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Author: 陳柏璁
Po-Tsung Chen
Thesis Title: 強烈買進指標(The Index of Strong Buy)之實證研究-以台灣金融業為例
Empirical Study on the Index of Strong Buy-Using Financial industry in Taiwan as An Example
Advisor: 黃瑞卿
Rachel-Juiching Huang
Committee: 曾郁仁
none
陳俊男
none
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2014
Graduation Academic Year: 102
Language: 中文
Pages: 44
Keywords (in Chinese): 金融股票市場強烈買進指標績效指標
Keywords (in other languages): Financial stock market, Index of Strong Buy, performance indicator
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過去十幾年來,隨著金融市場蓬勃發展,金融商品也不斷地多元化,人們享受到了經濟成長的好處,然而,在追求利潤與績效的同時,似乎忘記了風險正在逐步提升。因此,本研究將以台灣上市公司的金融業市場資料作為研究標的,以Huang, Huang, Tzeng, and Wang (2012)所發表的強烈買進指標做為新績效指標B(g)。藉由此新的績效衡量指標,觀察B(g)對於大盤報酬的相關性,並將B(g)作為選股策略,期望能夠發展出新的一套投資策略,賺取超額報酬。
本研究利用B(g)與金融業的基本面做分析,金融業的報酬率、ROE、風險溢酬皆與B(g)呈現高度的正相關,而金融業的規模大小與B(g)呈現高度負相關。對於金融業報酬率而言,ROE、風險溢酬與報酬率呈現正相關;其中規模大小與之為負相關。
當B(g)與金融業做回歸分析,我們得到B(g)對於金融業有很強的解釋能力;金融業的風險溢酬也增加了對金融業報酬率的解釋。我們若再將金融業別分別與報酬率作比較,金控的報酬率比起銀行業與保險業來的高。進一步分析發現,B(g)增加時,金控報酬率同樣比另外兩個類別來的高。同時,本研究利用強烈買進指標B(g)所做出的投資組合報酬率R(B),選取三個指數,分別是加權指數、金融指數與台灣50指數作為比較對象,由B(g)所做出的投資組合為一防禦型的投資策略。而R(B)與指數報酬率所建構的OLS分析則顯示我們的B(g)投資策略並不能夠在金融股票市場中獲得正的報酬。


Over the past ten years, with the vigorous development and diversified financial market, people enjoyed the benefits of economic growth. However, they already forgot that the risk was increased gradually when pursuing the profit and performance at the same time. Hence, this paper take listed companies from financial industry for our target companies, and use the Index of Strong Buy (Huang, Huang, and Wang, 2012), named B(g), as a performance indicator, in order to test the new indicator’s performance in Taiwan stock market. Moreover, we expect to construct an invested strategy to earn abnormal return.
We find B(g) has highly positive correlation to rate of return, ROE, and risk premium, but negative to size of financial industry. In term of rate of return to financial industry, it has same effect with B(g).
B(g) can be explained by changes the risk premium of financial industry. Furthermore, Financial holding’s rate of return is higher than the other financial industry. If B(g) raises, Financial holdings can earn even more compare to others. When we utilize B(g) to construct a strategy, results seem to suggest that it is a defensive strategy and tends to outperform it inefficient on Taiwan stock market.

誌謝 中文摘要 ABSTRACT 目錄 圖目錄 表目錄 第一章緒論 1.1研究動機 1.2研究目的 1.3研究架構 第二章文獻回顧 2.1強烈買進指標 2.2其他常用風險指標 2.2.1Aumann and Serrano 風險指標 2.2.2Hong and Zhai風險指標 2.2.3風險值(VaR) 2.3績效指標 2.3.1夏普指標 2.3.2崔娜指標 第三章研究方法 3.1強烈買進指標 3.2實證模型 第四章資料與基本統計量 第五章實證結果與分析 5.1報酬率與B(g)之關係 5.2與夏普指數之比較 5.3迴歸分析 第六章投資策略之建構與分析 6.1投資策略 6.2迴歸模型 6.3迴歸結果分析 第七章結論與建議 7.1研究結論 7.2研究限制與建議 附錄一 附錄二 附錄三 參考文獻

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