Publications-Theses
Article View/Open
Publication Export
Google ScholarTM
NCCU Library
Citation Infomation
Related Publications in TAIR
| Title | 景氣循環下多因子投資組合的調整與表現 Adjustment and Performance of Multi-Factor Investment Portfolios over the Business Cycles |
| Creator | 林子瑜 Lin, Tzu-Yu |
| Contributor | 鍾令德 林子瑜 Lin, Tzu-Yu |
| Key Words | 景氣循環 多因子投資 指數投資 Smart Beta Business Cycles Multi-factor Investing Index Investing Smart Beta |
| Date | 2024 |
| Date Issued | 1-Apr-2025 12:21:49 (UTC+8) |
| Summary | Polk, Haghbin, and de Longis (2020) 研究指出，在不同景氣循環階段調整投資因子能夠顯著提高美國市場的投資表現。為探討此投資方法在臺灣市場的適用性及其效果，本研究採用臺灣上市公司的歷史數據，組建包括動能(Momentum)、低波動率(Low Volatility)、規模(Size)、價值(Value)、獲利能力(Profitability)以及高殖利率(High Dividend)等多個因子指數，並根據臺灣總體經濟景氣循環的不同階段動態調整各因子的權重，以構建多因子投資組合。本研究首先基於領先指標(LEI)以及VIX指數對景氣循環階段進行劃分，並檢驗在此劃分方式下各因子是否能具有顯著創造超額報酬的效果。接著，依據不同階段調整投資因子的權重，並透過回測對構建的投資組合進行績效評估。回測分析結果顯示，隨景氣循環階段調整之多因子投資組合，相較於未調整之多因子投資組合，每月可額外創造約0.23%之超額報酬。 According to Polk, Haghbin, and de Longis (2020), adjusting investment factors conditional on different business cycle phases can significantly enhance investment performance. This study aims to explore the applicability and effectiveness of this investment approach in the Taiwanese market. Specifically, using historical data of listed companies in Taiwan, this research constructs multiple factor indices including Momentum, Low Volatility, Size, Value, Profitability, and High Dividend Strategies. Firstly, this research divides the business cycle stages based on leading indicators (LEI) and the VIX index, and examines the effectiveness of each factor under this division. Subsequently, the weights of investment factors are adjusted according to different stages, and the performance of the constructed investment portfolios is evaluated through backtesting. Backtesting analysis indicates that a multi-factor investment portfolio constructed from factors conditional on different phases of the business cycle exhibits superior performance in terms of both absolute returns and risk-adjusted returns yielding an additional monthly excess return of 0.23% over an unadjusted multi-factor portfolio. |
| 參考文獻 | Ang, Andrew, Robert J Hodrick, Yuhang Xing, and Xiaoyan Zhang, 2006, The crosssection of volatility and expected returns, The Journal of Finance 61, 259–299. Asness, Clifford S, Tobias J Moskowitz, and Lasse Heje Pedersen, 2013, Value and momentum everywhere, The Journal of Finance 68, 929–985. Banz, Rolf W, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18. Basu, Sanjoy, 1977, Investment performance of common stocks in relation to their priceearnings ratios: A test of the efficient market hypothesis, The Journal of Finance 32, 663–682. Burns, Arthur F, and Wesley C. Mitchell, 1946, Measuring business cycles, National Bureau of Economic Research. Cardarelli, Roberto, Selim Elekdag, and Subir Lall, 2011, Financial stress and economic contractions, Journal of Financial Stability 7, 78–97. Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82. Edwards, Tim, and Hamish Preston, 2017, A practitioner’s guide to reading VIX, S&P Global, https://www.spglobal.com/en. 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, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56. Fama, Eugene F, and Kenneth R French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22. Giusto, Andrea, and Jeremy Piger, 2017, Identifying business cycle turning points in real time with vector quantization, International Journal of Forecasting 33, 174–184. Hansen, Anne Lundgaard, 2024, Predicting recessions using VIX–yield curve cycles, International Journal of Forecasting 40, 409–422. Henriksson, Rita, and Robert Merton, 1981, On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills, The Journal of Business 54, 513–33. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of Finance 48, 65–91. Jensen, Michael C, 1968, The performance of mutual funds in the period 1945-1964, The Journal of Finance 23, 389–416. Kuo, Yu-Shang, and Jen-Tsung Huang, 2022, Factor-based investing in market cycles: Fama–french five-factor model of market interest rate and market sentiment, Journal of Risk and Financial Management 15, 460. Kwon, Dohyoung, 2022, Dynamic factor rotation strategy: A business cycle approach, International Journal of Financial Studies 10, 46. Levanon, Gad, Ataman Ozyildirim, Brian Schaitkin, and Justyna Zabinska, 2011, Comprehensive benchmark revisions of the Conference Board Leading Economic Index for the United States, Economics Program Working Paper 11-06, The Conference Board. Levy, Robert A, 1967, Relative strength as a criterion for investment selection, The Journal of Finance 22, 595–610. Liang, Chao, Qin Luo, Yan Li, and Luu Duc Toan Huynh, 2023, Global financial stress index and long-term volatility forecast for international stock markets, Journal of International Financial Markets, Institutions and Money 88, 101825. Lintner, John, 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, 13–37. Litzenberger, Robert H, and Krishna Ramaswamy, 1979, The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence, Journal of Financial Economics 7, 163–195. Markowitz, Harry, 1952, Portfolio selection, The Journal of Finance 7, 77–91. Novy-Marx, Robert, 2013, The other side of value: The gross profitability premium, Journal of Financial Economics 108, 1–28. Perez-Quiros, Gabriel, and Allan Timmermann, 2000, Firm size and cyclical variations in stock returns, The Journal of Finance 55, 1229–1262. Polk, Christopher, Mo Haghbin, and Alessio de Longis, 2020, Time-series variation in factor premia: The influence of the business cycle, Journal of Investment Management 18, 69–89. Roll, Richard, 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, 129–176. Sharpe, William F, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442. Tng, Boon Hwa, Kian Teng Kwek, and Andrew Sheng, 2012, Financial stress in asean-5 economies from the asian crisis to the global crisis, The Singapore Economic Review 57, 1250013. 劉晉翰, 2016, 因子模型於台灣股票市場之實證檢驗, 碩士論文, 國立政治大學. 吳國源, 2020, 台股價格動能投資策略之探討：以市值前150 大之股票為標的, 碩士論文, 國立中央大學. 吳祚吉, 1997, 台灣股市股利率效應之實證研究, 碩士論文, 國立臺灣大學. 廖銘傳, 2020, 運用機器學習方法認定景氣轉折點, 經濟研究20, 150–184. 曾怡嘉, 2021, 因子投資在不同景氣階段的表現, 碩士論文, 國立臺灣大學. 楊蓁, 2017, 低波動度投資組合交易策略分析, 碩士論文, 國立中央大學. 王芯儀、徐政義、陳姿伶、賴弘能, 2024, 因子訂價模型有效性之比較：臺灣股市實證, 證券市場發展季刊36, 1–64. 臺灣指數公司, 2023, 臺灣指數公司TIP 指數系列企業活動處理通則, 臺灣指數公司網站https://www.taiwanindex.com.tw/. 臺灣證券交易所, 2023, 臺灣證券交易所發行量加權股價指數編製要點, 臺灣證券交易所網站https://www.twse.com.tw/. 蕭秉宸, 2022, 台灣股票型基金選股、擇時能力和績效持續性之實證研究, 碩士論文, 國立臺灣大學. 賴詠瑜, 2023, 多因子量化選股策略研究, 碩士論文, 國立中央大學. 陳裴紋, 2013, 金融壓力指數之建置與應用－台灣的個案研究, 中央銀行季刊35, 11–61. 陳鵬安, 2019, 台灣股票市場之動能投資策略研究：價格動能和盈餘動能, 碩士論文, 國立交通大學. 高蘭芬、陳安琳、湯惠雯、曹美蘭, 2005, 共同基金績效之衡量-模擬分析法之應用, 中山管理評論13, 667–694. |
| Description | 碩士 國立政治大學 國際經營與貿易學系 111351027 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0111351027 |
| Type | thesis |
| dc.contributor.advisor | 鍾令德 | zh_TW |
| dc.contributor.author (Authors) | 林子瑜 | zh_TW |
| dc.contributor.author (Authors) | Lin, Tzu-Yu | en_US |
| dc.creator (作者) | 林子瑜 | zh_TW |
| dc.creator (作者) | Lin, Tzu-Yu | en_US |
| dc.date (日期) | 2024 | en_US |
| dc.date.accessioned | 1-Apr-2025 12:21:49 (UTC+8) | - |
| dc.date.available | 1-Apr-2025 12:21:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Apr-2025 12:21:49 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0111351027 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/156479 | - |
| 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) | 111351027 | zh_TW |
| dc.description.abstract (摘要) | Polk, Haghbin, and de Longis (2020) 研究指出，在不同景氣循環階段調整投資因子能夠顯著提高美國市場的投資表現。為探討此投資方法在臺灣市場的適用性及其效果，本研究採用臺灣上市公司的歷史數據，組建包括動能(Momentum)、低波動率(Low Volatility)、規模(Size)、價值(Value)、獲利能力(Profitability)以及高殖利率(High Dividend)等多個因子指數，並根據臺灣總體經濟景氣循環的不同階段動態調整各因子的權重，以構建多因子投資組合。本研究首先基於領先指標(LEI)以及VIX指數對景氣循環階段進行劃分，並檢驗在此劃分方式下各因子是否能具有顯著創造超額報酬的效果。接著，依據不同階段調整投資因子的權重，並透過回測對構建的投資組合進行績效評估。回測分析結果顯示，隨景氣循環階段調整之多因子投資組合，相較於未調整之多因子投資組合，每月可額外創造約0.23%之超額報酬。 | zh_TW |
| dc.description.abstract (摘要) | According to Polk, Haghbin, and de Longis (2020), adjusting investment factors conditional on different business cycle phases can significantly enhance investment performance. This study aims to explore the applicability and effectiveness of this investment approach in the Taiwanese market. Specifically, using historical data of listed companies in Taiwan, this research constructs multiple factor indices including Momentum, Low Volatility, Size, Value, Profitability, and High Dividend Strategies. Firstly, this research divides the business cycle stages based on leading indicators (LEI) and the VIX index, and examines the effectiveness of each factor under this division. Subsequently, the weights of investment factors are adjusted according to different stages, and the performance of the constructed investment portfolios is evaluated through backtesting. Backtesting analysis indicates that a multi-factor investment portfolio constructed from factors conditional on different phases of the business cycle exhibits superior performance in terms of both absolute returns and risk-adjusted returns yielding an additional monthly excess return of 0.23% over an unadjusted multi-factor portfolio. | en_US |
| dc.description.tableofcontents | 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 第二章 文獻回顧 4 第一節 因子投資相關文獻 4 第二節 景氣循環相關文獻 8 第三章 研究資料與方法 9 第一節 資料來源 9 第二節 研究方法 12 第四章 研究結果與分析 28 第一節 景氣循環階段認定結果 28 第二節 單因子指數 29 第三節 臺灣市場因子有效性檢定結果 33 第四節 多因子指數建構 35 第五節 多因子指數報酬績效比較及模型分析 37 第五章 結論與建議 41 第一節 結論 41 第二節 限制與建議 42 參考文獻 43 | zh_TW |
| dc.format.extent | 1618028 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0111351027 | en_US |
| dc.subject (關鍵詞) | 景氣循環 | zh_TW |
| dc.subject (關鍵詞) | 多因子投資 | zh_TW |
| dc.subject (關鍵詞) | 指數投資 | zh_TW |
| dc.subject (關鍵詞) | Smart Beta | zh_TW |
| dc.subject (關鍵詞) | Business Cycles | en_US |
| dc.subject (關鍵詞) | Multi-factor Investing | en_US |
| dc.subject (關鍵詞) | Index Investing | en_US |
| dc.subject (關鍵詞) | Smart Beta | en_US |
| dc.title (題名) | 景氣循環下多因子投資組合的調整與表現 | zh_TW |
| dc.title (題名) | Adjustment and Performance of Multi-Factor Investment Portfolios over the Business Cycles | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | Ang, Andrew, Robert J Hodrick, Yuhang Xing, and Xiaoyan Zhang, 2006, The crosssection of volatility and expected returns, The Journal of Finance 61, 259–299. Asness, Clifford S, Tobias J Moskowitz, and Lasse Heje Pedersen, 2013, Value and momentum everywhere, The Journal of Finance 68, 929–985. Banz, Rolf W, 1981, The relationship between return and market value of common stocks, Journal of Financial Economics 9, 3–18. Basu, Sanjoy, 1977, Investment performance of common stocks in relation to their priceearnings ratios: A test of the efficient market hypothesis, The Journal of Finance 32, 663–682. Burns, Arthur F, and Wesley C. Mitchell, 1946, Measuring business cycles, National Bureau of Economic Research. Cardarelli, Roberto, Selim Elekdag, and Subir Lall, 2011, Financial stress and economic contractions, Journal of Financial Stability 7, 78–97. Carhart, Mark M, 1997, On persistence in mutual fund performance, The Journal of Finance 52, 57–82. Edwards, Tim, and Hamish Preston, 2017, A practitioner’s guide to reading VIX, S&P Global, https://www.spglobal.com/en. 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, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56. Fama, Eugene F, and Kenneth R French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1–22. Giusto, Andrea, and Jeremy Piger, 2017, Identifying business cycle turning points in real time with vector quantization, International Journal of Forecasting 33, 174–184. Hansen, Anne Lundgaard, 2024, Predicting recessions using VIX–yield curve cycles, International Journal of Forecasting 40, 409–422. Henriksson, Rita, and Robert Merton, 1981, On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills, The Journal of Business 54, 513–33. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, The Journal of Finance 48, 65–91. Jensen, Michael C, 1968, The performance of mutual funds in the period 1945-1964, The Journal of Finance 23, 389–416. Kuo, Yu-Shang, and Jen-Tsung Huang, 2022, Factor-based investing in market cycles: Fama–french five-factor model of market interest rate and market sentiment, Journal of Risk and Financial Management 15, 460. Kwon, Dohyoung, 2022, Dynamic factor rotation strategy: A business cycle approach, International Journal of Financial Studies 10, 46. Levanon, Gad, Ataman Ozyildirim, Brian Schaitkin, and Justyna Zabinska, 2011, Comprehensive benchmark revisions of the Conference Board Leading Economic Index for the United States, Economics Program Working Paper 11-06, The Conference Board. Levy, Robert A, 1967, Relative strength as a criterion for investment selection, The Journal of Finance 22, 595–610. Liang, Chao, Qin Luo, Yan Li, and Luu Duc Toan Huynh, 2023, Global financial stress index and long-term volatility forecast for international stock markets, Journal of International Financial Markets, Institutions and Money 88, 101825. Lintner, John, 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, 13–37. Litzenberger, Robert H, and Krishna Ramaswamy, 1979, The effect of personal taxes and dividends on capital asset prices: Theory and empirical evidence, Journal of Financial Economics 7, 163–195. Markowitz, Harry, 1952, Portfolio selection, The Journal of Finance 7, 77–91. Novy-Marx, Robert, 2013, The other side of value: The gross profitability premium, Journal of Financial Economics 108, 1–28. Perez-Quiros, Gabriel, and Allan Timmermann, 2000, Firm size and cyclical variations in stock returns, The Journal of Finance 55, 1229–1262. Polk, Christopher, Mo Haghbin, and Alessio de Longis, 2020, Time-series variation in factor premia: The influence of the business cycle, Journal of Investment Management 18, 69–89. Roll, Richard, 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, 129–176. Sharpe, William F, 1964, Capital asset prices: A theory of market equilibrium under conditions of risk, The Journal of Finance 19, 425–442. Tng, Boon Hwa, Kian Teng Kwek, and Andrew Sheng, 2012, Financial stress in asean-5 economies from the asian crisis to the global crisis, The Singapore Economic Review 57, 1250013. 劉晉翰, 2016, 因子模型於台灣股票市場之實證檢驗, 碩士論文, 國立政治大學. 吳國源, 2020, 台股價格動能投資策略之探討：以市值前150 大之股票為標的, 碩士論文, 國立中央大學. 吳祚吉, 1997, 台灣股市股利率效應之實證研究, 碩士論文, 國立臺灣大學. 廖銘傳, 2020, 運用機器學習方法認定景氣轉折點, 經濟研究20, 150–184. 曾怡嘉, 2021, 因子投資在不同景氣階段的表現, 碩士論文, 國立臺灣大學. 楊蓁, 2017, 低波動度投資組合交易策略分析, 碩士論文, 國立中央大學. 王芯儀、徐政義、陳姿伶、賴弘能, 2024, 因子訂價模型有效性之比較：臺灣股市實證, 證券市場發展季刊36, 1–64. 臺灣指數公司, 2023, 臺灣指數公司TIP 指數系列企業活動處理通則, 臺灣指數公司網站https://www.taiwanindex.com.tw/. 臺灣證券交易所, 2023, 臺灣證券交易所發行量加權股價指數編製要點, 臺灣證券交易所網站https://www.twse.com.tw/. 蕭秉宸, 2022, 台灣股票型基金選股、擇時能力和績效持續性之實證研究, 碩士論文, 國立臺灣大學. 賴詠瑜, 2023, 多因子量化選股策略研究, 碩士論文, 國立中央大學. 陳裴紋, 2013, 金融壓力指數之建置與應用－台灣的個案研究, 中央銀行季刊35, 11–61. 陳鵬安, 2019, 台灣股票市場之動能投資策略研究：價格動能和盈餘動能, 碩士論文, 國立交通大學. 高蘭芬、陳安琳、湯惠雯、曹美蘭, 2005, 共同基金績效之衡量-模擬分析法之應用, 中山管理評論13, 667–694. | zh_TW |