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題名 以財務報表資訊為台灣股票市場建構最適資產配置
The Optimal Asset Allocation According to Financial Statement Information in Taiwan Stock Market作者 蘇嘉雄
Sou, Ka Hong貢獻者 黃泓智
蘇嘉雄
Sou, Ka Hong關鍵詞 財務報表
股票評分指標
資產模型
等權重投資策略
financial statement
stock rank index
asset model
equally-weighted strategy日期 2013 上傳時間 12-Aug-2014 14:03:03 (UTC+8) 摘要 本論文以1998年1月至2014年2月台灣股票市場上市、櫃股票作為投資標的，首先利用每季公布之財務報表，以市值、股票月週轉率、負債比率、EPS、ROE及本益比等六項指標篩選股票，並根據ASKSR股票評分指標將股票排序，選出前n檔股票作為投資標的。研究使用樣本內資料估計出多元Gaussian-Copula-GJR(1,1)-t資產模型的參數、以它產生多組資產組合報酬的預測，藉由CRRA效用函數、Mean-Variance效用函數、Sharpe ratio效用函數及CARA效用函數最適化權重進行投資。研究發現使用GJR(1,1)-t模型、ASKSR股票評分指標、10天調整投資組合一次及CARA (λ=1) 效用函數下，投資組合不論在期末淨值或整段投資期間的績效上，都優於等權重投資策略。 參考文獻 [1] 陳炫羽. “Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation. ” National Chengchi University, 2013[2] 孫博辰. “ Dynamic asset allocation with regime-switching Copula. ” National Chengchi University, 2012[3] A. Patton, 2006. Modelling asymmetric exchange rate dependence, international economic review 47, 527-556.[4] Andrew Ang & Geert Bekaert, 2002a, 2002b. International asset allocation with regime shiftes.[5] Ang. A., and J. Chen. 2002. “ Asymmetric Correlations of Equity Portfolios.” Journal of Financial Economics 63:443-94.[6] Barr Rosenberg, Kenneth Reid, and Ronald Lanstein. “Persuasive evidence of market inefficiency.” The Journal of Portfolio Management, Spring 1985, Vol. 11, No. 3: pp. 9-16[7] Basu, Sanjoy, 1983. “The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence.” Journal of Financial Economics 12, 129-156.[8] Ball, R., and P. Brown. 1968. “An empirical evaluation of accounting income numbers.” Journal of Accounting Research 6 (2): 159-178.[9] Corsetti, G., Pericoli, M., Sbracia, M., 2005. "`Some contagion, some interdependence: More pitfalls in tests of financial contagion." Journal of International Money and Finance, 24, 1177-1199.[10] D. Pelletier, 2006. Regime switching for dynamic correlations, Journal of econometrics 131, 445-473.[11] Daniel B. Nelson. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica, Vol. 59,No. 2(Mar., 1991), 347-370.[12] Eric Jondeau, Michael Rockinger. “The Copula-GARCH model of conditionaldependencies: An international stock market application.” Journal of International Money and Finance 25 (2006) 827-853[13] Eugene F. Fama and Kenneth R. French. “Common risk factors in the returns on stocks and bonds.” Journal of Financial Economics 33 (1993) 3-56. North-Holland[14] Francois longin and Bruno Solnik. “Extreme Correlation of International Equity Markets.” The Journal of finance. Vol. Lv1, No. 2. April 2001[15] Garcia R. & Tsafack G., 2011. Dependence structure and extreme comovements in in international equity and bond market, Journal of Banking & Finance Volume 35, 1954-1970.[16] Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.[17] Heni Boubaker a, Nadia Sghaier (2012), Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. Journal of Banking & Finance.[18] H. Manner & O. Reznikova, 2012. A survey on time-varying copulas: specification, simulations, and application. Econometric reviews 31(6), 654-678.[19] Hodges, S. (1998). “A Generalization of the Sharpe Ratio and its Appli- cations to Valuation Bounds and Risk Measures”, Working Paper, Financial Options Research Centre, University of Warwick.[20] Hentschel, Ludger (1995). "All in the family Nesting symmetric and asymmetric GARCH models". Journal of Financial Economics 39 (1): 71–104[21] Hamilton, James D. (1989), “A New Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle,” Econometrica 57, 357-384[22] Harry Markowitz. “Portfolio Selection.” The Journal of Finance, Vol. 7, No. 1. (Mar., 1952), pp. 77-91[23] J. C. Rodriguez. “Measuring Financial Contagion: A Copula Approach.” Journal of Empirical Finance, Vol. 14, No. 3,2007[24] Joseph D. Piotroski. “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers.” Journal of Accounting Research. Vol. 38 Supplement 2000 [25] Joe, H. and Xu, J.J. (1996). The estimation method of inference functions for margins for multivariate models. Technical Report 166, Department of Statistics, University of British Columbia. [26] Jeffrey Jaffe, Donald B. Keim and Randolph Westerfield. “Earnings Yields, Market Values, and Stock Returns.” The Journal of Finance, Volume 44, Issue 1,pages 135-148, March 1989.[27] Jane A.OU and Stephen H. Penman. “Financial statement analysis and the prediction of stock returns.” Journal of Accounting and Economics 11 (1989) 295-329. North-Holland[28] L. Chollete, A. Heinen, and A. Valdesogo, 2009. Modelling international financial returns with a multivariate regime switching copula, Journal of Financial Economics 7, 437-480.[29] Mohanram, P. (2005). “Separating winners from losers among low book-to-market stocks using financial statement analysis.” Review of Accounting Studies, 133-170. [30] O. Candido, F. A. Ziegelmann, J. Duekerc, 2012. Modelling the Dependence Dynamics through Copulas with Regime Switching, Insurance: Mathematics and Economics 50, 346-356.[31] Okimoto, T. (2008): New Evidence of Asymmetric Dependence Structures in International Eq- uity Markets, Journal of Financial and Quantitative Analysis, Vol. 43(3), pp. 787-816.[32] Patton, A. (2004). On the out-of-sample importance of skewness and asymmetric depend- ence for asset allocation. Journal of Financial Econometrics 2(1), 130–168.[33] Rand Kwong Yew Low, Jamie Alcock, Robert Faff and Timothy Brailsford. “Canonical vine copulas in the context of modern portfolio management: Are they worth it?,” The Journal of Banking and Finance, (2013), 37(8) 3085—3099[34] Ribeiro, R. & P. Veronesil, 2002. The excess comovement of international stock returns in bad times: a rational expectations equilibrium model, working paper.[35] Ribeiro, R. & P. Veronesil, 2002. The excess comovement of international stock returns in bad times: a rational expectations equilibrium model, working paper.[36] Robert F. Engle. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance ofUnited Kingdom Inflation.” Econometrica, Vol. 50, No. 4. (Jul., 1982), pp. 987-1007.[37] Stober, T.L., 1992, “Summary financial statement measures and analysis’ forecasts of earnings.” Journal of Accounting and Economics 15. North-Holland [38] S.Basu. “Price-Earnings Ratios: A Test of the Efficient Market Hypothesis.” The Journal of Finance, Vol. 32, No. 3 (Jun., 1977), 663-682.[39] Sharpe, William F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium under Condi- tions of Risk.” Journal of Finance. 19:3, pp. 425– 42.[40] T. Okimoto, 2008. New evidence of asymmetric dependence structures in international equity markets, Journal of financial and quantitative analysis 43, 787-816.[41] Tim Bollerslev. “General AutoRegressive Conditional Heteroskedasticity.” Journal of Econometrics 31 (1986) 307-327. North-Holland.[42] U. Cherubini & E. Luciano, 2010. Bivariate option pricing with copulas.[43] Valeri Zakamouline, Steen Koekebakker. “Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance.” Journal of Banking & Finance 33 (2009) 1242-1254.[44] Victor DeMiguel, Lorenzo Garlappi and Raman Uppal, “Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?” Rev. Financ. Stud. (2009) 22(5): 1915-1953.[45] 賴柏成. “Constructing Portfolios According to Financial Statement Information and Copula-Garch Model in Taiwan Stock Market. ” National Sun Yat-sen University, 2013 描述 碩士
國立政治大學
風險管理與保險研究所
101358033
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101358033 資料類型 thesis dc.contributor.advisor 黃泓智 zh_TW dc.contributor.author (Authors) 蘇嘉雄 zh_TW dc.contributor.author (Authors) Sou, Ka Hong en_US dc.creator (作者) 蘇嘉雄 zh_TW dc.creator (作者) Sou, Ka Hong en_US dc.date (日期) 2013 en_US dc.date.accessioned 12-Aug-2014 14:03:03 (UTC+8) - dc.date.available 12-Aug-2014 14:03:03 (UTC+8) - dc.date.issued (上傳時間) 12-Aug-2014 14:03:03 (UTC+8) - dc.identifier (Other Identifiers) G0101358033 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/68534 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 101358033 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 本論文以1998年1月至2014年2月台灣股票市場上市、櫃股票作為投資標的，首先利用每季公布之財務報表，以市值、股票月週轉率、負債比率、EPS、ROE及本益比等六項指標篩選股票，並根據ASKSR股票評分指標將股票排序，選出前n檔股票作為投資標的。研究使用樣本內資料估計出多元Gaussian-Copula-GJR(1,1)-t資產模型的參數、以它產生多組資產組合報酬的預測，藉由CRRA效用函數、Mean-Variance效用函數、Sharpe ratio效用函數及CARA效用函數最適化權重進行投資。研究發現使用GJR(1,1)-t模型、ASKSR股票評分指標、10天調整投資組合一次及CARA (λ=1) 效用函數下，投資組合不論在期末淨值或整段投資期間的績效上，都優於等權重投資策略。 zh_TW dc.description.tableofcontents 口試委員會審定書------------------------------------------------------------- (i)致謝------------------------------------------------------------------------------ (ii)摘要----------------------------------------------------------------------------- (iii)第一章 緒論1.1研究動機與目的---------------------------------------------------- (1)1.2研究方法及成果---------------------------------------------------- (2)1.3章節概要------------------------------------------------------------- (3)第二章 文獻回顧2.1股價報酬決定因素------------------------------------------------ (5)2.2 GARCH 文獻探討------------------------------------------------ (5)2.3 Copula 文獻探討-------------------------------------------------- (7)2.4本章小結------------------------------------------------------------ (9)第三章 股票型基金資產配置3.1證券投資基金簡介------------------------------------------------ (10)3.2股票型基金資產配置思考--------------------------------------- (10)3.3本章小結---------------------------------------------------------- (12)第四章 研究方法4.1資產選擇---------------------------------------------------------- (13)4.1.1第一階段資產選擇--------------------------------------- (14)4.1.2第二階段資產選擇--------------------------------------- (14)4.2 資產模型---------------------------------------------------------- (18)4.2.1多元Gaussian-Copula-GARCH(1,1)-t資產模型--- (19)4.2.2 GARCH(1,1)-t模型參數估計------------------------- (21)4.3蒙地卡羅方法--------------------------------------------------- (22)4.4市場風險中立的避險策略------------------------------------ (24)4.5本章小結--------------------------------------------------------- (24)第五章 實驗結果5.1資料說明--------------------------------------------------------- (25)5.1.1以台灣股票為投資標的-------------------------------- (25)5.1.2台灣股票市場買賣股票的交易成本----------------- (25)5.2穩健性測試------------------------------------------------------- (26)5.2.1 評估投資組合期末績效------------------------------- (27)5.2.2 評量投資組合績效------------------------------------- (39)5.2.3 四種評量指標的結果---------------------------------- (42)5.3本章小結------------------------------------------------------- (45)第六章 結論與展望6.1結論------------------------------------------------------------- (46)6.2展望------------------------------------------------------------- (46)參考文獻----------------------------------------------------------------- (48)附錄A--------------------------------------------------------------------- (53) zh_TW dc.format.extent 1491503 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101358033 en_US dc.subject (關鍵詞) 財務報表 zh_TW dc.subject (關鍵詞) 股票評分指標 zh_TW dc.subject (關鍵詞) 資產模型 zh_TW dc.subject (關鍵詞) 等權重投資策略 zh_TW dc.subject (關鍵詞) financial statement en_US dc.subject (關鍵詞) stock rank index en_US dc.subject (關鍵詞) asset model en_US dc.subject (關鍵詞) equally-weighted strategy en_US dc.title (題名) 以財務報表資訊為台灣股票市場建構最適資產配置 zh_TW dc.title (題名) The Optimal Asset Allocation According to Financial Statement Information in Taiwan Stock Market en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) [1] 陳炫羽. “Asset Modeling with Non-Gaussian Innovation and Applications to Asset Allocation. ” National Chengchi University, 2013[2] 孫博辰. “ Dynamic asset allocation with regime-switching Copula. ” National Chengchi University, 2012[3] A. Patton, 2006. Modelling asymmetric exchange rate dependence, international economic review 47, 527-556.[4] Andrew Ang & Geert Bekaert, 2002a, 2002b. International asset allocation with regime shiftes.[5] Ang. A., and J. Chen. 2002. “ Asymmetric Correlations of Equity Portfolios.” Journal of Financial Economics 63:443-94.[6] Barr Rosenberg, Kenneth Reid, and Ronald Lanstein. “Persuasive evidence of market inefficiency.” The Journal of Portfolio Management, Spring 1985, Vol. 11, No. 3: pp. 9-16[7] Basu, Sanjoy, 1983. “The relationship between earnings yield, market value, and return for NYSE common stocks: Further evidence.” Journal of Financial Economics 12, 129-156.[8] Ball, R., and P. Brown. 1968. “An empirical evaluation of accounting income numbers.” Journal of Accounting Research 6 (2): 159-178.[9] Corsetti, G., Pericoli, M., Sbracia, M., 2005. "`Some contagion, some interdependence: More pitfalls in tests of financial contagion." Journal of International Money and Finance, 24, 1177-1199.[10] D. Pelletier, 2006. Regime switching for dynamic correlations, Journal of econometrics 131, 445-473.[11] Daniel B. Nelson. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica, Vol. 59,No. 2(Mar., 1991), 347-370.[12] Eric Jondeau, Michael Rockinger. “The Copula-GARCH model of conditionaldependencies: An international stock market application.” Journal of International Money and Finance 25 (2006) 827-853[13] Eugene F. Fama and Kenneth R. French. “Common risk factors in the returns on stocks and bonds.” Journal of Financial Economics 33 (1993) 3-56. North-Holland[14] Francois longin and Bruno Solnik. “Extreme Correlation of International Equity Markets.” The Journal of finance. Vol. Lv1, No. 2. April 2001[15] Garcia R. & Tsafack G., 2011. Dependence structure and extreme comovements in in international equity and bond market, Journal of Banking & Finance Volume 35, 1954-1970.[16] Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.[17] Heni Boubaker a, Nadia Sghaier (2012), Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. Journal of Banking & Finance.[18] H. Manner & O. Reznikova, 2012. A survey on time-varying copulas: specification, simulations, and application. Econometric reviews 31(6), 654-678.[19] Hodges, S. (1998). “A Generalization of the Sharpe Ratio and its Appli- cations to Valuation Bounds and Risk Measures”, Working Paper, Financial Options Research Centre, University of Warwick.[20] Hentschel, Ludger (1995). "All in the family Nesting symmetric and asymmetric GARCH models". Journal of Financial Economics 39 (1): 71–104[21] Hamilton, James D. (1989), “A New Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle,” Econometrica 57, 357-384[22] Harry Markowitz. “Portfolio Selection.” The Journal of Finance, Vol. 7, No. 1. (Mar., 1952), pp. 77-91[23] J. C. Rodriguez. “Measuring Financial Contagion: A Copula Approach.” Journal of Empirical Finance, Vol. 14, No. 3,2007[24] Joseph D. Piotroski. “Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers.” Journal of Accounting Research. Vol. 38 Supplement 2000 [25] Joe, H. and Xu, J.J. (1996). The estimation method of inference functions for margins for multivariate models. Technical Report 166, Department of Statistics, University of British Columbia. [26] Jeffrey Jaffe, Donald B. Keim and Randolph Westerfield. “Earnings Yields, Market Values, and Stock Returns.” The Journal of Finance, Volume 44, Issue 1,pages 135-148, March 1989.[27] Jane A.OU and Stephen H. Penman. “Financial statement analysis and the prediction of stock returns.” Journal of Accounting and Economics 11 (1989) 295-329. North-Holland[28] L. Chollete, A. Heinen, and A. Valdesogo, 2009. Modelling international financial returns with a multivariate regime switching copula, Journal of Financial Economics 7, 437-480.[29] Mohanram, P. (2005). “Separating winners from losers among low book-to-market stocks using financial statement analysis.” Review of Accounting Studies, 133-170. [30] O. Candido, F. A. Ziegelmann, J. Duekerc, 2012. Modelling the Dependence Dynamics through Copulas with Regime Switching, Insurance: Mathematics and Economics 50, 346-356.[31] Okimoto, T. (2008): New Evidence of Asymmetric Dependence Structures in International Eq- uity Markets, Journal of Financial and Quantitative Analysis, Vol. 43(3), pp. 787-816.[32] Patton, A. (2004). On the out-of-sample importance of skewness and asymmetric depend- ence for asset allocation. Journal of Financial Econometrics 2(1), 130–168.[33] Rand Kwong Yew Low, Jamie Alcock, Robert Faff and Timothy Brailsford. “Canonical vine copulas in the context of modern portfolio management: Are they worth it?,” The Journal of Banking and Finance, (2013), 37(8) 3085—3099[34] Ribeiro, R. & P. Veronesil, 2002. The excess comovement of international stock returns in bad times: a rational expectations equilibrium model, working paper.[35] Ribeiro, R. & P. Veronesil, 2002. The excess comovement of international stock returns in bad times: a rational expectations equilibrium model, working paper.[36] Robert F. Engle. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance ofUnited Kingdom Inflation.” Econometrica, Vol. 50, No. 4. (Jul., 1982), pp. 987-1007.[37] Stober, T.L., 1992, “Summary financial statement measures and analysis’ forecasts of earnings.” Journal of Accounting and Economics 15. North-Holland [38] S.Basu. “Price-Earnings Ratios: A Test of the Efficient Market Hypothesis.” The Journal of Finance, Vol. 32, No. 3 (Jun., 1977), 663-682.[39] Sharpe, William F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium under Condi- tions of Risk.” Journal of Finance. 19:3, pp. 425– 42.[40] T. Okimoto, 2008. New evidence of asymmetric dependence structures in international equity markets, Journal of financial and quantitative analysis 43, 787-816.[41] Tim Bollerslev. “General AutoRegressive Conditional Heteroskedasticity.” Journal of Econometrics 31 (1986) 307-327. North-Holland.[42] U. Cherubini & E. Luciano, 2010. Bivariate option pricing with copulas.[43] Valeri Zakamouline, Steen Koekebakker. “Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance.” Journal of Banking & Finance 33 (2009) 1242-1254.[44] Victor DeMiguel, Lorenzo Garlappi and Raman Uppal, “Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?” Rev. Financ. Stud. (2009) 22(5): 1915-1953.[45] 賴柏成. “Constructing Portfolios According to Financial Statement Information and Copula-Garch Model in Taiwan Stock Market. ” National Sun Yat-sen University, 2013 zh_TW
