541–1578. Lev, B., & Srivastava, A. (2019). Explaining the recent failure of value investing. NYU Stern School of Business. Liebi, L.J. (2020). The effect of ETFs on financial markets: a literature review. Financial Markets and Portfolio Management 34, 165–178. Lin, H., Liu, P., & Zhang, C. (2023). Equity exchange-traded funds and the cost of debt. Journal of Financial and Quantitative Analysis, forthcoming. 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, 47(1), 13–37. Madhavan, A., & Sobczyk, A. (2016). Price dynamics and liquidity of exchange-traded funds. Journal of Investment Management, 14(2), 1–17. Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-783. Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 38(Supplement), 1–41. Sammon, M. (2024). Passive ownership and price informativeness. Management Science, Articles in Advance, 1–17. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. Walkshäusl, C. (2020). Piotroski’s FSCORE: International evidence. Journal of Asset Management, 21(2), 106–118.
描述 碩士
國立政治大學
國際金融碩士學位學程
112ZB1047
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112ZB1047
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.author (Authors) 吳雨蓮zh_TW
dc.contributor.author (Authors) Wu, Yu-Lienen_US
dc.creator (作者) 吳雨蓮zh_TW
dc.creator (作者) Wu, Yu-Lienen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Feb-2025 15:40:50 (UTC+8)-
dc.date.available 4-Feb-2025 15:40:50 (UTC+8)-
dc.date.issued (上傳時間) 4-Feb-2025 15:40:50 (UTC+8)-
dc.identifier (Other Identifiers) G0112ZB1047en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/155440-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際金融碩士學位學程zh_TW
dc.description (描述) 112ZB1047zh_TW
dc.description.abstract (摘要) 近年來，隨著ETF等被動投資工具在全球資本市場中的份額持續攀升，其對市場效率、公司治理結構以及資本市場穩定性的影響，逐漸成為學術研究的重要課題。其中，ETF所採取的被動投資模式如何影響股票市場效率尚無定論，支持者主張，ETF能透過提升市場流動性來增強定價效率；反對者則認為，ETF投資模式忽略個別股票的基本面訊息，可能削弱市場效率，同時加劇金融危機期間的市場波動性。本文旨在藉由分析ETF持股對傳統價值選股策略(以F-Score模型為代表)的影響，來進一步探討被動投資模式對市場效率可能帶來的改變。研究結果顯示，於2003年至2022年之研究期間，F-Score模型未能穩定產生顯著的F-Score溢酬，然而，如參考其他學者之相關研究，對應切割樣本期間，實證顯示於子樣本期間2003年至2010年以及2003年至2015年，高得分股票組合呈現顯著的F-Score溢酬，表明模型在這些時期仍具一定程度的擇股效益，惟於其後之2016年至2022年，F-Score模型溢酬顯著衰減，未能持續展現統計上顯著的選股效益。迴歸分析進一步揭示，持股ETF檔數對個股報酬具正面影響，F-Score模型擇股效益的下降，可能受到ETF持股干擾所致，當低得分股票被多檔ETF納入成分股，其報酬表現將更容易受到市場資金效應所推動，導致這些股票不再呈現傳統意義上的「輸家」特性，從而削弱了價值投資策略F-Score理論模型之溢酬。zh_TW
dc.description.abstract (摘要) In recent years, the growing prevalence of Exchange-Traded Funds (ETFs) in global capital markets has prompted extensive research into their impact on market efficiency, corporate governance, and financial stability. While proponents argue that ETFs enhance price efficiency by improving market liquidity, critics contend that ETFs ignore stock fundamental information, potentially reducing market efficiency and increasing volatility during crises. This study investigates the effect of ETF holdings on the F-Score model, a traditional value-based stock selection strategy, to explore the broader implications of passive investing on market efficiency. Using data from 2003 to 2022, the analysis reveals that the F-Score model failed to consistently generate significant excess returns over the entire period. However, referring to the relevant research of other scholars, the empirical evidence shows that in the sub-sample period from 2003 to 2010 and from 2003 to 2015, the high F-Score portfolios achieved significant premiums, demonstrating stock-picking effectiveness, but from 2016 to 2022, the model’s F-Score premium declined substantially, showing no statistically significant selection benefits. Regression analysis further highlights a positive relationship between the number of ETFs holding a stock and its returns. However, the diminished performance of the F-Score model may stem from the influence of ETFs. When low F-Score stocks are included as constituents in multiple ETFs, their return performance becomes more easily driven by market fund flows, causing these stocks to no longer exhibit the traditional “loser” characteristics. This weakens the premium of the F-Score theoretical model.en_US
dc.description.tableofcontents 目 次 i 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 研究動機及目的 2 第三節 研究架構 5 第二章 文獻探討 6 第一節 價值投資策略 6 第二節 ETF對市場的影響 7 第三章 F-Score相關說明 11 第一節 以F-Score為研究基礎 11 第二節 F-Score 計算方式 12 第三節 ETF持股是否影響F-Score的有效性 15 第四章 研究方法 17 第一節 樣本期間與資料來源 17 第二節 交易準則與研究設計 17 第五章 實證結果與分析 19 第一節 敘述統計 19 第二節 F-Score模型實證 23 第三節 迴歸分析 30 第四節 實證結果 34 第六章 結論與建議 36 第一節 研究結論 36 第二節 研究建議 38 參考文獻 39zh_TW
dc.format.extent 1650822 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112ZB1047en_US
dc.subject (關鍵詞) ETFzh_TW
dc.subject (關鍵詞) 價值投資zh_TW
dc.subject (關鍵詞) F-Scorezh_TW
dc.subject (關鍵詞) 被動持股zh_TW
dc.subject (關鍵詞) 股價資訊效率zh_TW
dc.subject (關鍵詞) ETFen_US
dc.subject (關鍵詞) Value Investingen_US
dc.subject (關鍵詞) F-Scoreen_US
dc.subject (關鍵詞) Passive Holdingsen_US
dc.subject (關鍵詞) Stock Price Information Efficiencyen_US
dc.title (題名) ETF持股對價值型投資策略影響之探討zh_TW
dc.title (題名) An exploration of the impact of ETF holdings on value investment strategiesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Antoniou, C., Li, F. W., Liu, X., Subrahmanyam, A., & Sun, C. (2023). Exchange-traded funds and real investment. The Review of Financial Studies, 36(3), 1043–1093. Asness, C., Frazzini, A., Israel, R., & Moskowitz, T. (2015). Fact, fiction, and value investing. Journal of Portfolio Management, 42(1), 34–52. Battisti, E., Miglietta, N., Salvi, A., & Creta, F. (2019). Strategic approaches to value investing: A systematic literature review of international studies. Review of International Business and Strategy, 29(3), 253–266. Ben-David, I., Franzoni, F., & Moussawi, R. (2018). Do ETFs increase volatility? Journal of Finance, 73(6), 2471–2535. Buss, A., & Sundaresan, S. (2023). More risk, more information: How passive ownership can improve informational efficiency. The Review of Financial Studies, 36(12), 4713–4758. 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., & 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. (2013). A four-factor model for the size, value, and profitability patterns in stock returns. SSRN Electronic Journal, 16(3), 1-52 Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. Fisher, P. A. (1958). Common stocks and uncommon profits. New York, NY: Harper & Brothers. Gârleanu, N., & Pedersen, L. H. (2022). Active and Passive Investing: Understanding Samuelson’s Dictum. The Review of Asset Pricing Studies, 12(2), 389–446. Glosten, L., Nallareddy, S., & Zou, Y. (2021). ETF activity and informational efficiency of underlying securities. Management Science, 67(1), 22–47. Graham, B., & Dodd, D. (1934). Security analysis. New York: McGraw-Hill. Israel, R., Laursen, K., & Richardson, S. (2020). Is (Systematic) Value Investing Dead? Unpublished Manuscript. Retrieved from the uploaded document. Israeli, D., Lee, C., & Sridharan, S. (2017). Is there a dark side to exchange traded funds? An information perspective. Review of Accounting Studies, 22(4), 1048–1083. Kacperczyk, M., Nosal, J., & Sundaresan, S. (2024). Market power and price informativeness. The Review of Economic Studies, 91(1), 1–32. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541–1578. Lev, B., & Srivastava, A. (2019). Explaining the recent failure of value investing. NYU Stern School of Business. Liebi, L.J. (2020). The effect of ETFs on financial markets: a literature review. Financial Markets and Portfolio Management 34, 165–178. Lin, H., Liu, P., & Zhang, C. (2023). Equity exchange-traded funds and the cost of debt. Journal of Financial and Quantitative Analysis, forthcoming. 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, 47(1), 13–37. Madhavan, A., & Sobczyk, A. (2016). Price dynamics and liquidity of exchange-traded funds. Journal of Investment Management, 14(2), 1–17. Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-783. Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 38(Supplement), 1–41. Sammon, M. (2024). Passive ownership and price informativeness. Management Science, Articles in Advance, 1–17. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. Walkshäusl, C. (2020). Piotroski’s FSCORE: International evidence. Journal of Asset Management, 21(2), 106–118.zh_TW