葛林布雷特神奇公式能否在台灣股市創造異常報酬?

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題名:	葛林布雷特神奇公式能否在台灣股市創造異常報酬? Can Greenblatt’s Magic Formula Generate Abnormal Returns in Taiwan Stock Market?
作者:	石兆羣
貢獻者:	財務金融學系
關鍵詞:	價值投資三因子模型神奇公式異常報酬
日期:	2020
上傳時間:	2020-01-16 10:47:54 (UTC+8)
摘要:	在全球投資策略中，股票市場一直是投資人選擇規劃理財方式的一種，就單以股市而言也產生出許多不同的投資策略，價值投資方式的出現和考量是以安全且穩健的投資方式進行，因此成為許多投資者首選的策略之一。價專注於近期Greenblatt提出的Magic Formula(神奇公式)都是各式各樣的價值投資方式，本值投資法則又可分為許多不同的方式，從Graham and Dodd作為價值投資的始祖，到本文將特別試著探討這樣的投資策略能否擊敗大盤產生異常報酬。本文研究台灣1997年到2017年總共21年的文樣本，採用神奇公式篩選台灣上市櫃公司得出的投資組合，做為每年使用投資策略的標的，並使用三因子模型迴歸式探討神奇公式的投資策略是否會產生異常報酬。本文實證結果所測試的投資組合優於市場預期，因為有資本報酬率驗證公司的品質以及盈餘報酬率驗證公司的價值表現，以每年篩選股票後持有一年投資組合之下長期使用神奇公式能夠擊敗大盤。 In the global investment strategy, the stock market was usually one of the financial planning methods. In the case of the stock market alone, there are many different invest-ment strategies. Value investment method is based on a safe and stable investment, there-fore it has become one of the preferred strategies of many investors. Value investment standard can be divided into many different ways, from Graham and Dodd as the ancestor of value investment, to this article will be particularly focused on the recent Greenblatt's Magic Formula methods, trying to explore whether such an investment strategy can defeat the market and generate abnormal returns. This paper studies a sample of Taiwan from 1997 to 2017 for a total of 21 years, using the Magic Formula to screen the investment portfolio of Taiwan listed cabinet companies, as the target of the annual invest-ment strategy, and using Fama and French three-factor regression to explore the Magic Formula whether the investment strategy will generate abnormal returns. The empirical results of this paper test the portfolio better than the market expectation, because the Return on Capital verification company quality and the Earning Yield verifi-cation the company's value performance, it can be used to defeat the market after long-term use of Magic Formulas under the one-year portfolio after screening stocks.
顯示於類別:	[財務金融學系 ] 博碩士論文

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