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    Title: 以財務指標預測台股橫斷面期望報酬
    Cross-Sectional Return Predictability of Financial Indicators in Taiwan
    Authors: 蔣佳穎
    Jiang, Jia-Ying
    Contributors: 鍾令德
    蔣佳穎
    Jiang, Jia-Ying
    Keywords: 因子投資
    財務特徵
    Factor investing
    Accounting characteristics
    Date: 2022
    Issue Date: 2022-07-01 15:58:01 (UTC+8)
    Abstract: 因子投資近年來深受金融市場關注,業界與學界均提出數以百計的因子投資策略。投資者網羅股票的各種特徵,作為評選投資組合的基準,從而創造超額報酬。本文擷取共80個由Chen and Zimmermann (2021)所整理出的財務特徵,將其歸納為6大類別:盈餘及盈餘組成、財務槓桿、資產與資本投資、營運資產、企業銷售及利潤、企業價值評估,並透過回測以各單一財務指標建立多空投資策略,檢視每項因子在台股市場的表現,本研究所使用的在80個財務特徵中,僅有21個能有效獲取超額報酬。其中盈餘、投資與營運相關的財務特徵,才相對能產生有效的投資策略,可證財務因子在台股市場的比現和美股市場不盡相同。
    Factor investing is becoming increasingly popular among the investment community in recent years. To capture abnormal return, hundreds of factor investing strategies have been created. This article examines the return predictability of 80 accounting characteristics solicited by Chen and Zimmermann (2021) in the Taiwanese stock market. We classify the accounting characteristics into 6 groups: earnings and earnings components, financial leverage, assets and capital investment, operating assets, sales and revenue and company valuation. After back testing all 80 long-short strategies constructed by sorting stocks on individual accounting characteristics, we find that only 21 accounting characteristics are able to generate abnormal return in the Taiwanese stock market. In particular, accounting characteristics that are related to earnings, corporate investment, and operating performance are relatively effective in generating profitable trading strategies. Our research highlights salience differences in the performances of accounting based investment factors between Taiwan and the US.
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    108351010
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108351010
    Data Type: thesis
    DOI: 10.6814/NCCU202200466
    Appears in Collections:[Department of International Business] Theses

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