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博碩士論文 etd-0715110-011210 詳細資訊
Title page for etd-0715110-011210
論文名稱
Title
跨市場風險模型之建構-以台灣、大陸之雙市場模型為例
The construction of cross-market risk model – with application in a Taiwan-China two-market model
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
55
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
2010-06-14
繳交日期
Date of Submission
2010-07-15
關鍵字
Keywords
多因子模型、投資組合分析、Barra整合模型
multiple-factor risk model, Barra- Integrated model, portfolio analysis
統計
Statistics
本論文已被瀏覽 5814 次,被下載 12
The thesis/dissertation has been browsed 5814 times, has been downloaded 12 times.
中文摘要
本研究以台灣、大陸之多因子模型為基礎,建構一跨市場的風險模型。本模型主要概念為,採用包含world factor、country factor、industry factor 以及risk factor
等全球性因子(global factors)進一步去解釋台灣、大陸多因子模型中之因子報酬,藉由此結構模型(structural model)之設定,尋找跨市場之因子之間的連動關係。在這樣的架構下,本模型容許各個本地(local)多因子模型獨立擁有對於該市場有解釋力的因子,而不是限制所有市場或國家都必須採用相同的因子去解釋股票報酬。因此,針對全球型的權益投資組合,本模型可同時提供包含深度及廣度之分析。此創新的方法是由美商Barra 在整合模型(Integrated Model)中所提出。

此外,本研究最後建構一簡單的投資組合,用以闡述本模型之分析能力。對於基金經理人而言,一旦投資組合的內容確定,本模型可針對投資組合進行風險的估計以及風險來源的拆解;當此投資組合被執行後,本模型可針對投資結果進行績效之歸因,並進一步與其標竿投組做比較。由於是跨國投資組合,本模型可彈性的根據使用者不同,調整該投資組合在不同計價幣別下之分析結果。實證結果顯示,本模型對於全球型的權益投資組合可提供實際且彈性之分析。
Abstract
This study constructs a cross-market risk model based upon local multi-factor risk models of Taiwan and China equity markets. We employ world, country,
industry, and global risk factors to build a structural model which could explain the relationship between local factors across markets by further decomposing local factor returns. Under the structure, this model allows each local market to adopt different local factors rather than force all local markets to use one parsimonious set of factors. Therefore, this model could provide both in-depth and broad coverage analysis of international equity portfolios. The innovative methodology is first introduced by Barra as the Integrated Model.

Moreover, we build a simple portfolio and its corresponding benchmark to illustrate the power of our model. Once the contents of a portfolio are decided, this model could provide not only the risk estimation and decomposition in advance but also the performance attribution compared with the benchmark after the portfolio is realized. The analytical viewpoint could also easily change with different numeraire perspectives. The result demonstrates that this model is practical and flexible for international equity portfolio analysis.
目次 Table of Contents
I. Introduction 1
II. Literature Review 4
2.1 Multi-Factor Model 4
2.2 Cross-market Equity Model 8
2.2.1 Global Equity Model 8
2.2.2 The Barra Integrated Model 10
III. Data and Methodology 12
3.1 Data 12
3.2 Methodology 12
3.2.1 The Construction of a Local Risk Model 15
3.2.2 Structural Model – Integrating Local Models into a Global Model 17
3.2.3 Estimating Returns to a Global Equity Factors 18
3.2.4 Consistency Adjustment between Local and Global Model 20
3.2.5 The Currency Model 21
3.2.6 Summary of the Model 22
IV. Empirical Results 25
4.1 Local Risk Models 25
4.2 The Structural Model and Global factor returns 28
4.3 Consistency Adjustments: an Example 31
4.4 Application: Portfolio Analysis 34
V. Conclusion 40
Reference 43
Appendix A 45
Appendix B 48
參考文獻 References
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Shyu, S., Jeng, Y., Ton, W.H., Lee, K.J., & Chuang, H.M. (2006). Taiwan Multi-factor Model Construction: Equity Market Neutral Strategies Application. Managerial Finance, 32 (11), 915-947.
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