請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/93108完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 張森林 | zh_TW |
| dc.contributor.advisor | San-Lin Chung | en |
| dc.contributor.author | 李律寬 | zh_TW |
| dc.contributor.author | Lu-Kuan Lee | en |
| dc.date.accessioned | 2024-07-17T16:27:31Z | - |
| dc.date.available | 2024-07-18 | - |
| dc.date.copyright | 2024-07-17 | - |
| dc.date.issued | 2024 | - |
| dc.date.submitted | 2024-07-12 | - |
| dc.identifier.citation | [1] 莊蕎安（2018）。指數投資交易策略。會計研究月刊，(389)，80-83。https://doi.org/10.6650/ARM.201804_(389).0013
[2] Abuaf, N., Ayala, T., & Sinclair, D. (2019). Global equity investing: An efficient frontier approach. International finance, 22(1), 70-85. [3] Bai, Q., Bond, S. A., & Hatch, B. C. (2012, August). The impact of leveraged and inverse ETFs on underlying stock returns. In 46th Annual AREUEA Conference Paper. [4] Berndt, E. R., & Savin, N. E. (1977). Conflict among criteria for testing hypotheses in the multivariate linear regression model. Econometrica: Journal of the Econometric Society, 1263-1277. [5] Brailsford, T., Gaunt, C., & O’Brien, M. A. (2012). Size and book-to-market factors in Australia. Australian Journal of Management, 37(2), 261-281. [6] Charupat, N., & Miu, P. (2011). The pricing and performance of leveraged exchange-traded funds. Journal of Banking & Finance, 35(4), 966-977. [7] Chen, H. C., Chung, S. L., & Ho, K. Y. (2011). The diversification effects of volatility-related assets. Journal of Banking & Finance, 35(5), 1179-1189. [8] Cheng, M., & Madhavan, A. (2009). The dynamics of leveraged and inverse exchange-traded funds. Journal of investment management, 16(4), 43. [9] Cheung, C. S., Kwan, C. C., & Mountain, D. C. (2009). On the nature of mean-variance spanning. Finance Research Letters, 6(2), 106-113. [10] Christiansen, C., Joensen, J. S., & Nielsen, H. S. (2007). The risk-return trade-off in human capital investment. Labour Economics, 14(6), 971-986. [11] da Costa Neto, A. F., Klotzle, M. C., & Figueiredo Pinto, A. C. (2019). Investor behavior in ETF markets: A comparative study between the US and emerging markets. International Journal of Emerging Markets, 14(5), 944-966. [12] DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?. The review of Financial studies, 22(5), 1915-1953. [13] DeRoon, F. A., & Nijman, T. E. (2001). Testing for mean-variance spanning: a survey. Journal of empirical finance, 8(2), 111-155. [14] DiLellio, J. A., Hesse, R., & Stanley, D. J. (2014). Portfolio performance with inverse and leveraged ETFs. Financial Services Review, 23(2), 123-149. [15] Dulaney, T., Husson, T., & McCann, C. J. (2012). Leveraged, Inverse, and Futures-Based Etfs. PIABA Bar Journal, 19(1). [16] Elhadary, O. (2021). Using the industry-based fama-french model to evaluate industry portfolios. Journal of Accounting and Finance, 21(2), 24-40. [17] Eugene, F., & French, K. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427-465. [18] Fama, E. F., & French, K. R. (1995). Size and book‐to‐market factors in earnings and returns. The journal of finance, 50(1), 131-155. [19] Ferson, W. E., Foerster, S. R., & Keim, D. B. (1993). General Tests of latent variable models and mean‐variance spanning. the Journal of Finance, 48(1), 131-156. [20] Giese, G. (2010). On the performance of leveraged and optimally leveraged investment funds. Available at SSRN 1510344. [21] Giese, G. (2010). On the risk-return profile of leveraged and inverse ETFs. Journal of Asset Management, 11(4), 219-228. [22] Glabadanidis, P. (2009). Measuring the economic significance of mean-variance spanning. The Quarterly Review of Economics and Finance, 49(2), 596-616. [23] Guedj, I., Li, G., & McCann, C. (2010). Leveraged and Inverse ETFs, Holding Periods, and Investment Shortfalls. The Journal of Index Investing, 1(3), 45-57. [24] Holzhauer, H., Lu, X., McLeod, R., & Mehran, J. (2013). How long is too long? Volatility-based holding strategies for leveraged bull and bear ETFs. Journal of Finance Issues, 12(1), 35-52. [25] Huberman, G., & Kandel, S. (1987). Mean‐variance spanning. The Journal of Finance, 42(4), 873-888. [26] Jarrow, R. A. (2010). Understanding the risk of leveraged ETFs. Finance Research Letters, 7(3), 135-139. [27] Jiang, W., & Yan, H. (2012). Financial innovation, investor behavior, and arbitrage: Implications from levered ETFs. Working paper. [28] Jiang, X., & Peterburgsky, S. (2017). Investment performance of shorted leveraged ETF pairs. Applied Economics, 49(44), 4410-4427. [29] Kan, R., & Zhou, G. (2012). Tests of mean-variance spanning. Annals of Economics and Finance, 13(1),145–193. [30] Kothari, S. P., & Shanken, J. (2004). Asset allocation with inflation-protected bonds. Financial Analysts Journal, 60(1), 54-70. [31] Lam, K. S. (2002). The relationship between size, book-to-market equity ratio, earnings–price ratio, and return for the Hong Kong stock market. Global finance journal, 13(2), 163-179. [32] Lu, L., Wang, J., & Zhang, G. (2009). Long term performance of leveraged ETFs. Available at SSRN 1344133. [33] Markowitz, H. (1952). The utility of wealth. Journal of political Economy, 60(2), 151-158. [34] McNevin, B. D., & Nix, J. (2018). An Application of Wavelets to Finance: The Three-Factor Fama/French Model. In Wavelet Theory and Its Applications. IntechOpen. [35] Modigliani, F., & Modigliani, L. (1997). Risk-adjusted performance. Journal of portfolio management, 23(2), 45-54. [36] Peñaranda, F., & Sentana, E. (2012). Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach. Journal of Econometrics, 170(2), 303-324. [37] Peterburgsky, S. (2018). Leveraged ETF pairs: An empirical evaluation of portfolio performance. Available at SSRN 3264865. [38] Schubert, L., & Schubert, D. (2017). Estimation of holding periods applied to the case of short and leveraged ETFs. Atlantic Review of Economics, 1. [39] Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138. [40] Shum Nolan, P. (2012). The long and short of leveraged ETFs: The financial crisis and performance attribution. Available at SSRN 1646160. [41] Shum, P., Hejazi, W., Haryanto, E., & Rodier, A. (2016). Intraday share price volatility and leveraged ETF rebalancing. Review of Finance, 20(6), 2379-2409. [42] Tai, C. S. (2003). Are Fama–French and momentum factors really priced?. Journal of Multinational Financial Management, 13(4-5), 359-384. [43] Tobin, J. (1958). Liquidity preference as behavior towards risk. The review of economic studies, 25(2), 65-86. [44] Trainor Jr, W. J. (2010). Do leveraged ETFs increase volatility. Technology and Investment, 1(3), 215. [45] Yagi, I., & Mizuta, T. (2016, September). Analysis of the impact of leveraged etf rebalancing trades on the underlying asset market using artificial market simulation. In 12th Artificial Economics Conference (pp. 1-11). | - |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/93108 | - |
| dc.description.abstract | 近年來槓桿型ETF發展迅速，成為投資人熱門的標的之一。本研究旨在探討槓桿型ETF在投資組合中的分散效益，並具體分析了標普500指數、美國20年期以上公債、房地產和黃金四個主題的槓桿型ETF。研究的主要目標是檢驗將槓桿型ETF納入投資組合是否能夠擴張效率前緣曲線，並探討不同主題類型對此效果的影響。
本研究對槓桿型ETF進行平均數變異數擴張檢定，結果顯示，加入槓桿型ETF能顯著擴展投資組合的效率前緣曲線，特別是對全域最小變異數投資組合，而切點投資組合的改善則相對不顯著。然而，若將原型ETF納入基準投資組合並加入槓桿型ETF，則切點投資組合和全域最小變異數投資組合皆能獲得顯著擴張，且任一基準投資組合結果一致。同時，夏普比率和M2測度變化量也顯示，投資組合的效益得到了顯著改善。 本研究進一步探討了切點投資組合中槓桿型ETF和原型ETF的配置權重，發現多數情況下，槓桿型ETF與相應原型ETF在投資組合中的最佳配置為近似-1：2比例的權重，這種配置策略能有效降低整體投資組合風險，同時提高風險調整後的報酬。此外，研究發現波動率和無風險利率皆會影響該配置策略的報酬率，並根據ETF主題影響程度有所不同。最後，樣本外測試結果與平均數變異數擴張檢定結果多數一致，進一步證實了槓桿型ETF的分散效益。 總體而言，本研究表明槓桿型ETF在投資組合中，透過特定的配置，能顯著提升投資組合的分散效益，為投資者提供了有價值的參考，協助其做出更明智的投資決策。 | zh_TW |
| dc.description.abstract | In recent years, leveraged ETFs have developed rapidly and become a popular investment choice for investors. This study aims to explore the diversification benefits of leveraged ETFs in investment portfolios through analyzing leveraged ETFs tracking the S&P 500 Index, U.S. 20+ year Treasury bonds, real estate, and gold. The primary objective is to examine whether incorporating leveraged ETFs into investment portfolios can expand the efficient frontier and to investigate the effects of different thematic types on this outcome.
This study conducted mean-variance spanning tests on leveraged ETFs. The results indicate that adding leveraged ETFs can significantly expand the efficient frontier of investment portfolios, particularly for the global minimum variance portfolio, whereas the improvement for the tangency portfolio is relatively insignificant. However, if prototype ETFs are included in the benchmark portfolio along with leveraged ETFs, both the tangency portfolio and the global minimum variance portfolio can achieve significant expansion, with consistent results across various benchmark portfolios. Additionally, changes in the Sharpe ratio and M2 measure demonstrate significant improvements in portfolio performance. Further analysis of the allocation weights of leveraged and prototype ETFs in the tangency portfolio reveals that, in most cases, the optimal allocation is approximately a -1:2 ratio of leveraged to prototype ETFs. This allocation strategy effectively reduce the overall portfolio risk while improving risk-adjusted returns. Additionally, the study finds that both volatility and risk-free interest rates affect the returns of this allocation strategy, with varying impacts depending on the ETF theme. Finally, the out-of-sample test results are largely consistent with the mean-variance spanning test results, further confirming the diversification benefits of leveraged ETFs. Overall, this study demonstrates that leveraged ETFs, when appropriately selected and allocated in investment portfolios, can significantly enhance the diversification benefits of the portfolio, providing valuable insights for investors to make more informed investment decisions. | en |
| dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2024-07-17T16:27:31Z No. of bitstreams: 0 | en |
| dc.description.provenance | Made available in DSpace on 2024-07-17T16:27:31Z (GMT). No. of bitstreams: 0 | en |
| dc.description.tableofcontents | 口試委員會審定書 i
摘要 ii ABSTRACT iii 目次 v 圖次 vii 表次 ix 第一章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 5 1.3 論文架構 6 第二章 文獻探討 7 2.1 槓桿型ETF之現況和相關研究 7 2.2 檢定方法 10 2.3 基準投資組合 11 第三章 研究方法 15 3.1 研究資料 15 3.1.1 資料來源 15 3.1.2 資料期間與頻率 16 3.2 平均數變異數擴張檢定 17 3.2.1 基本假設 18 3.2.2 檢定方法 19 第四章 研究結果 22 4.1 敘述性統計 22 4.2 平均數變異數擴張檢定 28 4.3 樣本外測試 60 第五章 結論與後續研究 62 5.1 結論 62 5.2 後續研究 64 參考文獻 65 附錄一、圖 69 附錄二、表 86 | - |
| dc.language.iso | zh_TW | - |
| dc.subject | 槓桿型ETF | zh_TW |
| dc.subject | 效率前緣曲線 | zh_TW |
| dc.subject | 投資組合 | zh_TW |
| dc.subject | 平均數變異數擴張檢定 | zh_TW |
| dc.subject | 夏普比率 | zh_TW |
| dc.subject | M2測度 | zh_TW |
| dc.subject | Portfolio Management | en |
| dc.subject | Leveraged ETFs | en |
| dc.subject | M2 Measure | en |
| dc.subject | Sharpe Ratio | en |
| dc.subject | Mean-Variance Spanning Test | en |
| dc.subject | Efficient Frontier | en |
| dc.title | 槓桿型ETF的投資組合分散效益分析 | zh_TW |
| dc.title | Analysis of Portfolio Diversification Effect of Leveraged ETFs | en |
| dc.type | Thesis | - |
| dc.date.schoolyear | 112-2 | - |
| dc.description.degree | 碩士 | - |
| dc.contributor.oralexamcommittee | 何耕宇;呂仁園 | zh_TW |
| dc.contributor.oralexamcommittee | Keng-Yu Ho;Ren-Yuan Lyu | en |
| dc.subject.keyword | 槓桿型ETF,效率前緣曲線,投資組合,平均數變異數擴張檢定,夏普比率,M2測度, | zh_TW |
| dc.subject.keyword | Leveraged ETFs,Efficient Frontier,Portfolio Management,Mean-Variance Spanning Test,Sharpe Ratio,M2 Measure, | en |
| dc.relation.page | 89 | - |
| dc.identifier.doi | 10.6342/NTU202401633 | - |
| dc.rights.note | 同意授權(全球公開) | - |
| dc.date.accepted | 2024-07-12 | - |
| dc.contributor.author-college | 管理學院 | - |
| dc.contributor.author-dept | 財務金融學系 | - |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-112-2.pdf | 2.89 MB | Adobe PDF | 檢視/開啟 |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。