簡易檢索 / 詳目顯示
| 研究生： |
林毓修 Yu-Hsiu Lin |
|---|---|
| 論文名稱： |
型態投資與投資組合最適化 Style Investing and Portfolio Optimization |
| 指導教授： |
周賓凰
Pin-Huang Chou |
| 口試委員: | |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理學院 - 財務金融學系 Department of Finance |
| 論文出版年： | 2020 |
| 畢業學年度： | 108 |
| 語文別： | 中文 |
| 論文頁數： | 36 |
| 中文關鍵詞： | 最適化投資組合 、型態投資 、資產報酬率 、帳面市價比 |
| 外文關鍵詞： | portfolio optimization, style investing, return on assets, book to market ratio |
| 相關次數： | 點閱：12 下載：0 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本研究結合最適化投資組合與型態投資，將個股的帳面市價比、資產報酬率兩個特徵型態經過產業調整後，依照資產報酬率、帳面市價比的順序進行相依分組，計算得到的型態投資報酬作為最適化投資組合的參數估計，研究樣本為市值前五十大的公司。研究發現型態最適投資組合比Markowitz 方法還要高了5%的年化超額報酬，也比市場平均每年多了將近8%的超額報酬，2005 年後的結果尤其顯著。進一步考慮交易成本和投資個股上限後，並沒有影響本文的結果。最後，我們發現投資組合的優異表現主要是來自於型態投資報酬改善了期望報酬的估計。
In this study, I combine the concept of portfolio optimization and style investing. I use style returns to estimate expected returns and covariance matrix. For calculating style returns, portfolios are formed by dependently quintile sorting on ROA and BM demeaned by industry. The research sample are top 50 largest market capitalization Taiwan stocks. I find that style portfolio optimization can beat traditional portfolio optimization and market by 5% and 8% annualized excess returns on average. The result does not change after considering trading costs and the limit of investing. The outstanding result is mainly contributed by improving the estimation of expected returns.
1. 陳立文、余歆儀、紀怡禎，〈公司本益比和產業平均本益比之間的偏離程度與橫斷面股票報酬：風險或行為? 〉，《證券市場發展季刊》，第二十八卷第一期，2016 年，1-38 頁。
2. Anwaar, M., “Impact of Firms’ Performance on Stock Returns (Evidence from Listed Companies of FTSE-100 Index London, UK).” Global Journal of Management and Business Research, 2016.
3. Barberis, N. and Shleifer, A., “Style Investing.” Journal of Financial Economics, Vol. 68, No.2, 2003, 161-199.
4. Chan, W.S., Frankel, R., Kothari, S.P., “Testing Behavioral Finance Theories Using Trends and Consistency in Financial Performance” Journal of Accounting and Economics, Vol. 38, 2004, 3-50.
5. Chou, P. H., K.-C. Ko, N.-T. Yang, “Asset Growth, Style Investing, and Momentum” Journal of Banking and Finance, Vol. 98, 2019, 108-124.
6. Chou, P. H., P. Ho and K. Ko, “Do Industries Matter in Explaining Stock Returns and Asset-pricing Anomalies?” Journal of Banking and Finance, Vol. 36, No. 2, 2012, 355-
370.
7. Chou, P. H., W.-S. Li and Zhou, Guofu, “Portfolio optimization under asset-pricing anomalies” Japan and the World Economy, Vol. 18, 2006, 121-142.
8. Daniel, K., Grinblatt, M., Titman, S. and Wermers, R., “Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks.” Journal of Finance, Vol. 52, 1997,
1035-1058.
9. Fama, E. F. and K. R. French, “The Cross-Section of Expected Stock Returns” Journal of Finance, Vol. 47, No. 2, 1992, 427-465.
10. Fama, E. F. and K. R. French, “Common Risk Factors in the Returns on Stocks and Bonds” Journal of Financial Economics, Vol. 33, No. 1, 1993, 3-56.
11. Kothari, S. P. and Shanken, J., “Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis” Journal of Financial Economics, Vol. 44, 1997, 169-203.
12. Kahle, Kathleen M. and Walkling, Ralph A., “The Impact of Industry Classifications on Financial Research” Journal of Financial and Quantitative Analysis, Vol. 31, No. 3, 1996, 309-335.
13. Ledoit, O., and M. Wolf. “Honey, I Shrunk the Sample Covariance Matrix.” Journal of Portfolio Management, Vol. 30, No. 4, 2004, 110-119.
14. Markowitz, H., “Portfolio Selection” Journal of Finance, Vol. 7, No. 1, 1952, 77-91.
15. Novy-Marx, R., “The Other Side of Value: The Gross Profitability Premium.” Journal of Financial Economics, Vol. 108, No. 1, 2013, 1-28.
16. Peter A. Frost and James E. Savarino, “An Empirical Bayes Approach to Efficient Portfolio Selection” Journal of Financial and Quantitative Analysis, Vol. 21, No. 3, 1986, 293-305.
