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博碩士論文 etd-0520113-001756 詳細資訊
Title page for etd-0520113-001756
論文名稱
Title
殘差反轉在台灣存在嗎?
Does Residual Reversal Prevail in Taiwan?
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
66
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
2013-06-14
繳交日期
Date of Submission
2013-06-20
關鍵字
Keywords
殘差、反轉策略、殘差反轉、三因子模型、權重調整投資組合
Residual return, Reversal strategy, Residual reversal, Fama-French model, Weight adjustment portfolio
統計
Statistics
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中文摘要
本篇論文使用三因子模型所得之殘差作為選股指標,殘差指的是股票報酬而不被”基本面因子”(三因子)所解釋之剩餘報酬,可能是由非系統性的報酬所組成。參考過許多其他的文獻之後,我們相信因子模型之殘差存在反轉特性或動能特性。因此我們使用所有台灣上市公司資料作為股票樣本,取1990~2012為資料樣本期間來證明台灣股票的因子模型殘差是否具有反轉特性或動能特性。
本篇文章主要的研究目的在於確認台灣上市股票之模型殘差是具有反轉特性或動能特性,是否能用此特性作為選股指標,能夠持續得到正的投資組合報酬。觀察因子模型之殘差指標是否具有其他特性,如R-square、月份特性與小規模特性等。
實證結果發現,台灣之上市公司股票模型之殘差具有反轉特性,殘差由小到大排序,最小的10%股票在下個月能得到較高的報酬,證明殘差具有反轉特性,並且能得到顯著的報酬,優於傳統的反轉投資策略報酬兩倍以上。除此之外,將樣本期間切割,在近幾年殘差反轉的特性依然存在並且更能預測。最後我們將依照殘差所選出的股票投資組合,依照股票殘差作權重調整之後能得到比等權重投資更高的報酬。
Abstract
Residual returns, which are based on the Fama and French (1993) three factor model, are the components of stock returns which are unexplained by “fundamentals”, such as the compensation for unsystematic risk. Referring other studies, we therefore believe that a momentum or reversal effect may exist in Taiwan.
We used all of the stocks traded on the Taiwan Stock Exchange (TWSE) for the period from 1990 to 2012 This study aims to determine if the residual of an indicator could precisely forecast return, and whether it would have a reversal or momentum effect in the TWSE market. In this study, we conduct an empirical study to determine which phenomena exist in the TWSE market.
Finally, we use the reversal strategy based on residual stock returns that does not exhibit these exposures and consequently earn risk-adjusted returns twice as large as those of a conventional reversal strategy. The residual reversal strategies generate more statistically and economically significant profits net of trading costs than conventional reversal strategy, even when we restrict our sample to a “sub-period” during the post-2002 period. In addition, we construct a weight adjustment portfolio based on stock residual. It could earn more profit than equal-weighted portfolio.
目次 Table of Contents
誌謝 iii
摘要 iv
ABSTRACT v
I. INTRODUCTION 1
1.1 Background Information 1
1.1.1 Reversal Strategy 1
1.1.2 Residual return 1
1.2 Research objective 2
1.3 Report Structure 3
II. LITERATURE REVIEW 5
2.1 Reversal Strategy 5
2.2 Residual Return 6
III. METHODOLOGY 8
3.1 Expected returns 8
3.1.1 Multi-factors regression 8
3.1.2 Arbitrage portfolio and weight of portfolio construction 8
3.1.3 Factor exposures and Expected return 10
3.1.4 Fama-French’s three factor model 12
3.2 Moving Average 13
3.2.1 Simple Moving Average Calculation 13
3.2.2 Exponential Moving Average Calculation 14
3.3 Portfolio insurance strategy 15
3.3.1 Constant Proportion Portfolio Insurance 15
3.3.2 Time Invariant Portfolio Protection 18
IV. EMPIRICAL RESULTS 20
4.1 Data 20
4.2 Sample 20
4.2.1 Factor exposures of conventional reversal strategies 20
4.2.2 Number of stocks in each period 22
4.2.3 Trading cost 23
4.3 Empirical results 23
4.3.1 Characteristic of residual using equal-weighted method 23
4.3.2 Monthly phenomenon 30
4.3.3 Sub periods 32
4.3.4 Small stocks effect 33
4.3.5 Weight adjustment portfolio 36
4.4 Empirical results-Strategy modification 40
4.4.1 Smooth the Indicator-Residual 42
4.4.2 Moving-average of market index 44
4.4.3 Moving-average of portfolio value 46
4.4.4 Constant Proportion Portfolio Insurance 48
4.4.5 Time Invariant Portfolio Protection. 50
V. CONCLUSION 54
REFERENCES 57
參考文獻 References
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Bhardwaj, Ravinder K. and Leroy D. Brooks. 1992. “The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias.” Journal of Finance, Volume 47, Issue 2, pp.553-575
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Gutierrez, Roberto C.  Jr. and Eric K. Kelley. 2008 “The Long-Lasting Momentum in Weekly Returns.” Journal of Finance, Vol. LXIII, No. 1, pp.415-447 February.
Gutierrez, Roberto C.  Jr. and Christo A. Pirinsky. 2007. “Momentum, Reversal, and the Trading Behaviors of Institutions.” Journal of Financial Markets, Volume 10, Issue 1, pp.48-75 February.
Jegadeesh, Narasimhan. 1990. “Evidence of Predictable Behavior of Security Return.” Journal of Finance, Volume 45, Issue 6, pp.881-898.
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Lin, K.H. 2000. “The Empirical Study of January Effect and Chinese Lunar New Year Effect in Taiwan Stock Market” (Master’s thesis, National Yunlin University of Science & Technology).
Wei, Jason and Liyan Yang. 2012. “Short-term momentum and reversals in large stocks.” Working Paper, University of Toronto
Yu, Hsin-Yi and Li-Wen Chen. 2011. “Momentum-reversal strategy.” Working Paper, Taiwan

Internet Resource
Chernih, Andrew, Mateusz Maj, Wim Schoutens and Steven Vanduffel (2008). “The inefficiency of Constant Proportion Portfolio Insurance.” Retrieved from http://coin.wne.uw.edu.pl/ka2008/prezentacje/Maj.pdf
Khanna, Saurabh (2009). “Constant Proportion Portfolio Insurance (CPPI) for Implementation of Dynamic Asset Allocation of Immediate Annuities.” Retrieved from http://www.actuariesindia.org/downloads/gcadata/11thGCA/Implementation of CPPI.pdf
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