博碩士論文 etd-0526115-123709 詳細資訊


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姓名 簡楓松(FENG-SUNG CHIEN) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 104學年第1學期
論文名稱(中) 總體經濟多因子模型
論文名稱(英) Macroeconomic Multi-Factor Model
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    紙本論文:5 年後公開 (2021-02-17 公開)

    電子論文:使用者自訂權限:校內 5 年後、校外 5 年後公開

    論文語文/頁數 英文/59
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    摘要(中) 本研究主要目的在於建構台灣上市股票市場的總體經濟多因子風險模型。第一部分為挑選有效因子,首先收集台灣與美國兩地的總體經濟指標資料,透過單根檢定確定資料均為定態序列後,依照本研究的評分規則篩選出能顯著解釋股票報酬的總體指標,之後再藉由因素分析與主成分分析形成複合因子。第二部分為模型建構,包括估計因子曝險、特有報酬、特有風險和因子報酬共變異數矩陣,最後再進行Bias Test以檢視模型的績效表現。本研究的樣本外期間為2008/01~2014/12,實證結果顯示風險模型的判定係數(R-squared)平均為22%,代表依照本研究方法所選出的總體因子確實可以解釋部分的股票報酬變化,也可以提供經理人從總體面的角度來進行指數追蹤或建構增值投資組合時的參考。
    摘要(英) The purpose of this paper is to construct a macroeconomic multi-factor risk model based on the listed stock market in Taiwan. The first part is to filter out the effective factors. We collect macroeconomic indicators from Taiwan and the USA and perform a unit root test to make sure that our data are stationary time series. We select the effective indicators according to the criteria in this paper and then use factor analysis and principal component analysis to derive our composite macro factors. The second part is to build the risk model, including estimating the factor exposure, specific return, specific risk and factor return covariance matrix. Finally, we conduct a bias test to evaluate the performance of our model during the out-of-sample period from 2008/01 to 2014/12. Our empirical results show the average R-squared of our model is 22%, which indicates that the macro factors selected using the methodology in this paper can explain part of the variability of stock returns and provide fund managers with macroeconomic viewpoints when doing index tracking or constructing enhanced portfolios.
    關鍵字(中)
  • 主成分分析
  • 多因子模型
  • 總體經濟指標
  • 因素分析
  • 單根檢定
  • 關鍵字(英)
  • principal component analysis
  • multi-factor model
  • macroeconomic indicator
  • unit root test
  • factor analysis
  • 論文目次 論文審定書…………………………………………………………………………... i
    誌謝........................................................................................................ii
    摘要........................................................................................................iii
    ABSTRACT.............................................................................................iv
    I. INTRODUCTION..............................................................................1
    1.1 Background.....................................................................................1
    1.2 Research Motivation and Purpose.....................................................3
    1.3 Research Structure..........................................................................4
    II. LITERATURE REVIEW....................................................................5
    2.1 Multi-Factor Model...........................................................................5
    2.2 Macroeconomic Factor Model...........................................................8
    2.3 Factor Analysis and Principal Component Analysis............................11
    III. METHODOLOGY............................................................................14
    3.1 Data...............................................................................................14
    3.2 Analytical Framework.......................................................................16
    3.3 Formation of Significant Macro Factors..............................................17
    3.3.1 Unit root test....................................................................................18
    3.3.2 Effective indicators screening............................................................19
    3.3.3 Factor analysis and principal component analysis................................24
    3.4 Construction of Macroeconomic MFM.................................................27
    3.4.1 Time series multiple regression for factor exposures............................28
    3.4.2 Estimation of specific return and specific risk......................................30
    3.4.3 Construction of factor return covariance matrix....................................31
    3.5 Model Performance Bias Test............................................................32
    IV. EMPIRICAL RESULTS......................................................................35
    4.1 The Result of Unit Root Tests............................................................35
    4.2 The Outcome of Indicators Screening.................................................36
    4.3 The Outcome of Factor Analysis........................................................36
    4.4 The Analysis of Macroeconomic Factor Risk Model.............................38
    4.4.1 Multi-collinearity test..........................................................................38
    4.4.2 The results of R-squared performance.................................................39
    4.4.3 The results of bias test......................................................................40
    V. CONCLUSION..................................................................................44
    REFERENCES.........................................................................................47
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    2. Baumohl, B. (2007). The Secret of Economic Indicators. Wharton School Publishing.
    3. BARRA (2009). Europe Equity Model Version 3 (EUE3). Risk Model Handbook.
    4. Chen, N. F., Roll, R. and Ross, S. A. (1986). Economic forces and the stock market.
    Journal of Business, 59(3), pp. 383–403.
    5. Connor, G. (1995). The three types of factor models: A comparison of their explanatory power. Financial Analysts Journal, 51(3), pp. 42–46.
    6. Chincarini, L. B. and Kim, D. (2006). Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management. McGraw-Hill: New York.
    7. Fama, E. F. and Macbeth, J. D. (1973). Risk, Return, and Equilibrium: Empirical Tests. The Journal of Political Economy, 81(3), pp. 607-636.
    8. Flannery, M. J. and Protopapadakis, A. (2002). Macroeconomic Factors Do Influence Aggregate Stock Returns. Review of Financial Studies, 15(3), pp.751-782.
    9. Fifield, S.G.M., Power D.M. and Sinclair, C.D. (2002). Macroeconomic factors and share returns: an analysis using emerging market data. International Journal of Finance & Economics, 7(1), pp. 51–62.
    10. Hondroyiannis, G. and Papapetrou, E. (2001). Macroeconomic influences on the stock market. Journal of Economics and Finance, 25(1), pp. 33-49.
    11. Hess, M. K. (2003). Sector specific impacts of macroeconomic fundamentals on the Swiss stock market. Financial Markets and Portfolio Management, 17(2), pp. 234-245.
    12. Chung, H. M., Chou, P. H. and Hsun, E. Y. (2009). Financial Econometric: The use in Eviews.
    13. Ibrahim, M. H. and Aziz, H. (2003). Macroeconomic variables and the Malaysian equity market: A view through rolling subsamples. Journal of Economic Studies, 30(1), pp. 6-27.
    14. Nasseh, A. and Strauss, J. (2000). Stock prices and domestic and international macroeconomic activity: A cointegration approach. The Quarterly Review of Economics and Finance, 40(2), pp. 229–245.
    15. Tsai, T. H. (2009). A System Platform of Multi-Factor Risk Model. Master thesis, National Sun Yat-sen University, Taiwan.
    16. Hsu, Y. H. (2010). Enhanced Index Fund Performance Analysis under Multi-Factor Alpha Model. Master thesis, National Sun Yat-sen University, Taiwan.
    口試委員
  • 臧仕維 - 召集委員
  • 鄭義 - 委員
  • 蔡維哲 - 指導教授
  • 口試日期 2015-05-28 繳交日期 2016-02-17

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