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博碩士論文 etd-0815112-230632 詳細資訊
Title page for etd-0815112-230632
論文名稱
Title
國際金融資產投資策略之探討- 基於國際資產訂價模型
The Research on the Investment Strategy of International Financial Assets - Base on the International Asset Pricing 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
68
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
2012-06-05
繳交日期
Date of Submission
2012-08-15
關鍵字
Keywords
P/S Ratio、多因子資產定價模型、集群分析、外匯波動、利差
P/S ratio, Interest spread., Multiple-factor asset pricing model, Cluster analysis, Foreign exchange volatility
統計
Statistics
本論文已被瀏覽 5724 次,被下載 371
The thesis/dissertation has been browsed 5724 times, has been downloaded 371 times.
中文摘要
本研究利用集群分析(Cluster Analysis),針對不同利率、匯率變動的情況下,探討多因子資產定價模型的解釋能力、資產配置政策、選股策略與國際資產交易模式。

依據Bloomberg (彭博)參數的完整性考量,本研究以2000/1/4至2012/2/10期間的美股報酬率為模型探討的樣本空間,本研究結論如下:

一、在5%顯著水準下,P/S Ratio(股價營收比)對於股價日報酬率具有正向解釋力,其顯著效果符合統計學要求,但USD/JPY匯率前11日移動平均的波動率,以及 “美國十年期公債利率 - 美國三個月國庫券利率”之利差(%)的模型解釋力無法通過5%顯著水準要求。

二、就產業供應鏈個股如Qualcomm、Intel、Texas instruments等,在本研究的三種市場結構下,外匯波動變數 “Foreign_Volitility” 對於零組件個股之報酬率影響係數為負向,利差變數對於個股報酬率的影響係數為正向,營收預測對於零組件個股的報酬率解釋方向為正向。

三、就3C產品終端品牌個股來看,本研究以Apple、Microsoft、Dell、IBM等為例。在本研究的三種市場結構下,外匯波動變數 “Foreign_Volitility”對於終端品牌個股之報酬率影響係數方向不一。利差變數對於個股報酬率的影響係數為正向,雖然就顯著水準5%而言,尚未達到統計學顯著水準要求。至於P/S Ratio(股價營收比)的影響係數而言,影響方向不一。

四、就非3C產業品牌個股或集團股來看,本研究以GE、Procter & Gamble、Home Depot、Tiffany、AIG、NIKE、Exxon Mobile Corp等。在本研究的三種市場結構下,外匯波動變數“Foreign_Volitility”對個股報酬率影響係數方向除Exxon Mobile Corp為正向外,其餘皆為負向。利差變數對於報酬率的影響係數方向不一。P/S Ratio(股價營收比)對於股價報酬率影響方向皆為正向。
Abstract
This study uses cluster analysis as the methodology to explore policy of the asset allocation as well as the selection of equities under the multiple-factor asset pricing models.

Based on the data of financial market recorded on Bloomberg from 2000/1/4 to 2012/2/10, the conclusions of this study are summarized as following:

First at all, under the significance level of 5%, P/S ratio should be included in the multiple-factor asset pricing model. Nonetheless, the significance of proxy agent of foreign exchange volatility in terms of 11-day moving average of USD/JPY foreign exchange spot rate, as well as the interest spread in terms of yields on 10-year US government bond subtracting 3-month US treasury bill cannot pass the required significance level.

Second, the rates of stock return as Qualcomm, Intel and Texas instruments in the industry supply chain of technology products, will be positively related to interest spread, with the variable of “Foreign_Volitility” negatively related to those rates of return as well as sales growth momentum positively related to those.

As far as those rates of stock return 3C brand companies such as Apple, Microsoft, Dell and IBM, the interpreting capability of variable of “Foreign_Volitility” under the assumptions of market structure in this study, will be mixed, with the interest spread positively related to those returns and P/S ratio generating mixed outcomes.

As far as those equities such as GE, Procter & Gamble, Home Depot, Tiffany, AIG, NIKE, Exxon Mobile Corp, the interpreting capability of variable of “Foreign_Volitility” under the assumptions of market structure in this study, will be negatively related to stock return except for Exxon Mobile Corp, with the interest spread generating mixed outcomes and P/S ratio positively related to those returns.
目次 Table of Contents
論文審定書.................…………………………………….……...…i
誌謝........................................................................................ ii
摘要....................................................................................... iii
Abstract................................................................................. iv
目錄........................................................................................ v
圖次...................................................................................... vii
表次..................................................................................... viii
第一章 緒論..........................................................................1
第一節 研究背景與動機..............................................1
第二節 研究目的..........................................................4
第三節 研究流程..........................................................5
第二章 文獻探討..................................................................6
第一節 資產定價模型..................................................6
第二節 國際資產定價模式..........................................8
第三節 國際資產定價模式的變數選擇....................14
第四節 研究模型參數的理論基礎............................20
第三章 研究方法................................................................21
第一節 研究設計......................................................21
第二節 樣本資料......................................................22
第三節 選股原則方法..............................................23
第四章 實證分析.................................................................26
第一節 集群分析........................................................26
第二節 迴歸模型分析................................................31
第三節 模擬效果分析................................................48
第五章 結論與建議..........................................................50
第一節 結論...............................................................50
第二節 建議...............................................................52
參考文獻..............................................................................53
附錄一、按市場別區分之選股名單..................................57
參考文獻 References
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