標題: 利用EBO/VFP方法於避險基金選股策略之實證研究---以台灣股市為例
An Empirical Study of Using EBO/VFP Method In Hedge Fund Stock Picking---A Case Study of Taiwan Stock Market
作者: 劉岷
Min Liu
陳安斌
An-Pin Chen
資訊管理研究所
關鍵字: EBO模型;選股策略;避險基金;橫斷面報酬率分析;EBO model;stock selection;Hedge Fund;cross-sectional stock return
公開日期: 1998
摘要: 本研究嘗試藉由台灣股票上市公司的會計因子代入EBO model當中,推出VPA/P,VPB/P,VPC/P三個VF/P值,並且利用VF/P值的大小形成投資組合,買入VF/P值高的投組,放空VF/P值低的投組,以便模擬避險基金的投資績效。此外本研究並以E/P ratio為選股策略所建構成的避險基金當作對照,並計算其投資績效。 經過實驗分析,以上之四組資料跟大盤報酬率比較,發現(1)利用EBO/VFP model所形成避險基金之投資績效,明顯超越大盤,且超越E/P ratio所形成避險基金之投資績效。(2)短期投資(一年內)的投資績效是以VPA/P為最佳,中長期(一年至三年)的投資績效是以VPB/P及VPC/P為最佳。
In this research, the accounting factors of the companies in Taiwan stock market are included in the EBO model to derive three VF/P value, VPA/P, VPB/P, and VPC/P. Different portfolios are formed by the VF/P value sequence. The hedge funds can be formed by longing the stock portfolio with highest VF/P value and shorting the stock portfolio with lowest VF/P value. By the empirical simulation, the performance of the proposed hedge strategies can then be compared with the performance of the traditional hedge strategy which selects stocks by the E/P ratio. From the empirical results, some conclusions can be made: 1. The investment performance of hedge fund formed by EBO/VFP model can outperform the Taiwan stock index and outperform the fund formed by E/P ratio as well. 2. For short-term investment, the VPA/P model has the best investment performance. For mid-term and long-term investment, the VPB/P and VPC/P model has the best investment performance, respectively.
URI: http://140.113.39.130/cdrfb3/record/nctu/#NT870396006
http://hdl.handle.net/11536/64231
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