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

NCU Institutional Repository > 管理學院 > 財務金融研究所 > 博碩士論文 > Item 987654321/12076

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题名:	風格投資在台灣的運用;Style Investment-A Case of Taiwan
作者:	常詩佳;Shih-Chia Chang
贡献者:	財務金融研究所
关键词:	風格投資;風格指數;風格性評估;成長股;價值股;Style Indices;Style Valuation;Growth;Value;Style Investment
日期:	2005-06-03
上传时间:	2009-09-22 14:38:56 (UTC+8)
出版者:	國立中央大學圖書館
摘要:	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。 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.
显示于类别:	[財務金融研究所] 博碩士論文

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