1. NCCU Academic Hub
  2. 學術產出
  3. College of Commerce
  4. Theses
  5. Item

學術產出-Theses

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

  • No doi shows Citation Infomation
題名 基本面投資組合策略之應用台灣市場實證
Fundamental Portfolio Strategy inTaiwan Stock Market
作者 蘇新為
貢獻者 郭維裕
蘇新為
關鍵詞 基本面策略
日期 2012
上傳時間 11-Jul-2013 16:15:11 (UTC+8)
摘要 股票價值是否能正確預測存在於學術界和實務界，透過長期的分析和文獻可得最好的投資方式為直接投資代表整個市場的指數，而非找尋資產管理人，因此有有了主動式和被動式的管理投資策略。從1884年由Dow and Jones透過價格加權平均所合編的道瓊平均指數是全世界最早的股價指數到現今已發展出許多種編制指述的方式，如市價加權、市值加權以及平均加權法等等。而在1990年發生科技泡沫後，由Arnott, Hsu and Moore(2005)年提出利用經濟面為主的概念編製基本面指數，本文將透過該法加以修正成符合台灣市場的應用，並且根據報酬績效、風險指標、反映總體經濟能力以及產業分析比較的四大面向和以市值加權的台灣五十作全方位的探討。本研究實證結果發現基本面指數概念相對市值加權來說，對於台灣上市公司之報酬績效、風險指標、反映總體經濟能力皆獲得相對較優越的結果。
Price of the stock is predictable or not existing in theory and practice fields. According to the long term analysis and academic reports , instead of finding the best asset manager , investing in the index which represents the market is the best investment method. Dow and Jones constructed the Dow Jones Average Index by price average-weighted in 1884 and now there are many different ways to construct indices such as price-weighted, capitalization-weighted and average-weighed etc.. Arnott, Hsu and Moore indicated the concept of fundamental indexation after the Tech Bubble in 1990.This study adopts the adjusted method of fundamental indexation to analyze Taiwan stock market and discusses the four concepts including returns, risk indicator, ability of assessing the macroeconomic and industry analysis. This study finds out that in this four concepts, fundamental portfolios are slightly better than capitalization-weighted portfolio in Taiwan stock market.
參考文獻 一、 中文文獻
     1. 鄭義、湯雲鶴(2006)，「基本面加權指數：台灣市場TWFI100指數驗證」，貨幣觀測與信用評等，第59期，pp. 9-19
     
     二、 英文文獻
     1. Arnott, Robert D, Jason Hsu, and Philip Moore.2005.“Fundamental Indexation.”Financial Analysts Journal, vol.61,no. 2:83-99.
     2. Chen, Chen, Rong, Chen, and Gilbert W. Bassett.2007.“Fundamental indexation via smoothed cap weights.” Journal of Banking and Finance, vol. 31, no. 11:3486-3502.
     3. Christian, W. and Sebastian, L.2009.“Fundamental Indexing Around the world.”, SSRN.
     4. Cowles, A.1993. “Can Stock Market Forecasters Forecast? ” Econometrica ,July, pg. 579-586, October.
     5. Fama, E. F.1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25, pg. 383-417, May
     6. Hemminki, Julius. and Puttonen, Vesa, 2007.“Fundamental Indexation in Europe” Journal of Asset Management, vol.8,no.6: 401–405.
     7. Holbrook Working.1934.“A Random-Difference Series for Use in the Analysis of Time Serious.”Journal of the American Statistical Association 29,11-24
     8. Hsu,Jason.2006. “Cap-Weighted Portfolios Are Sub-Optimal Portfolios.”Journal of Investment Management,vol.4,no.3:1-10.
     
     9. Hsu,Jason,and Campollo.2005.“An Examination of Fundamental Indexation.”Journal of Indexes,32-58.
     10. Kaplan, Paul D.2008. “Why Fundamental Indexation Might-or Might Not-Work.” Financial Analysts Journal, vol.64,no.1: 32-39.
     11. Kendall, M. G. and Bradford Hill, A. (1953) “The Analysis of Economic Time-Series-Part I: Prices” Journal of the Royal Statistical Society, Series A (General), vol. 116, no. 1:11-34
     12. Lee, Cheng-few, and Rahman, Shafiqur.1990. “Market Timing,Selectivity,and Mutual Fund Performance: An Empirical Investigation.” Journal of Business, 63, 261-278
     13. Lo, Andrew W., and Pankaj N. Patel. 2008. “130/30: The new long-only.”Journal of Portfolio Management 34, 12-38.
     14. Markowitz,H,M.1952. “ Portfolio Selection.”The Journal of Finance, vol. 7, no. 1:77-91
     15. Mayers,David. 1976.“Nonmarketable Assets, Market Segmentation, and the Level of asset Prices.” Journal of Financial and Quantitative Analysis, vol.11,no.1: 1-12.
     16. Siegel, Jeremy J. 2006 .“The Noisy Market Hypothesis.” Wall Street Journal, A14.
     17. Stambaugh, Robert F. 1982. “Testing the CAPM with Broader Market Indexes: A Problem of Mean Deficiency.” Journal of Banking and Finance,vol.71,no.1: 5-16.
     18. Sharpe, William F. 1964.“Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance vol.19,no.3:425–42.
     19. Treynor, Jack.2005.“Why Market-Valuation-Indifferent Indexing Works.” Financial Analysts Journal, vol.61,no.5: 65-69.
描述 碩士
國立政治大學
國際經營與貿易研究所
100351010
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1003510102
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 蘇新為zh_TW
dc.creator (作者) 蘇新為zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 11-Jul-2013 16:15:11 (UTC+8)-
dc.date.available 11-Jul-2013 16:15:11 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2013 16:15:11 (UTC+8)-
dc.identifier (Other Identifiers) G1003510102en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58766-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 100351010zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 股票價值是否能正確預測存在於學術界和實務界，透過長期的分析和文獻可得最好的投資方式為直接投資代表整個市場的指數，而非找尋資產管理人，因此有有了主動式和被動式的管理投資策略。從1884年由Dow and Jones透過價格加權平均所合編的道瓊平均指數是全世界最早的股價指數到現今已發展出許多種編制指述的方式，如市價加權、市值加權以及平均加權法等等。而在1990年發生科技泡沫後，由Arnott, Hsu and Moore(2005)年提出利用經濟面為主的概念編製基本面指數，本文將透過該法加以修正成符合台灣市場的應用，並且根據報酬績效、風險指標、反映總體經濟能力以及產業分析比較的四大面向和以市值加權的台灣五十作全方位的探討。本研究實證結果發現基本面指數概念相對市值加權來說，對於台灣上市公司之報酬績效、風險指標、反映總體經濟能力皆獲得相對較優越的結果。zh_TW
dc.description.abstract (摘要) Price of the stock is predictable or not existing in theory and practice fields. According to the long term analysis and academic reports , instead of finding the best asset manager , investing in the index which represents the market is the best investment method. Dow and Jones constructed the Dow Jones Average Index by price average-weighted in 1884 and now there are many different ways to construct indices such as price-weighted, capitalization-weighted and average-weighed etc.. Arnott, Hsu and Moore indicated the concept of fundamental indexation after the Tech Bubble in 1990.This study adopts the adjusted method of fundamental indexation to analyze Taiwan stock market and discusses the four concepts including returns, risk indicator, ability of assessing the macroeconomic and industry analysis. This study finds out that in this four concepts, fundamental portfolios are slightly better than capitalization-weighted portfolio in Taiwan stock market.en_US
dc.description.tableofcontents 口試委員會審定書
     誌謝……………………………………………………………………………………………………………………II
     摘要…………………………………………………………………………………………………………………III
     圖目錄………………………………………………………………………………………………………………V
     表目錄………………………………………………………………………………………………………………VI
     第一章 緒論……………………………………………………………………………………………1
     第一節 研究背景與動機………………………………………………………………………1
     第二節 研究目的……………………………………………………………………………………4
     第三節 研究架構……………………………………………………………………………………5
     第二章 文獻探討……………………………………………………………………………………6
     第一節 效率市場假說……………………………………………………………………………6
     第二節 投資組合策略……………………………………………………………………………7
     第三節 基本面投資組合策略………………………………………………………………8
     第四節 文獻小節…………………………………………………………………………………10
     第三章 研究方法和設計……………………………………………………………………11
     第一節 資料來源說明…………………………………………………………………………11
     第二節 說明策略設計…………………………………………………………………………11
     第三節 標竿指數建構方式介紹和說明……………………………………………12
     第四節 基本面投資組合衡量指標建構…………………………………… ……14
     第五節 名詞定義……………………………………………………………………………………18
     第六節 各組合期間定義和操作方式……………………………………… ………19
     第四章 實證研究結果…………………………………… ………………………… ………20
     第一節 基本面指數與標竿指數：報酬績效分析……………………………20
     第二節 基本面指數與標竿指數：風險指標分析……………………………26
     第三節 基本面指數與標竿指數：反映總體經濟能力……………………29
     第四節 基本面指數與標竿指數：產業分析比較……………………………31
     第五章 研究結論與建議………………………………………………………………………36
     第一節 實證研究結論……………………………………………………………………………36
     第二節 研究限制與後續研究建議………………………………………………………39
     參考文獻…………………………………………………………………………………………………………40		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1003510102en_US
dc.subject (關鍵詞) 基本面策略zh_TW
dc.title (題名) 基本面投資組合策略之應用台灣市場實證zh_TW
dc.title (題名) Fundamental Portfolio Strategy inTaiwan Stock Marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 一、 中文文獻
     1. 鄭義、湯雲鶴(2006)，「基本面加權指數：台灣市場TWFI100指數驗證」，貨幣觀測與信用評等，第59期，pp. 9-19
     
     二、 英文文獻
     1. Arnott, Robert D, Jason Hsu, and Philip Moore.2005.“Fundamental Indexation.”Financial Analysts Journal, vol.61,no. 2:83-99.
     2. Chen, Chen, Rong, Chen, and Gilbert W. Bassett.2007.“Fundamental indexation via smoothed cap weights.” Journal of Banking and Finance, vol. 31, no. 11:3486-3502.
     3. Christian, W. and Sebastian, L.2009.“Fundamental Indexing Around the world.”, SSRN.
     4. Cowles, A.1993. “Can Stock Market Forecasters Forecast? ” Econometrica ,July, pg. 579-586, October.
     5. Fama, E. F.1970. “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25, pg. 383-417, May
     6. Hemminki, Julius. and Puttonen, Vesa, 2007.“Fundamental Indexation in Europe” Journal of Asset Management, vol.8,no.6: 401–405.
     7. Holbrook Working.1934.“A Random-Difference Series for Use in the Analysis of Time Serious.”Journal of the American Statistical Association 29,11-24
     8. Hsu,Jason.2006. “Cap-Weighted Portfolios Are Sub-Optimal Portfolios.”Journal of Investment Management,vol.4,no.3:1-10.
     
     9. Hsu,Jason,and Campollo.2005.“An Examination of Fundamental Indexation.”Journal of Indexes,32-58.
     10. Kaplan, Paul D.2008. “Why Fundamental Indexation Might-or Might Not-Work.” Financial Analysts Journal, vol.64,no.1: 32-39.
     11. Kendall, M. G. and Bradford Hill, A. (1953) “The Analysis of Economic Time-Series-Part I: Prices” Journal of the Royal Statistical Society, Series A (General), vol. 116, no. 1:11-34
     12. Lee, Cheng-few, and Rahman, Shafiqur.1990. “Market Timing,Selectivity,and Mutual Fund Performance: An Empirical Investigation.” Journal of Business, 63, 261-278
     13. Lo, Andrew W., and Pankaj N. Patel. 2008. “130/30: The new long-only.”Journal of Portfolio Management 34, 12-38.
     14. Markowitz,H,M.1952. “ Portfolio Selection.”The Journal of Finance, vol. 7, no. 1:77-91
     15. Mayers,David. 1976.“Nonmarketable Assets, Market Segmentation, and the Level of asset Prices.” Journal of Financial and Quantitative Analysis, vol.11,no.1: 1-12.
     16. Siegel, Jeremy J. 2006 .“The Noisy Market Hypothesis.” Wall Street Journal, A14.
     17. Stambaugh, Robert F. 1982. “Testing the CAPM with Broader Market Indexes: A Problem of Mean Deficiency.” Journal of Banking and Finance,vol.71,no.1: 5-16.
     18. Sharpe, William F. 1964.“Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance vol.19,no.3:425–42.
     19. Treynor, Jack.2005.“Why Market-Valuation-Indifferent Indexing Works.” Financial Analysts Journal, vol.61,no.5: 65-69.		zh_TW