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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 黃志典 | |
| dc.contributor.author | Tzu-Hua Huang | en |
| dc.contributor.author | 黃姿樺 | zh_TW |
| dc.date.accessioned | 2021-06-08T04:28:52Z | - |
| dc.date.copyright | 2010-02-04 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-01-26 | |
| dc.identifier.citation | References (Chinese)
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(陳怡雯，2000，｢台灣證券交易所發行量加權指數未納入現金股利之再投資因素對投資報酬及基金績效衡量之影響｣，政治大學財務管理研究所，pp. 20-22。) Huang, C. C., 1998, “The Special Characteristics and Near Approximations of the Holding Period Return of R.O.C. Government Bonds”, National Taiwan University, Taipei City. (黃嘉琪，1998，｢台灣公債持有期間報酬特性及其近似估計｣，台灣大學商學研究所。) Huang, C. H., 2006, “An Asset Allocation Perspective of Hedge Fund Performance by Using Tests of Mean-Variance Spanning', National Chung Cheng University, Chiayi County. (黃昭蕙，2006，｢以資產配置觀點探討評量避險基金之績效-使用Mean-Variance Spanning｣，國立中正大學，財務金融研究所。) Huang, C. J., 2002, “Empirical Study on Time Diversification Effect: The Cases of Major International Stock Markets”, National Taiwan University of Science and Technology, Taipei City, pp. 2, 5-6. (黃俊傑，2002，｢時間分散風險理論的實證研究-以主要國際股市為例｣，國立台灣科技大學企業管理研究所，pp. 2, 5-6。) Huang, H. H., 2002, “Optimal Dynamic Asset Allocation and Rational Expectations Equilibrium”, National Taiwan University, Taipei City, pp. 1-5. (黃鴻禧，2002，｢適動態資產配置暨理性預期均衡｣，台灣大學財務金融研究所，pp. 1-5。) Hwang, J. D., 2007, Financial Markets: Theory and Practice, 1th edition, Future Culture Co., Ltd.. (黃志典，2007，金融市場：理論與實務，初版，前程文化。) Jiang, Y. M., 2003, Financial Modeling, 3th edition, Shin Lou Book Co., Ltd.. (姜堯民，2003，財務軟體應用，第三版，新陸書局。) Liang, H. N., 2003, “An Empirical Study of Government Bond Auction in Taiwan”, Shih Hsin University, Taipei City, pp. 3-8. (梁蕙年，2003，｢台灣公債標售之實證研究｣，世新大學經濟學研究所，pp. 3-8。) Liao, C. F., 2007, “Essays on International Portfolio Allocation”, National Chengchi University, Taipei City. (廖志峰 ，2007，｢國際投資組合研究｣，政治大學金融研究所。) Lin, C. J., 1996, “Empirical Study on the Relationship between Investment Horizon and Risk Diversification”, National Taiwan University, Taipei City. (林真如，1996，｢投資持有期間與資產風險分散關係之研究｣，台灣大學財務金融研究所。) Lin, S. W., 2008, “An Empirical Study of Asset Returns and Risks in Taiwan”, National Taiwan University, Taipei City, pp. 14-45. (林舒莞，2008，｢台灣主要投資工具報酬率與風險分析｣，台灣大學國際企業研究所，pp. 14-45。) Song, K. C., 2003, “A Research on the Comparison of Individual Income Tax System between Taiwan and Mainland China”, National Cheng Kung University, Tainan City, pp. II-III, 35-41. (宋肯璋，2003，｢兩岸個人所得稅制度之比較研究｣，成功大學企業管理學系專班，pp. II-III, 35-41。) Tsai, H. J., 2002, “Optimal Consumption and Portfolio Choice for Long-Horizon Investors in a Dynamic”, National Taiwan University, Taipei City, pp. 1-2. (蔡蕙如，2002，｢動態投資環境下長期投資人之最佳消費與投資組合決策｣，台灣大學國際企業研究所，pp. 1-2。) Tseng, C. C., 2007, “A Study on the Relationship between Returns and Holding in Dollar Cost Average”, National Kaohsiung First University of Science and Technology, Kaohsiung City. (曾昭智，2007，｢定期定額基金報酬與持有期間之相關聯性研究｣，國立高雄第一科技大學財務管理研究所。) Yang, W. H., 2000,“The Time Diversification Effect on Risk and Return in the Taiwan Stock Market”, National Cheng Kung University, Tainan City, pp. 1, 3-5. (楊文惠，2000，｢台灣股市風險與報酬之時間分散效果｣，成功大學企業管理學研究所，pp. 1, 3-5。) References (English) Bain, L. J. and Englhardt, M., 1992, Introduction to Probability and Mathematical Statistics, 2th edition, Duxbury Inc, pp.177-179. Barberis, N., 2000, “Investing for the Long Run when Returns Are Predictable”, The Journal of Finance, Vol. 55, No. 1, pp.225-264 Brealey, R. A. and Myers S. C., 2004, Principles of Corporate Finance, 7th edition, McGraw-Hill Education (Asia), pp.187-209. Campbell, J. Y., and Viceira1, L. M., 2002, “The Term Structure of the Risk-Return Trade-off”, the Economics Department, Harvard University, pp. 10-15. Chung, S. F. and Wei, P. W., 2005, “The Relationship between Bid–Ask Spreads and Holding Periods: The Case of Chinese A and B Shares”, Global Finance Journal, Vol. 15, pp. 239-249. Fisher, K. L. and Statman, M., 1999,“A Behavioral Framework for Time Diversification” Financial Analysts Journal, pp.88-98. Gujarati, D. N., 2006, Essentials of Econometrics, 3th edition, McGraw-Hill Education (Asia), pp. 133-155. Kim, T. S., and Omberg, E., 1996, “Dynamic Nonmyopic Portfolio Behavior,” The Review of Financial Studies, Vol. 9, No. 1, pp. 141–161. Krugman, P. R., Obstfeld, M., 2007, International Economics Theory and Policy, 7th edition, Pearson, Addison Wesley Pearson, Addison Wesley, pp. 470-474. Markowitz, H. M., 1952, “Portfolio Selection”, Journal of Finance, Vol.7, No.1, pp. 77-91. Parkin, M., 2003, Economics, 6th edition, Pearson, Addison Wesley, pp. 466-469. Shapiro, A. C., 2004, Foundation of Multinational Financial Management, 3th edition, John Wiley and Sons Inc, p. 37-41. Sharp, W. F., 1964, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, Journal of Finance, Vol.19, No.3, pp. 425-442. Sharp, W. F., 1994, “The Sharp Ratio”, Journal of Portfolio Management, Vol. 21, No. 1, pp. 49-58. Siegel, J. J., 2004, Stocks for the Long Run, Irwin, Burr Ridge Ill, pp. 3-41. Tobin, J. 1958, “Liquidity Preference as Behavior Towards Risk”. The Review of Economic Studies, Vol. 25, No. 2, pp.65–86. Winfried, G. H., 2003, “Holding Period Return-Risk Modeling: Ambiguity in Estimation”, ERIM Report Series Research in Management, pp.2-4. Zhou, C. H. 1996, “Stock Market Fluctuations and the Term Structure”, Federal Reserve Board, Washington DC, pp. 10-14. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22805 | - |
| dc.description.abstract | 本研究有兩大主題，一為分析台灣的股票、政府公債、黃金、房地產與定期存款在長期持有下的報酬率與風險變化，並以夏普指標比較各投資工具在不同持有期間下的投資績效。另一研究主題為以台股指數、道瓊工業指數、日經指數以及英國富時指數建立國際投資組合，根據效率前緣和資本市場線找出最適投資組合，並以夏普指標和單一國家投資組合做投資績效之比較，確立國際投資組合之存在價值。
本研究蒐集各投資工具的歷史資料，並建立適切的衡量指標，以計算投資風險和報酬率。其中為了要將台灣加權指數加入股利再投資的影響，以及估計房地產的價值，歷史資料的取得與整理耗費許多時間。主要研究發現如下： 1. 從1967年至2008年之四十一年期間，所有投資工具的報酬率變異程度隨著持有期間的拉長而逐年下降，證實了時間分散風險效果。其中股票的報酬率變異程度在長期持有下降低最明顯，時間分散風險效果最佳。 2. 以夏普指標做為衡量標準，在各個持有期間下，每承擔一單位的風險，投資股票都可以得到最大的額外報酬，其次依次為房地產、政府公債、定期存款和黃金。而且隨著持有期間拉長，股票的夏普指數成長幅度最為明顯。綜述以上兩點，長期持有股票為不錯的投資策略。 3. 以夏普指標做為衡量標準，國際投資組合的投資績效優於投資單一國家之投資組合，證實前者有較佳的風險分散效果。其中根據效率前緣和資本市場線找出的最適投資組合，每承擔一單位的風險，可得到最大的額外報酬。建議投資人可以根據個人的風險偏好，投資於不同國家。 | zh_TW |
| dc.description.abstract | There are two main purposes in this study. One is empirically analyzing the risks and returns of stocks, government bonds, gold, real estate, and time deposit in Taiwan over various holding periods to compare their performances. The other one is constructing an international portfolio of TAIEX, DJIA, Nikkei 225, and FTSE 100, finding the optimal portfolio, and comparing the performance of investing internationally to that of investing domestically to examine whether international portfolios can dominate domestic portfolios. To incorporate the effect of cash dividend reinvestment into TAIEX and estimate the value of real estate, it took a lot of time and efforts for us to collect and organize the historical data of cash dividend and real estate.
The three major findings of this study are as follows: I. From 1967 to 2008, the volatility of each asset decreases as investment horizon increases, which verifies the time diversification effect. And the volatility of stocks declines most rapidly in the long run. II. The Sharp Indices of stocks in each holding period are the highest and increase dramatically with investment horizon extending. This implies that stock is the optimal investment regardless of holding interval and investors can invest in stocks with buy-and-hold strategy in the long run to earn long-term profits. III. Measured by the Sharp Index, the performance of international portfolios is better than that of domestic portfolios. Investors can construct portfolios with international investments according to their risk preference. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T04:28:52Z (GMT). No. of bitstreams: 1 ntu-99-R96724026-1.pdf: 1096201 bytes, checksum: f1ed3d7e9f9cb5655e576f6b42750146 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | Thesis Committee Signature Form I
Acknowledgements II Abstract (Chinese) III Abstract (English) IV Table of Contents V List of Figures VII List of Tables VIII Chapter One: Introduction 1 1.1 Research Motives 1 1.2 Research Purposes 2 1.3 Framework of this Study 3 Chapter Two: Literature Review 5 2.1 Asset Returns, Risks, and Holding Periods 5 2.2 International Portfolio 13 Chapter Three: Research Method 19 3.1 Data Description 19 3.2 Assumptions 24 3.3 Research Design and Methodology 25 3.3.1 The Nominal Rate of Return 25 3.3.2 The Real Rate of Return 33 3.3.3 Taxation 35 3.3.4 The Holding Period Analysis 36 3.3.5 Sharp Index 37 3.3.6 International Portfolio 38 Chapter Four: Empirical Results 40 4.1 Asset Returns and Risks 40 4.1.1 Asset Real Returns and Risks with One-Year Holding Period 40 4.1.2 The Accumulated Nominal Return of Assets 51 4.1.3 The Accumulated Real Return of Assets 53 4.2 Holding Period Analysis 55 4.2.1 Average Real Return 55 4.2.2 The Volatility of Real Return 56 4.2.3 The Sharp Index 61 4.3 International Portfolio 62 Chapter Five: Conclusions and Restrictions 66 5.1 Conclusions 66 5.1.1 Assets Real Returns and Risks 67 5.1.2 Holding Period Analysis 68 5.1.3 International Portfolio 71 5.2 Restrictions 72 References (Chinese) 74 References (English) 78 Appendix: Revision 80 | |
| dc.language.iso | en | |
| dc.subject | 持有期間 | zh_TW |
| dc.subject | 風險分散 | zh_TW |
| dc.subject | 國際投資組合 | zh_TW |
| dc.subject | 效率前緣 | zh_TW |
| dc.subject | 投資組合理論 | zh_TW |
| dc.subject | Sharp Index | en |
| dc.subject | holding period | en |
| dc.subject | Risk-Return Trade-off | en |
| dc.subject | modern portfolio theory | en |
| dc.subject | diversification | en |
| dc.subject | international portfolio | en |
| dc.subject | efficient frontier | en |
| dc.title | 主要投資工具在長期持有下的報酬率與風險分析：以台灣為例 | zh_TW |
| dc.title | An Empirical Study on Asset Returns and Risks in the Long Run:The Case of Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳明賢,胡星陽 | |
| dc.subject.keyword | 持有期間,投資組合理論,風險分散,國際投資組合,效率前緣, | zh_TW |
| dc.subject.keyword | holding period,Risk-Return Trade-off,modern portfolio theory,diversification,international portfolio,efficient frontier,Sharp Index, | en |
| dc.relation.page | 85 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-01-26 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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