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| 研究生： |
楊士醇 Yang, Shih-Chun |
|---|---|
| 論文名稱： |
價值因子在中國股市投資策略上的應用 The application of value factors in China stock market investment strategy |
| 指導教授： |
黃裕烈
Huang, Yu-Lieh |
| 口試委員: |
徐士勛
徐之強 吳俊毅 |
| 學位類別： |
碩士 Master |
| 系所名稱： |
科技管理學院 - 財務金融 Master Program of Finance and Banking |
| 論文出版年： | 2019 |
| 畢業學年度： | 107 |
| 語文別： | 中文 |
| 論文頁數： | 23 |
| 中文關鍵詞： | 價值因子 、中國股市 、中證500指數 、投資策略 、股利率 、淨值股價比 |
| 外文關鍵詞： | value factor, China stock market, CSI 500 index, investment strategy, dividend yield, market to book ratio |
| 相關次數： | 點閱：2 下載：0 |
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本文探討，價值因子在中國股市投資策略上的應用。運用9種實務中常用的價值因子，建構單因子模型，以中證500指數為對照組，建構投資組合進行回測，研究回測期間為2008年1月至2017年12月。經本文研究結果發現，利用9種價值因子篩選過後的投資組合，因子強度最強的前20% 股票所組成的投資組合績效皆能勝過對照組，近12個月股利率最高的投資組合不僅績效能穩定勝過大盤，亦能有效降低波動，其中股利率最高的前 20% 投資組合表現最佳。另外，本研究亦發現高淨值股價比的投資組合有降低最大回檔幅度的效果。
This study explores the application of value factors in China's stock market investment strategy. We used 9 different value factors to construct a one-factor model, and used the CSI 500 index as the control group (the benchmark) to construct a portfolio for back-testing. The back-test period was from January 2008 to December 2017. According to the results of this paper, the portfolios of the top 20% stocks with the strongest factor strength can outperform the control group by the 9 value factors. The portfolio with the higher dividend yield in the past 12 months can not only outperform the benchmark, but also be able to reduce volatility effectively. The portfolio of the top 20% stocks with highest dividend yield performed the best. In addition, the study also found that the portfolio with low market to book ratio (or high book to market ratio) can reduce the portfolio’s maximum drawdown effectively.
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