基本面指數化策略之實證研究:以台灣股市為例

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姓名

孫逸寰(Yi-Huan Sun) 查詢紙本館藏

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財務金融學系

論文名稱

基本面指數化策略之實證研究:以台灣股市為例
(An Empirical Study of Fundamental Indexation Strategy :The Case of the Taiwan Stock Market)

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摘要(中)

編制股價指數廣用的方法大多以市值加權為主，許多被動式基金的投資組合為了追隨大盤績效表現，便以個股市值來決定其在組合之所佔投資權重。市值加權的方式雖然有低週轉率之優點，但其組合也存在加碼高估股票、減碼低估股票的可能。因此Arnott、Hsu and Moore於2005年提出基本面指數(Fundmental index)的概念，以基本面指標給予權重來建構組合，來避免市值加權組合的疑慮，進而創造更好的績效表現。
本研究即依照基本面指數的概念，將其運用於台灣股市，實證期間分別為1992年-2008年以及2000年-2008年兩段期間。主要觀察以基本面建構的投資組合之績效能否顯著優於市值組合(標竿指數)，亦即比大盤優越。同時觀察在不同環境基本面組合之表現，以及在各種績效與風險指標衡量下，與標竿指數之相對表現。
本研究採取營收、自由現金流量、前期淨值、當期淨值以及綜合指數等五個基本面指標，並依照其權重建構組合。實證結果發現基本面組合在1992年-2008年雖然表現較市值組合優越，顯著性並未如外國文獻般顯著。而在2000年-2008年此期間基本面組合之顯著性則明顯有所提升，其中尤以自由現金流量組合在兩段期間表現差異最大，而營收組合在兩段期間中表現均為最佳。在週轉率方面，雖然基本面組合略遜於市值組合，但整體而言依然維持了低週轉率，其超額報酬並不會被交易成本所侵蝕。這印證了在台灣市場基本面組合依然能夠保留市值加權組合低週轉率、低交易成本之特色，與外國文獻結果一致。

摘要(英)

Most of indexes are based on market-capitalization weighting. Many of passive funds construct their portfolios by capitalization weighting in order to follow the market performance. Capitalization-weighted portfolio have the advantage of low turnover rate, but it possibly leads the portfolio to overweight in overvalue stock, underweight in undervalue stock. Therefore, Arnott, Hsu and Moore indicate the concept of fundamental indexation, they weight portfolio by fundamental data. They want to use the method to create a better performance than capitalization-weighted portfolio.
This study adopts the method of fundamental indexation to analyze Taiwan stock market during the years 1992-2008 and 2000-2008 periods. We mainly observe whether the performances of fundamental portfolios are better than cap-weighted portfolios, and observe the performances of fundamental and cap-weighted portfolios at different risk index and conditions.
This study constructs and weights portfolios by fundamental index. The indexes are sales, free cash flow, pre-book value, book value and composite index. Our empirical results show that the performances of fundamental portfolios are better than cap-weighted portfolio, but it is not as significant as foreign research in 1992-2008. In 2000-2008, the significance of fundamental portfolios improves obviously. Free cash flow portfolio is greatest different, and the performance of sales portfolio is the best in two periods. Furthermore, the turnover rates of fundamental portfolios are slightly higher than cap-weight portfolio, but the excess return of fundamental portfolios are still positive. We think the fundamental portfolios also maintain low trading cost and low turnover rate in Taiwan stock market, and this result is according with foreign research.

關鍵字(中)

★ 市值加權
★ 基本面指數

關鍵字(英)

★ Market-capitalization.
★ Cap-weighted
★ Fundamental index

論文目次

目錄
摘要 ·························································· i
英文摘要 ······················································ ii
誌謝 ·························································· iv
目錄 ·························································· v
圖目錄 ························································ vii
表目錄 ························································ viii
第一章緒論 ···················································1
第一節研究背景 ···········································1
第二節研究動機與目的 ·····································2
第三節研究架構 ···········································3
第二章文獻回顧與介紹 ·········································4
第一節投資組合策略相關文獻與介紹 ·························4
第二節基本面指數相關文獻與介紹 ···························6
第三節對基本面投資策略存疑的論點及文獻 ···················8
第四節文獻小節及對本文之意涵 ·····························11
第三章研究設計與方法 ·········································12
第一節樣本資料與來源 ·····································12
第二節策略設計說明 ·······································12
第三節基本面組合建構與篩選 ·······························13
第四節名詞定義與風險績效指標 ·····························17
第五節操作方法 ···········································20
第四章實證結果分析 ···········································24
第一節基本面指數與標竿指數之比較：基本報酬表現與績效評估 ·25
第二節基本面指數與標竿指數之比較：市場風險與績效指標評估 ·31
第三節基本面指數與標竿指數之比較：在不同期間下之實證結果 ·34
第四節基本面指數與標竿指數之比較：週轉率與交易成本之分析 ·39
第五節各基本面組合之產業獨立比較 ·························42
第五章結論與建議
第一節本研究結果相關結論 ·································44
第二節對後續研究之建議 ···································47
第三節對投資人之建議 ·····································48
參考文獻 ·······················································49

參考文獻

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指導教授

何中達(Chung-Da Ho)

審核日期

2009-6-26

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