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博碩士論文 etd-0528115-143007 詳細資訊
Title page for etd-0528115-143007
Quantitative Stock Selection Strategy- Using Taiwan Stock Market as Example
Year, semester
Number of pages
Chang-Chiang Chin
Advisory Committee
Yi-Hsi Lee
Date of Exam
Date of Submission
back-testing analysis, price-to-book ratio, principal component analysis, quantitative investment, two-sample t-test
本論文已被瀏覽 5747 次,被下載 33
The thesis/dissertation has been browsed 5747 times, has been downloaded 33 times.
On the background of the global markets gradually expanding, quantitative investment has become more popular for investors. Since the scale and the capital of stock market in Taiwan has become huger, this research is to help investors find out better portfolio and allocate assets efficiently from the asset pool in Taiwan stock market. The aim of the research is to find the hidden information in the factors among the financial report and design a stable and effective investment strategy, which can earn abnormal returns in the long run.
This research is divided into three parts. The first part is effective factors selection. Among numerous factors of financial reports, this research uses two-sample t-test to determine if the factors can distinguish the difference of stock return, and see if the better stocks selected by every significant factor can also beat the market return. The effective factors are selected based on above two conditions. The second part is indicator construction. This research uses the principal component analysis to determine the weight of each effective factor, and then construct an indicator PI. The last part is investment strategy designation. This research designs an investment strategy by combining price-to-book ratio with indicator PI and makes the back-testing analysis. The back-testing analysis includes the relationship between price-to-book ratio and indicator PI, performance of small value funds and large value funds, and discussion of portfolio improvement. In order to conform to the practical application, this research also take transaction cost and trading volume into account.
The finding of this research is that in terms of small value funds, ten million and fifty million for instance, the empirical results show that the average year return is 25.95% and 17.34% separately; in terms of large value funds, one billion and three billion for instance, the empirical results show that the average year return is 17.10% and 12.93% separately. When investing in different periods, except from the end of 2007 to middle of 2008, investors have the positive year returns in most of the periods after investing in one year.
目次 Table of Contents
論文審定書 i
誌謝辭 ii
摘要 iii
Abstract iv
第一章 緒論 1
第一節 量化投資背景概述 1
第二節 研究動機與目的 2
第三節 研究流程與架構 3
第二章 文獻回顧 4
第一節 單因子模型 4
第二節 雙因子模型 6
第三節 多因子模型 6
第三章 研究方法 8
第一節 蒐集財報資料 8
第二節 投資組合建構期間 12
第三節 獨立樣本T檢定 13
第四節 主成分分析 15
第四章 設計投資策略與回測績效分析 17
第一節 每季指標篩選之個股績效 17
第二節 設計投資策略與投資限制 25
第三節 衡量投資組合績效指標 25
第四節 回測績效分析 28
第五章 結論與建議 41
第一節 結論 41
第二節 後續研究建議 43
參考文獻 44
參考文獻 References
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