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 |
顯示於類別: | 畢業論文 |