以個別風險為指標之投資組合實證分析

NHUIR > College of Management > Department of Finance, The M.A. Program of Financial Management > Disserations and Theses > Item 987654321/29178

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Title:	以個別風險為指標之投資組合實證分析
Other Titles:	The Empirical Analysis of Portfolio for Idiosyncratic Volatility
Authors:	蘇慧文 SU, HUI-WEN
Contributors:	財務金融學系財務管理碩士班廖永熙 LIAU, YUNG-SHI
Keywords:	個別風險;投資策略;多空時期;景氣循環 individual risk;investment strategy;long and short period;business cycle
Date:	2022
Issue Date:	2022-09-05 12:00:39 (UTC+8)
Abstract:	本研究將以個別風險指標作為投資組合的建構基準，以台灣證劵交易所上市櫃公司普通股為研究採樣，以個別風險並結合Fama and French方法組成投資組合來進行實證分析，探討個別風險指標的績效表現。基於低本益比與高預期成長率是較佳之投資組合，是以預期高個別風險指標比低個別風險指標之投資組合存在超額報酬。想藉此研究並以台灣股市為其投資組合，進行有效的數據分析，找到有用的線索，來幫助投資人做好有效的風險管理，為此想以此為方向，進行本次研究。本研究採用2010年1月至2021年7月，台灣證劵交易所上市公司普通股為研究樣本，利用個別風險資料建構投資組合進行實證分析，並區分為電子股與非電子股兩大類股，來探討高個別風險變動之投資策略是否存在超額報酬。　　This research will use individual risk indicators as the benchmark for the construction of the investment portfolio, take the common stocks of companies listed on the Taiwan Stock Exchange as the research sample, and use individual risks combined with the Fama and French method to form a portfolio for empirical analysis, and explore the effect of individual risk indicators. performance. Based on the fact that a low price-to-earnings ratio and a high expected growth rate are better investment portfolios, it is expected that there will be excess returns on portfolios with higher individual risk indicators than low individual risk indicators. I want to take this research and use the Taiwan stock market as its investment portfolio to conduct effective data analysis and find useful clues to help investors do effective risk management. For this reason, I want to conduct this research in this direction. This study uses the common stocks of companies listed on the Taiwan Stock Exchange from January 2010 to July 2021 as the research sample, uses individual risk data to construct investment portfolios for empirical analysis, and divides them into two categories: electronic stocks and non-electronic stocks. To explore whether there is excess return in investment strategies with high individual risk changes.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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