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博碩士論文 etd-0611117-155937 詳細資訊
Title page for etd-0611117-155937
論文名稱
Title
殘差報酬反轉現象在台灣股票市場之實證
Empirical Study of Residual Reversal Pattern in Taiwan Equity Market
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
44
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2017-06-23
繳交日期
Date of Submission
2017-07-11
關鍵字
Keywords
三因子模型、零投資組合、反轉策略、因子曝險、殘差報酬、殘差反轉
residual reversal, factor exposure, residual return, Fama-French three-factor model, zero-investment, reversal strategy
統計
Statistics
本論文已被瀏覽 5735 次,被下載 117
The thesis/dissertation has been browsed 5735 times, has been downloaded 117 times.
中文摘要
過去的文獻指出股票非系統風險溢酬存在反轉或動能特性,利用此一特性產生的異常報酬可做為投資組合獲利來源。Blitz et al. (2012) 在美國股票市場利用三因子模型估計的殘差當作估計股票的非系統報酬,以此做為選股依據建構反轉投資組合,得到比傳統單純使用股票報酬做為指標的反轉策略更好的表現。Wang (2013) 進一步使用相同方式在台灣市場進行實證,也同樣得到比傳統反轉策略更佳的績效表現。
本篇文章之研究目的為驗證殘差報酬反轉策略是否在考慮交易限制等其他條件下是否仍然具有好的績效表現,同時進一步討論該策略是否符合文獻中報酬來源的推測。研究結果顯示之前的績效存在著生存誤差及交易限制等影響策略報酬的重要因素,在現實的交易限制及交易成本的考慮下策略將不存在顯著的異常報酬。相同的投資組合建構策略在台灣股票市場無法達到預期的成效。
Abstract
Early literature documents that investors can earn a abnormal return from momentum or reversal effect. Blitz et al. (2012) develop a reversal strategy in the U.S. stock market based on residual returns estimated by Fama-French three-factor model. Wang (2013) uses the same method to examine the effects from a residual reversal strategy in the Taiwan equity market and concludes that a strategy consistently earns 2 times excess returns more than those from a conventional reversal strategy.
This study purposes to determine the performance of such a strategy under trading restrictions and other conditions. In addition, this study discusses the source of portfolio returns. After considering the problems of survivor bias from the data used by Wang (2013) and the trading restrictions, the investors are unable to significantly achieve an abnormal return from a residual reversal strategy. Finally, this study believes that a reversal strategy from Fama-French three-factor model cannot achieve a prospective effect.
目次 Table of Contents
論文審定書 i
摘要 ii
ABSTRACT iii
I. INTRODUCTION 1
1.1 Background information 1
1.2 Research purpose 2
1.3 Research Framework 3
II. LITERATURE REVIEW 4
2.1 Momentum strategy 4
2.2 Reversal strategy 5
2.3 Residual return reversal strategy 7
2.4 Fama-French three-factor model 9
III. METHODOLOGY 10
3.1 Analytical procedures 10
3.2 Factor exposures and expected return 11
3.3 Estimating residual returns 13
3.4 Portfolio strategies and weight of portfolio construction 15
IV. EMPIRICAL RESULTS 19
4.1 Data 19
4.2 Sample 20
4.3 Empirical results 21
V. CONCLUSION 33
REFERENCES 36
參考文獻 References
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