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| Title: | 使用主投資組合探討台灣股票市場的基本面指標信號
Exploring Fundamental Indicator Signals in the Taiwan Stock Market by the Principal Portfolio Analysis |
| Authors: | 陳碩川
Chen, Shou-Chuan |
| Contributors: | 羅秉政
Kendro Vincent
陳碩川
Chen, Shou-Chuan |
| Keywords: | 主成分投資組合
異常策略
信號矩陣
對稱與反對稱分解
風險調整報酬
Fama-French 五因子模型
交叉預測能力
Principal Portfolio
Anomaly Strategy
Signal Matrix
Symmetric and Antisymmetric Decomposition
Risk-adjusted Return
Fama-French Five-Factor Model
Cross-Predictability |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:18:00 (UTC+8) |
| Abstract: | 本論文應用主成分投資組合（Principal Portfolio）方法，分析台灣股市中基於異常報酬的投資策略。研究中以 64 個來自財務報表的異常因子構成預測信號矩陣，透過對預測報酬矩陣進行特徵值分解，萃取出三類正交主成分投資組合：主成分投組（PP）、對稱主成分投組（PEP）與反對稱主成分投組（PAP）。
實證結果顯示，反對稱組合（PAP1– PAP3）在風險調整後的報酬表現上優於其他類型，特別是在一個月落後報酬作為信號的設定下（S_lag1）。進一步與 Fama-French 五因子模型的迴歸分析亦顯示，PAP 組合的報酬較少受到傳統風險因子的解釋，凸顯其潛在的交叉預測能力。
此外，本研究亦比較不同信號定義（如落後報酬與累積報酬）對組合表現的影響。結果指出，雖然累積報酬可提升對稱組合的穩定性，但同時可能削弱反對稱組合的預測能力。整體而言，本研究驗證主成分投資組合分解法能有效提升信號解釋性、捕捉異常報酬中的交叉預測結構，並具備應用於新興市場資產配置的潛力。
This thesis applies the Principal Portfolio framework to anomaly-based strategies in Taiwan’s stock market. Using 64 firm-level accounting signals, we construct a predictive matrix and derive three types of orthogonal portfolios: Principal Portfolios (PP), Symmetric Principal Portfolios (PEP), and Antisymmetric Principal Portfolios (PAP), via eigenvalue decomposition.
Empirical results show PAP1– 3 achieves the highest risk-adjusted returns under the one-month lag signal (S_lag1), outperforming other strategies. Regression analysis confirms these returns are less explained by Fama-French factors, suggesting strong cross-predictive signals.
We also compare lagged and cumulative signals. While cumulative returns benefit symmetric portfolios, they weaken antisymmetric performance. Overall, the PAP structure best captures anomaly interactions, offering superior alpha and robustness in portfolio construction. |
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| Description: | 碩士
國立政治大學
金融學系
112352024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112352024 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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