博碩士論文 87425010 詳細資訊




以作者查詢圖書館館藏 以作者查詢臺灣博碩士 以作者查詢全國書目 勘誤回報 、線上人數:71 、訪客IP:18.221.28.50
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)
相關論文
★ 避險基金之績效評估★ 展望理論與共同基金績效
★ 生命週期基金 :行為財務學觀點★ 行為特性與投資績效相關性之研究
★ 專業投資人行為特性探討★ 中小型企業融資缺口與資訊不對稱之探討
★ 九型人格特質與理財偏誤行為之相關性研究★ 銀行通路轉型策略個案研究
★ 銀行財富管理行銷策略分析-以兩家在台外商銀行為例★ 羅盤玫瑰可預測型態之探討
★ 巢式與非巢式資產定價理論之比較與檢定★ 投資者情緒與市場報酬
★ 資產定價模型樣本外績效之檢定★ 規模效果和元月效應之微觀
★ 因子或特徵:全球觀點★ 特徵與因子:日本證據
檔案 [Endnote RIS 格式]    [Bibtex 格式]    [相關文章]   [文章引用]   [完整記錄]   [館藏目錄]   [檢視]  [下載]
  1. 本電子論文使用權限為同意立即開放。
  2. 已達開放權限電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
  3. 請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。

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
參考文獻 Banz, Rolf W. and William J. Breen, 1986, "Sample-Dependent Results Using Accounting and Market Data: Some Evidence," Journal of Finance 41, 779-793.
Benari, Yoav, 1990, "Optimal Asset Mix and Its Link to Changing Fundamental Factors," Journal of Portfolio Management 16 / Winter, 11-18.
Black, Fischer, 1972, "Capital Market Equilibrium with Restricted Borrowing," Journal of Business 45, 444-455.
Chan, Louis K. C., Yasushi Hamao, and Josef Lakonishok, 1991, "Fundamentals and Stock Returns in Japan," Journal of Finance 46, 1739-1764.
Chan, Louis K. C., Narasimhan Jegadeesh, and Josef Lakonishok, 1996, "Momentum Strategies," Journal of Finance 51, 1681-1713.
Chan, Louis K. C., Jason Karceski, and Josef Lakonishok, 1998, "The Risk and Return from Factors," Journal of Financial and Quantitative Analysis 33, 159-188.
Chan, Louis K. C., Jason Karceski, and Josef Lakonishok, 1999, "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," Review of Financial Studies 12, 937-974.
Chopra, Navin, Josef Lakonishok, and Jay R. Ritter, 1992, "Measuring Abnormal Performance: Do Stocks Overreact? ," Journal of Financial Economics 31, 235-268.
Chopra, Vijay K. and William T. Ziemba, 1993, "The Effect of Errors in Means, Variances and Covariances on Optimal Portfolio Choice," Journal of Portfolio Management 19 / Winter, 6-11.
Chopra, Vijay K. and William T. Ziemba, 1993, "The Effect of Errors in Means, Variances and Covariances on Optimal Portfolio Choice," Journal of Portfolio Management 19 / Winter, 6-11.
Conrad, J. and G. Kaul, 1998, "An Anatomy of Trading Strategies," Review of Financial Studies 11, 489-519.
Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, "Measuring Mutual Fund Performance with Characteristics-Based Benchmarks," Journal of Finance 52, 1035-1058.
Daniel, Kent and Sheridan Titman, 1997, "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance 52, 1-33.
Daniel, Kent and Sheridan Titman, 1998, "Characteristics or Covariances," Journal of Portfolio Management 24 / Summer, 24-33.
Daniel, Kent, Sheridan Titman, and K. C. John Wei, 1998, "Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? ," working paper, Northwestern University.
DeBondt, Werner F. M. and Richard Thaler, 1985, "Does the Stock Market Overreact? ," Journal of Finance 40, 793-805.
Fama, Eugene F. and Kenneth R. French, 1992, "The Cross-Section of Expected Stock Returns," 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, 1998, "Value versus Growth: The International Evidence," Journal of Finance 53, 1975-1999.
Fama, Eugene F. and Kenneth R. French, 1998, "Value versus Growth: The International Evidence," Journal of Finance 53, 1975-1999.
Jegadeesh, Narasimhan, 1990, "Evidence of Predictable Behavior of Security Returns," Journal of Finance 45, 881-898.
Jegadeesh, Narasimhan and Sheridan Titman, 1993, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance 48, 65-91.
Jegadeesh, Narasimhan and Sheridan Titman, 1995, "Overreaction, Delayed Reaction, and Contrarian Profit," Review of Financial Studies 8, 973-993.
Jensen, Michael C., 1968, "The Performance of Mutual Funds in the Period 1945-1964," Journal of Finance 23, 389-416.
Jensen, Michael C., 1969, "Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios," Journal of Business 42, 167-247.
Jorion, Philippe, 1985, "International Portfolio Diversification with Estimation Risk," Journal of Business 58, 259-278.
Jorion, Philippe, 1986, "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis 21, 279-292.
Koskosidis, Yiannis A. and Antonio M. Duarte, 1997, "A Scenario-Based Approach to Active Asset Allocation," Journal of Portfolio Management 23 / Winter, 74-85.
Lakonishok, Josef, Andrei Shleifer, and Robert W. Vishny, 1994, "Contrarian Investment, Extrapolation, and Risk," Journal of Finance 49, 1541-1578.
Lintner, John, 1965, "The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets," Review of Economics and Statistics 47, 13-37.
Markowitz, Harry M., 1952, "Portfolio Selection," Journal of finance 7, 77-91.
Michaud, Richard O., 1989, "The Markowitz Optimization Enigma: Is 'Optimized' Optimal? ," Financial Analysts Journal 45 / Jan.-Feb., 31-42.
Mossin, Jan, 1966, "Equilibrium in a capital asset market," Econometrica 34, 768-783.
Rosenberg, Barr, Kenneth Reid, and Ronald Lanstein, 1985, "Persuasive Evidence of Market Inefficiency," Journal of Portfolio Management 11 / Spring, 9-16.
Ross, Stephen A., 1976, "The Arbitrage Theory of Capital Asset Pricing," Journal of Economic Theory 13, 341-360.
Sharpe, William F., 1964, "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk," Journal of Finance 19, 425-442.
Sharpe, William F., 1966, "Mutual Fund Performance," Journal of Business 39, 119-138.
Treynor, Jack L., 1965, "How to Rate Management Investment Funds," Harvard Business Review 43 / Jan.-Feb., 63-75.
指導教授 周賓凰(Pin-Huang Chou) 審核日期 2000-6-20
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   
網路書籤 Google bookmarks   del.icio.us   hemidemi   myshare   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡  - 隱私權政策聲明