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    Title: 基本價值加權法投資策略之應用台灣市場實證
    Application of the basic value-weighted method investment strategy in the Taiwan market empirical
    Authors: 林暐龍
    Contributors: 郭維裕
    林暐龍
    Keywords: 基本價值加權法
    Date: 2013
    Issue Date: 2014-07-21 15:34:23 (UTC+8)
    Abstract: 如何建構出績效好且具效率的投資組合一直是實務界和學術界的討論重點,由Dow and Jones 於1884 年利用11 家公司股票,透過價格加權平均所合編的道瓊平均指數是全世界最早的股價指數。1913年,Cowles 採用市值加權平均指數奠定了S&P500 指數的基礎,目前市場上指數主要建構方式多類似S&P500 市值加權指數。此篇論文主要根據Chen, Chen, and Bassett (2007)的基本價值加權法來研究台灣50市值權重的分配,探討其績效表現以及台灣產業概況在不同權重配置策略下,是否可以得到和國外市場相同的顯著卓越效果為本研究主要研究目的,並且根據報酬績效、
    風險指標、產業分析比較的三大面向和以市值加權的台灣五十作對照的探討。本研究實證結果發現基本價值法加權指數概念相對市值加權來說,對於台灣上市公司之報酬績效、風險指標皆獲得相對較優越的結果
    Reference: 國內文獻
    1. 李雅璇,2013。以巴菲特選股模式建構基本面投資組合:在台股之實證研究。國立中央大學,碩士論文。
    2. 徐上翔,2012。基本面指數化在台灣股票市場的應用。國立中興大學,碩士論文。
    3. 孫逸寰,2009。基本面指數化策略之實證研究:以台灣股市為例。國立中央大學,碩士論文。
    4. 鄭義、湯雲鶴,2006。基本面加權指數:台灣市場TWFI100 指數驗證。貨幣觀測與信用評等,第59 期, 9-19頁。
    5. 蘇新為,2012。基本面投資組合策略之應用台灣市場實證。國立政治大學,碩士論文。
    國外文獻
    1. Arnott, Robert D., Hsu, Jason C., Moore, Philip, 2005. Fundamental indexation. Financial Analysts Journal 61(2), 83–99.
    2. Chen, Chen, Chen, Rong, Bassett, Gilbert W., 2007. Fundamental indexation via smoothed cap weights. Journal of Banking and Finance,
    39
    vol. 31, no. 11, 3486-3502.
    3. Chopra, Navin, Lakonishok, Josef, Ritter, Jay R., 1992. Measuring abnormal performance. Journal of Financial Economics 31, 235-268.
    4. Cowles, Alfred, 1932, Can Stock Market Forecasters Forecast?, Econometrica, volume 1, issue 3, 309-324
    5. De Bondt, Werner F.M., Thaler, Richard, 1985. Does the stock market overreact? The Journal of Finance XL (3), 793-805.
    6. De Bondt, Werner F.M., Thaler, Richard, 1987. Further evidence on investor overreaction and stock market seasonality. The Journal of Finance XLII (3), 557-581.
    7. DiBartolomeo, D., 2000. The enhanced index fund as an alternative to indexed equity management. Working paper, Northfield Information Services.
    8. Eugene F. Fama, 1970. Efficient capital markets: A review of theory and empirical work. The Journal of Finance, volume 25, issue 2, 383–417, May
    9. Harry Markowitz, 1952. Portfolio selection. The Journal of Finance, volume 7, issue 1, 77-91, March
    10. Hsu, Jason C., Campollo, Carmen, 2006. New frontiers in index investing: An examination of fundamental indexation. Journal of Indexes, January/February
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    101351001
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101351001
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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