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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 楊曙榮(Shu-Jung Yang) | |
| dc.contributor.author | Wen-Yi Luo | en |
| dc.contributor.author | 羅文義 | zh_TW |
| dc.date.accessioned | 2021-06-17T07:07:45Z | - |
| dc.date.available | 2022-08-05 | |
| dc.date.copyright | 2019-08-05 | |
| dc.date.issued | 2019 | |
| dc.date.submitted | 2019-07-24 | |
| dc.identifier.citation | Abarbanell, J. S., & Bushee, B. J. (1997). Fundamental analysis, future earnings, and stock prices. Journal of accounting research, 35(1), 1-24.
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| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/72840 | - |
| dc.description.abstract | 本研究運用BLP架構，探討投資人在購買股票時，基本面、技術面以及籌碼面的變化對於投資者在台灣股票市場的偏好影響程度。我們使用了一種貝氏估計方法，用於分析台灣證券交易所的不同股票的總體水平歷史交易數據。該貝氏分析方法基於Jiang，Manchanda and Rossi (2009)中所提出的演算法和具有隨機係數的彙總數據的多項logit模型 - 所謂的BLP模型，係以Berry，Levinsohn and Pakes (1995)命名。本研究主要關注元大投信所發行的元大台灣50ETF的成分股，以估算投資者的效用。研究之模型結果顯示投資週期為季度的投資者在做投資決策時，主要係依據收盤價，投信持股比例和股東權益報酬率。利用此投資決策做出歷史回測，並進一步加入停損機制，計算得到年化報酬率在2017Q1至2019Q1期間約為26.7%。 | zh_TW |
| dc.description.abstract | This study aimed to discuss the utility of investors when investors buy stocks in the stock market under the BLP framework. We applied a Bayesian approach to analyze different stocks based on the aggregate level historical trading data in the Taiwan Stock Exchange. This Bayesian analysis method was based on the algorithm in Jiang, Manchanda and Rossi (2009) and the multinomial logit model for aggregated data with random coefficients - the so-called BLP model, named for Berry, Levinsohn and Pakes (1995). This study mainly focused on the constituent stocks in Yuanta / P-shares Taiwan Top 50 ETF (0050.TW) and estimated utility for investors. The result indicates that the quarterly investors contemplated the closing price, SITE shareholding ratio, and ROE when making investment decision. The researcher further implemented a stop-loss strategy in the investment method and the annualized rate of return during 2017Q1 to 2019Q1 was about 26.7%. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-17T07:07:45Z (GMT). No. of bitstreams: 1 ntu-108-R06741028-1.pdf: 1670871 bytes, checksum: 0b61a85de3f5460f3191288663668b3d (MD5) Previous issue date: 2019 | en |
| dc.description.tableofcontents | 謝辭 ii
摘要 iii Abstract iv Table of Contents v List of Figures vii List of Tables vii 1 Introduction 1 1.1 Research Background 1 1.2 Research Purpose 3 2 Literature Review 5 3 Yuanta / P-shares Taiwan Top 50 ETF (0050.TW) 7 4 Model Development 10 4.1 Computing the Inverse 12 4.2 The Jacobian 13 4.3 Bayesian Inference Using MCMC 14 4.3.1 Prior and Posterior 14 4.3.2 MCMC Algorithm 16 5 Empirical Study 18 5.1 Data 18 5.2 Variables 21 5.3 Market Share 28 5.4 Empirical Results 29 6 Investment Strategy Development 31 6.1 Determine the Investment Target 31 6.2 The Performance of Investment Strategy 32 6.3 Additional Possible Strategies 37 7 Conclusion 38 References 39 Appendix 42 | |
| dc.language.iso | en | |
| dc.subject | 隨機係數 | zh_TW |
| dc.subject | 邏輯式回歸 | zh_TW |
| dc.subject | 彙總數據 | zh_TW |
| dc.subject | 馬可夫鏈蒙地卡羅 | zh_TW |
| dc.subject | 貝式分析 | zh_TW |
| dc.subject | 股票市場 | zh_TW |
| dc.subject | MCMC | en |
| dc.subject | logit model | en |
| dc.subject | aggregate data | en |
| dc.subject | random coefficients | en |
| dc.subject | Bayesian analysis | en |
| dc.subject | stock market | en |
| dc.title | 使用基於彙總數據的市場份額估算進行股票投資 | zh_TW |
| dc.title | Stock Investing Using Market-share Estimation Based on Aggregate Data | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 107-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張景宏(Ching-Hung Chang),洪一薰(I-Hsuan Hong) | |
| dc.subject.keyword | 隨機係數,邏輯式回歸,彙總數據,馬可夫鏈蒙地卡羅,貝式分析,股票市場, | zh_TW |
| dc.subject.keyword | random coefficients,logit model,aggregate data,MCMC,Bayesian analysis,stock market, | en |
| dc.relation.page | 82 | |
| dc.identifier.doi | 10.6342/NTU201901777 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2019-07-24 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 商學研究所 | zh_TW |
| 顯示於系所單位： | 商學研究所 | |
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