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姓名 李文聖(Wen-Shen Lee)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 因子、特徵與資產配置
(Portfolio Optimization Using Factors and Characteristics)
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摘要(中) 均異效率性為現代投資組合理論的基礎,也逐漸受到實務界的重視。在傳統的資產配置分析架構裡,投入要素-期望報酬率、共變數等是由樣本統計量所替代。然而,樣本統計量較易受到樣本資料的影響而產生估計上的偏誤,因此本文利用近年來蓬勃發展的資產定價理論估計投入要素,企圖降低估計參數時可能發生的偏誤,並比較不同模型下的最適投資組合於樣本外的投資績效。
本文以日本股市為研究對象,資料來源為PACAP日本資料庫。自1980年至1996年,每年9月底選取市值最大的100支與200支股票作為投資標的進行資產配置,並衡量樣本外的投資績效。資產配置的二大投入要素(報酬率、共變數)則以完全模型、一因子模型、三因子模型、四因子模型及特徵模型進行估計。
我們發現在Sharpe指標上,特徵投組顯著優於比較指標,且較完全投組及因子投組為佳,這與Daniel、Titman與Wei(1998)認為日本股票報酬決定於股票特徵的結果相符。我們並發現100支股票投組的績效優於200支股票投組的績效,而不可賣空投組的績效亦優於可賣空投組。
關鍵字(中) ★ 資產配置
★ 資本資產定價理論
★ 套利定價理論
★ 公司特徵
關鍵字(英) ★ asset allocation
★ CAPM
★ APT
★ characteristic
論文目次 目 錄......................................................................................................... i
表目錄.........................................................................................................ii
圖目錄........................................................................................................iii
第一章 緒論............................................................................................... 1
第一節 研究動機................................................................................... 1
第二節 研究目的................................................................................... 2
第三節 研究架構................................................................................... 3
第二章 文獻回顧....................................................................................... 5
第三章 實證研究設計............................................................................... 9
第一節 資料來源與投資標的............................................................... 9
第二節 股票報酬率預測模型..............................................................10
第三節 股票報酬共變數估計模型......................................................15
第四節 資產配置最適化模型..............................................................17
第五節 投資績效衡量指標..................................................................19
第四章 實證結果與分析..........................................................................21
第一節 報酬率預測模型之預測績效..................................................21
第二節 報酬共變數估計模型之預測績效..........................................25
第三節 最適投資組合的投資績效......................................................29
第五章 結論..............................................................................................43
參考文獻....................................................................................................44
表 目 錄
表一 期望超額報酬之屬性......................................................................22
表二 報酬率預測模型之預測績效..........................................................23
表三 共變異數估計值之屬性..................................................................26
表四 共變異數估計模型之估計績效......................................................27
表五 最適投資組合之投資績效..............................................................31
表六 最適投資組合之Sharpe指標...........................................................38
表七 最適投資組合之特徵屬性..............................................................40
附表一 最適投資組合於不同年度之Sharpe指標...................................47
圖 目 錄
圖一 比較指標投組之累積報酬..............................................................33
圖二 不可賣空下,各最適投組之累積報酬(100支股票)................34
圖三 不可賣空下,各最適投組之累積報酬(200支股票)................34
圖四 不可賣空下,各特徵投組之累積報酬(100支股票)................35
圖五 不可賣空下,各特徵投組之累積報酬(200支股票)................35
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指導教授 周賓凰(Pin-Huang Chou) 審核日期 2000-6-20
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