因子與特徵模型在投資組合建構之應用

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：11

、訪客IP：3.139.69.17

姓名

鄭國龍(Kuo-Ling Cheng) 查詢紙本館藏

畢業系所

財務金融學系在職專班

論文名稱

因子與特徵模型在投資組合建構之應用
(Portfolio Optimization Using Factor and Characteristic Models)

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]

本電子論文使用權限為同意立即開放。
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。
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)

長期以來CAPM在理論與實務運用上普遍獲得支持，但近年來愈來愈多的實證研究證明，CAPM是不完全的，使得現代財務理論受到了重大挑戰，而越來越多的財務學者認爲CAPM不符合現實，無法完全解釋資本資産的定價，且CAPM的異常現象又不斷地出現。因此，本研究以台灣上市公司股票市場為研究對象，利用現代財務學較具影響力的投資組合模型－Naive模型、CAPM、Fama and French三因子模型、四因子模型及特徵模型，先進行預期報酬率平均數和共變數的估計，接著在不可賣空的前提下，以1994年至2002年之每年6月底選取市值最大的50支股票作為投資標的，建構各模型的最適投資組合，並以夏普指數評估各模型的投資績效，實證研究影響台灣證券市場報酬率的因子或特徵。
實證結果得知，以夏普指標來評估各模型的投資績效，四因子模型的投資績效最佳，其次為三因子模型及特徵模型，且三種模型均顯著優於市場投組及等權投組，同時亦較Naive模型及CAPM為佳。

摘要(英)

The Capital Asset Pricing Model（CAPM）has been used widely in academics and practice for a long time. However, a growing literature also documents some major asset-pricing anomalies that the realized cross-section stock returns are not consistent with the predictions of the CAPM. Many researchers find that the size, price-to-book ratio, and the momentum factors explain much of the cross-sectional stock returns unexplained by the CAPM. Therefore, this thesis compares the performance of optimized portfolios constructed based on various models, including the naive model, the CAPM, the Fama-French three-factor model, the four-factor model and the characteristics model. The empirical study is implemented using monthly returns of all firms listed on the TSE during July 1989 to June 2003.
Our empirical result shows that the four-factor model, the Fama-French three-factor model, and the characteristics model perform better in explaining the cross-section of stock returns than the Naive model and the CAPM.

關鍵字(中)

★ 異常現象
★ 公司特徵
★ 風險因子
★ 投資組合

關鍵字(英)

★ Risk Factor
★ Characteristic
★ Anomalies
★ Portfolio

論文目次

第一章緒論 1
第一節、研究動機 1
第二節、研究目的 3
第三節、研究架構 3
第二章文獻回顧 5
第一節、CAPM 5
第二節、Fama and French三因子模型 6
第三節、動能因子 7
第四節、特徵模型 8
第三章研究方法 9
第一節、資料來源與選樣標的 9
第二節、投資期間 9
第三節、股票預期報酬率、風險估計模型 9
第四節、最適投資組合模型 16
第五節、投資組合績效評估 18
第四章實證結果分析 19
第一節、最適投資組合之投資績效 19
第二節、預期超額報酬率之預測績效 23
第三節、預期報酬率共變數之預測績效 26
第五章結論 29
參考文獻 30

參考文獻

Banz, Rolf W., 1981, The relationship between mean and market value of common stocks, Journal of Financial Economics 9, 3-18.
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.
Black, Fischer, 1993, Beta and return, Journal of Political Economy 20, 8-18.
Brennan, Michael, and Jihong Xia, 2001, Assessing asset pricing anomalies, Review of Financial Studies 14, 905-942.
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.
Chou, Pin-Huang, Huimin Chung and K. C. John Wei, 1999, Identifying the Sources of Contrarian Profits for Varying Horizons:Evidence from the Tokyo Stock Exchange, National Central University.
Chou, Pin-Huang, Wen-Shen Li and Guofu Zhou, 2001, Portfolio Optimization Under Asset Pricing Anomalies, National Central University.
Connor, Gregory, and Robert Korajczyk, 1988, Risk and return in an equilibrium APT: An application of a new methodology, Journal of Financial Economics 21, 255-289.
Conrad, J. and G. Kaul, 1998, “An Anatomy of Trading Strategies, Review of Financial Studies 11, 489-519.
Cuoco, Domenico, and Hong Liu, 2000, A martingale charaterization of consumption choices and hedging costs with margin requirements, Mathematical Finance 10, 355-385.
Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mu-tual 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 Port folio Management 24, 24-33.
Daniel, Kent, Sheridan Titman and K. C. John Wei, 2001, Explaining the cross-section of stock returns in Japan: Factors or characteristics, Journal of Finance 56, 743-766.
DeBondt, Werner F. M. and Richard Thaler, 1985, Does the Stock Market Overreact?, Journal of Finance 40, 793-805.
Duffie, Darrell, 1988, Security Markets: Stochastic models, Academic Press.
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.
Kandel Shmuel, and Robert F. Stambaugh, 1996, On the predictability of stock returns:An asset-allocation perspective, Journal of Finance 51, 385-424.
Jagannathan, Ravi, Keiichi Kubota, and Hitoshi Takehara, 1998, Relationship between Labor-Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market, Journal of Business 71, 319-347.
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 e.ciency, 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.
Newey, Whitney K., and Kenneth D. West, 1987, A simple positive definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-705.
Pastor, Lubos, and Robert F. Stambaugh, 2000, Comparing asset pricing models:An investment perspective, Journal of Financial Economics 56, 335-381.
Reed, Adam, 2001, Costly short-selling and stock price adjustment to earnings announcements, Working Paper, University of North Carolina.
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

2004-7-14

推文