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Title: | 因子動能策略在台灣股票市場的實證研究 The Empirical Study of Factor Momentum Strategy in the Taiwanese Stock Market |
Authors: | 陳力慈 Li-Tzu Chen |
Advisor: | 石百達 Pai-Ta Shih |
Keyword: | 因子動能,台灣股票市場,股票報酬自我相關,動能策略,因子投資, factor momentum,Taiwanese stock market,autocorrelation of stock returns,momentum strategy,factor investing, |
Publication Year : | 2023 |
Degree: | 碩士 |
Abstract: | 本篇論文主要目的為: 研究 Ehsani and Linnainmaa (2022) 提到的因子動能策略在台灣股票市場是否能有顯著的報酬,以及探討台灣股票市場的因子報酬是否有自我相關的特性。
為了研究因子動能策略在台灣股票市場的表現,本文考慮學術文獻提到27個因子,包括 20 個年頻率指標(與財務報表相關)與 7 個月頻率指標(與台灣股票市場交易相關)。 發現多數年頻率指標比較具有因子動能(factor momentum)的現象(前 12 個月報酬與下個月報酬正相關),多數月頻率指標反而是前 12 個月報酬與下個月報酬負相關。可以推論多數年頻率指標的報酬有自我相關的特性。 若再將因子的類別區分,可以發現大多數與公司獲利能力相關的指標,例如: OCF / Asset, Cash flow to price, Quality 等,因子動能(factor momentum)的現象最明顯,與獲利相關的因子報酬率與因子前十二個月的平均月報酬率之正相關程度高,且統計上顯著。 研究結果顯示,在台灣股票市場,只有部分因子具有顯著的因子動能特性,而這些因子大多屬於與獲利相關的因子,這些因子前十二個月的報酬率能夠有效預測未來因子是否會獲利,除此之外,這些因子的報酬率具有自我相關的特性。 The main objective of this paper is to examine whether the factor momentum strategy, as discussed by Ehsani and Linnainmaa (2022), generates significant returns in the Taiwanese stock market. Additionally, the study aims to explore the autocorrelation properties of factor returns in the Taiwanese stock market. To investigate the performance of the factor momentum strategy in the Taiwanese stock market, the paper considers 27 factors mentioned in the academic literature. These factors consist of 20 annual frequency indicators (related to financial statements) and 7 monthly frequency indicators (related to trading in the Taiwanese stock market). The findings reveal that most of the annual frequency indicators exhibit factor momentum, showing a positive correlation between the past 12-month returns and the subsequent month's returns. On the other hand, most of the monthly frequency indicators exhibit a negative correlation between the past 12-month returns and the subsequent month's returns. This suggests that the returns of most annual frequency indicators possess autocorrelation properties. Further categorizing the factors, it is observed that factors related to company profitability, such as OCF / Asset, Cash flow to price, Quality, exhibit the most significant factor momentum. The returns of profitability-related factors exhibit a high positive correlation with the average monthly returns of the past 12 months. The research results indicate that in the Taiwanese stock market, only a subset of factors exhibit significant factor momentum, predominantly those related to profitability. The returns of these factors can effectively predict future profitability, and they also demonstrate autocorrelation properties in their returns. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/88739 |
DOI: | 10.6342/NTU202302263 |
Fulltext Rights: | 同意授權(全球公開) |
Appears in Collections: | 財務金融學系 |
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ntu-111-2.pdf | 1.83 MB | Adobe PDF | View/Open |
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