風格投資在台灣的運用

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姓名

常詩佳(Shih-Chia Chang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

風格投資在台灣的運用
(Style Investment-A Case of Taiwan)

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摘要(中)

鑒於風格投資的概念逐漸受到大眾的重視，且依據其概念所編制而出的風格指數已在國外有數年的發展歷史、而台灣依舊缺乏的情況下，本篇論文將為台灣股票市場引進這項具代表性的風格指標，以供投資人或基金經理人等作為建構風格投資組合的最佳指標。文中將以SSB建構風格指數的方法為依據，針對台灣所有上市公司進行篩選和評估，找出真正在台灣最具代表性的風格指標，並依其計算出每一支股票的風格值，最後再搭配在外流通性股數計算出每一支股票在指數中的權重。當然，此項指標的建立又可以修正一般大眾對於某些股票的謬誤迷思或是再次證明其普遍認為的風格性，可謂是一舉數得。另外在最後，我們將結合夏普理論和此項指標針對台灣基金進行風格性評估，觀察每檔基金是否正如其公開說明書所標榜的風格性一致，亦或有所出入，期許能對共同基金市場有所貢獻。至於指數建構和基金測試的結果，有些正符合一般大眾的普遍認知，也有些出乎意料之外，就讓我們一同進入文中探討。

摘要(英)

In this thesis, we introduce the overseas popular equity style investment indices into Taiwan stock market. Generally speaking, equity style investment indices have been developed for a period of time abroad, like United States and Europe. And the basic concept behind it is to implement investment strategies that are designed to earn abnormal average returns from the mispriced securities that result from the empirically observed company attribute anomaly. However, Taiwan just put more and more focus on the developments of size ETFs in recent years, like Taiwan Top 50 Index and Taiwan MidCap 100 Index, and still lack other representative style targets to replicate or invest in. In this way, based on SSBWESI construction method, we especially introduce investors’ other basic reorganizations of style factors into Taiwan: growth and value, and construct typical indices for them. Furthermore, we also combine William F. Sharpe’s theory of style measurement in 1992 with these new style indices for testing and categorizing Taiwan mutual funds. Undoubtedly, results of this research are really interesting and we can also get further revised information of general sense. Therefore, for losing no time, let’s enter this thesis quickly.

關鍵字(中)

★ 風格投資
★ 風格指數
★ 風格性評估
★ 成長股
★ 價值股

關鍵字(英)

★ Style Indices
★ Style Valuation
★ Growth
★ Value
★ Style Investment

論文目次

Contents
1. Introduction 1
2. Equity Style Indices 4
2.1 Definition and Characterization of Equity Styles 4
2.2 Three Types of Equity Style Indices 5
2.3 Historical Performances of Equity Style Indices 10
3. Establishing a Style Index for Taiwan Stock Market 13
3.1 General Descriptions 13
3.2 Construction 15
3.3 Summaries and Analyses of Taiwan Style Indices 29
4. Testing Styles of Taiwan Mutual Funds 33
4.1 Characteristics of Growth, Value and Balanced Mutual Funds 33
4.2 Style Valuation 35
5. Conclusion 41
Reference 42
Appendix 1 Details of Taiwan Style Indices’ Components 44
Figure Contents
Figure 2.1 SSB BMI Value vs. SSB BMI Growth 11
Figure 3.1 Data Classifications on Construction Base Recorded Date 14
Figure 3.2 Procedures and Concepts of Cluster Analysis 22
Figure 3.3 Plots of Taiwan Broad Market’s Growth and Value Scores 25
Figure 3.4 Illustrations of Calculating Style Probabilities 26
Figure 3.5 Time Trend of Taiwan Style Indices 31
Table Contents
Table 3.1 Summary of Missing Data 19
Table 3.2 Significant Style Variables in Taiwan 23
Table 3.3 Characteristics of Taiwan Style Indices 30
Table 4.1 Testing Results of Taiwan Mutual Funds 37

參考文獻

Beneda, N., 2002, “Growth stocks outperform value stocks over the long term”, Journal of Asset Management, April, 3, 2, pp. 112-123
Charlson, J., M. Gambera, and J. Rekenthaler, 2004, “Estimating portfolio style in U.S. equity funds”, Morningstar, 25 February
Cox, D. E., J. P. Ginty, H. Li, K. L. Miller, C. T. Morris, A. Sun, and M. Sullivan, 2002, The Salomon Smith Barney World Equity Style Indices, Salomon Smith Barney, 1 July
Cox, D. E., J. P. Ginty, H. Li, K. L. Miller, T. S. Nadbielny, J. Rowe, R. W. Schlatter, Eric H. Sorensen, M. Sullivan, and D. Xiao, 2000, Equity Style Investing and the Salomon Smith Barney World Equity Style Indices, Salomon Smith Barney, January
Dhatt, M. S., S. Mukherji, and Y. H. Kim, 1999, “The value premium for small-capitalization stocks”, Financial Analysts Journal, Sep/Oct, 55, 5, pp.60-68
Esposito, A., J. Hill, and B. Mueller, 2001, “Exchange-traded funds”, Goldman Sachs Derivatives & Trading Research, 29 June
Fuhr, D., 2001, “Exchange- traded funds: a primer”, Journal of Asset Management, December, 2, 3, pp. 260-273
Hill, J. M., M. Koksal, B. Mueller, and W. Sin, 2002, “Trading（and investing）in “style””, Goldman Sachs Derivatives & Trading Research, 19 July
Kittsley, D., and P. Mazzilli, 2003, “ETF asset allocation models: changes in recommended weightings”, Morgan Stanley Equity Research, 15 December
Kuberek, R. C., 1998, “Using style factors to differentiate equity performance over short horizons”, Journal of Portfolio Management, Spring, 24, 3, pp. 33-40
Petsch, M., S. Strongin, and Q. Wang, 1998, “Making the most of value and growth investing”, Goldman Sachs Global Portfolio Analysis, 15 January
Sharpe, W. F., 1992, “Asset allocation: management style and performance measurement”, Journal of Portfolio Management, Winter, 18, 2, pp. 7-19
克里斯多夫﹒葛瑞哲，莉莎﹒安格爾合著，駱秉容譯，輕鬆投資小型股-成長股與價值股投資秘訣，財訊出版，1999
杜金龍，價值分析在台灣股市個股應用的訣竅，財訊出版，2001
施禔盈，「平衡型基金真的能讓獲利平衡？」，Smart智富月刊，2005.2月號，126-127
「指數型基金的發展歷史、現況及其特性」，國際投資月刊，2004.9月號，22-27
「指數基金的無敵魅力」，國際投資月刊，2004.9月號，28-31
「指數基金暨相關產品大車拼」，國際投資月刊，2004.9月號，32-34
「全球ETF熱潮持續延燒」，國際投資月刊，2004.9月號，47-58

指導教授

史綱(Gang Shyy)

審核日期

2005-6-16

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