多因子量化選股策略研究;Research on Multi-factor Quantitative Stock Selection Strategy

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題名:	多因子量化選股策略研究;Research on Multi-factor Quantitative Stock Selection Strategy
作者:	賴詠瑜;Lai, Yung-Yu
貢獻者:	財務金融學系
關鍵詞:	因子投資;股票型基金;Factor investing;Smart Beta ETF;Stock funds
日期:	2023-06-30
上傳時間:	2024-09-19 16:04:34 (UTC+8)
出版者:	國立中央大學
摘要:	近年來因子投資盛行，而因子投資是一種為了取得市場超額報酬的投資策略，本研究目的旨在檢驗多因子投資組合策略在台灣股票市場中是否能獲得超額報酬。目前市場中有關因子投資的商品，多以單因子的Smart Beta ETF居多，能夠捕捉到的股票特性較為單一，而本研究欲透過多因子的投資組合策略，對台灣上下市與上下櫃股票進行篩選，藉由多因子的量化選股投資策略研究，組成多因子Smart Beta ETF，並且與台灣股票型基金進行績效比較，檢驗多因子投資組合策略在台灣股票市場中是否能獲得超額報酬。本研究利用6種單因子的代表指標當作選股依據，對台灣上下市與上下櫃的公司進行選股，組合成單因子投資組合，探討此投資策略在台灣股票市場的績效，並且透過多因子主動型基金績效研究，組成四種不同風格的多因子Smart Beta ETF，與台灣股票型基金的績效進行比較，研究結果顯示本研究建立之四種Smart Beta ETF均能夠在多數時間下贏得超過半數的台灣投資股票型基金，表示多因子投資組合策略在台灣股票市場中具有一定程度的獲利能力。 ;In recent years, factor investment has become popular, and factor investment is an investment strategy to obtain excess returns in the market. The purpose of this study is to test whether the multi-factor portfolio strategy can obtain excess returns in the Taiwan stock market. At present, most of the products related to factor investment in the market are single-factor Smart Beta ETFs, which can capture a relatively single stock characteristic. However, this research intends to use a multi-factor investment portfolio strategy to screen listed and listed stocks in Taiwan. Based on multi-factor quantitative stock selection investment strategy research, a multi-factor Smart Beta ETF is formed, and the performance is compared with Taiwan stock funds to test whether the multi-factor portfolio strategy can obtain excess returns in the Taiwan stock market. This research uses the representative indicators of six single factors as the basis for stock selection, selects stocks of listed and listed companies in Taiwan, and combines them into a single-factor investment portfolio to explore the performance of this investment strategy in the Taiwan stock market. The performance research of four multi-factor Smart Beta ETFs, compared with the performance of Taiwan stock funds the research results show that the multi-factor portfolio strategy has the ability to obtain excess returns in the Taiwan stock market.
顯示於類別:	[財務金融研究所] 博碩士論文

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