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    Title: 探討因子投資之交易成本對績效之影響
    The Impact of Trading Costs on the Performance of Factor Investing
    Authors: 曹林晨
    Contributors: 鍾令德
    曹林晨
    Keywords: 財報
    因子投資
    交易成本
    Financial reports
    Factor investing
    Transaction costs
    Date: 2023
    Issue Date: 2023-08-02 13:11:33 (UTC+8)
    Abstract: 為探討在台股市場中,因子投資之交易成本對投資報酬之影響,本文利用台股上市櫃、下市櫃股票自2005年1月至2021年12月的資料,對21個有效財務因子進行回測,並進一步檢視財務資訊更新頻率及投資組合周轉率對交易成本及報酬的影響。回測後發現,以年度財報、季度財報來調整投資組合,有效財務因子數量分別由21個下降至4個及6個,研究亦顯示交易成本會令因子投資報酬明顯下降,提高交易頻率雖然會讓交易成本同步上升,但也有助於讓投資人即時依據財報資訊調整投資組合,而投資組合調整帶來的正面效果大於交易成本上升帶來的負面效果,因此透過季度財報調整投資組合能替投資人帶來更高的投資報酬。
    This study explores the impact of transaction costs on factor investing in Taiwan. We backtest 21 strategies based on financial indicators of listed and delisted stocks in the Taiwan stock market from January 2005 to December 2021. We further examine the effects of alternative information update frequencies and portfolio turnover rates on transaction costs and returns. Our backtest suggests that updating portfolios based on annual and quarterly financial reports reduce the number of effective financial factors from 21 to 4 and 6, respectively. While transaction costs significantly reduce the returns of factor investing, higher portfolio turnover facilitates timely incorporation of the latest financial information to the portfolio. Since the positive effects of increased returns outweigh the negative effects of rising transaction costs, quarterly rebalanced portfolios outperform their annually rebalanced counterparts.
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    110351027
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110351027
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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