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| 研究生： |
陳永孝 Chen, Yung-Shiau |
|---|---|
| 論文名稱： |
財務市場狀態轉換模型之應用- Smart Beta策略基金績效分析 The Performance of Smart Beta Funds in Financial Markets with Regime Switching |
| 指導教授： |
蔡蒔銓
Tsai, Shih-Chuan 賴慧文 Lai, Whuei-Wen |
| 學位類別： |
碩士 Master |
| 系所名稱： |
管理研究所 Graduate Institute of Management |
| 論文出版年： | 2018 |
| 畢業學年度： | 106 |
| 語文別： | 中文 |
| 論文頁數： | 41 |
| 中文關鍵詞： | Smart Beta策略基金 、因子投資法 、馬可夫轉換模型 、投資者情緒衡量指標 |
| 英文關鍵詞： | Smart Beta strategy funds, Factor-Based Investment method, Markov Switching model, Investor sentiment |
| DOI URL： | http://doi.org/10.6345/THE.NTNU.GIM.015.2018.F08 |
| 論文種類： | 學術論文 |
| 相關次數： | 點閱：152 下載：0 |
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近年來因子投資法逐漸成為基金投資組合的主流，透過對特定股票篩選機制及調整投資組合權重，擇時放大特定因子的曝險程度，使投資組合呈現特定風格主題。自2008年全球金融風暴後投資者情緒(Investor sentiment)衡量指標逐漸受到理財顧問及基金經理人所重視，並作為判斷投資市場氣氛的依據標準，本篇論文使用投資者情緒指標建立馬可夫轉換模型作出財務市場狀態轉折時點預測，並採用美國晨星公司資料庫中的Smart Beta策略基金為樣本，觀察不同的市場狀態期間，是否使得風格主題策略為基金帶來更高的額外報酬。
In recent years, factor-based investing has become one of the mainstreams in portfolio management. In particular, specific stocks are selected or portfolio weights are adjusted to enlarge the exposure of a portfolio to some specific factors. The purpose of this study is to examine the performance of smart beta strategies in various financial states. Since investors’ sentiment indicators have been widely used by financial advisors and fund managers to predict phases of the financial cycle after the global financial crisis in 2008. This thesis uses these indicators to identify the turning points of financial market in a Markov switching framework and examines the performance of smart beta strategies in different financial states.
一、中文部分
1. 徐士勛、管中閔(2001)九零年代台灣的景氣循環:馬可夫狀態轉換模型與紀卜斯抽樣法的應用，人文及社會科學集刊，13，515-540
2. 張俊喜、張華(2002)，解析我國封閉式基金折價之謎，金融研究期刊2002年第12期
3. 陳仕偉(2005)，台灣景氣波動不對稱性特色之檢定，台灣預測與政策，36(1)，81-102
4. 周賓凰、張宇志、林美珍(2007)，投資人情緒與股票報酬互動關係，證券市場發展季刊 20:1
5. 鄭高輯、林泉源(2010)，投資人情緒對投機型股票報酬之影響，商略學報，第二卷第一期，21-35
二、英文部分
6. Granger, C. W. J., and P. Newbold (1974), “Spurious Regression in Econometrics”, Journal of Econometrics, 2,111-120
7. Hamilton, James D. (1989), “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle” , Econometica, 57, 357-384
8. Friedman, Benjamin M. and Kenneth N. Kuttner (1991),”Why Does the Paper-Bill Spread Predict Real Economic Activity?” NBER Working Paper No. 3879
9. Neal, Robert and Simon M. Wheatley (1998),”Do Measures of Investor Sentiment Predict Returns”, Journal of Financial and Quantitative Analysis, 33(4), 523-547
10. Berk, J., R. C. Green and V. Naik (1999),“Optimal Investment, Growth Options, and Security Returns”, Journal of Finance, 54 (5), 153-155
11. Cruz, M. (2005), “A Three-Regime Business Cycle Model for An Emerging Economy”, Applied Economics Letters, 12, 399-402.
12. Malkiel, Burton G. (2014),”Is Smart Beta Really Smart?” Journal of Portfolio Management, 40, 127-134.
13. Jordan, Bradford D., and Timothy B. Riley (2014),”Volatility and Mutual Fund Manger Skill”, Journal of Financial Economics,118, 289-298.
14. Christopher B. Philips, Donald G. Bennyhoff, Francis M. Kinniry Jr., Todd Schlanger and Paul Chin (2015),” An Evaluation of Smart Beta and Other Rules-based Active Strategies”, Vanguard Research 10, 1-16.
15. Hodges, Philip, Ked Hogan, Justin R. Peterson, and Andrew Ang (2017),”Factor Timing with Cross-Sectional and Time-Series Predictors”, The Journal of Portfolio Management, 44 (1), 30-43.
16. Baker, M. and J. C. Stein (2004), “Market Liquidity as a Sentiment Indicator,” Journal of Financial Markets, 7, 271-299.
17. Baker, M. and J. Wurgler (2006), “Investor Sentiment and the Cross-Section of Stock Returns “, Journal of Finance, 61, 1645-1680.
18. Qiu, L. and I. Welch (2004), “Investor Sentiment Measures”, Working Paper, Brown University.
19. Schmeling, M. (2009), “Investor Sentiment and Stock Returns: Some International Evidence”, Journal of Empirical Finance 16, 394-408.
