遞減下方風險投資組合之長期績效

Long-Term Performance of Portfolios with Declining Downside-Risk.

張婉清(Wan-Ching Chang)

指導教授 ： 柯文乾

國立臺北大學/商學院/金融與合作經營學系/碩士(2013年)

摘要

本文依照股價的隨機漫步理論及風險值之概念，發展出一偵測價格被低估，並適合長期投資標的之選股指標。若該股票的LORIN值大於0，即視為對價格被低估之股票發出訊號。
本文樣本為1986年1月至2013年3月之台灣股票。結果顯示若在未出現訊號時的替代型投資標的之波動較小，則該策略可以顯著獲得相較於3因子(市場因子、規模因子及價值因子)與5因子(市場因子、規模因子、價值因子、動能因子及波動因子)等被動性策略之超額報酬。我們發現雖然此策略表現在不同的觀察期與持有期皆相當穩定，但LORIN值為負時，不完全與策略報酬有正的相關。最後，我們發現LORIN策略在台灣股市的早期獲利較明顯(西元2000年以前)，在近期則難以見到顯著超額報酬，推測可能是由於市場效率性增加、且建立策略時的保守性削弱LORIN獲利率。

關鍵字

長期投資 ； 選股指標 ； 被動性策略 ； 市場效率性

並列摘要

This article derives an LORIN index based on the random walk of stock price and the Value-at-Risk (VaR) downward risk concept. This index can signal undervalued stocks within inefficient security markets. Our sample started from January 1986 to March 2013, focusing on the Taiwan Stock Market. The result shows using less volatile assets couple with positive LORIN stocks can earn excess returns significantly from passive strategies, and the performance is stable among different observation and holding durations. But the LORIN is not necessarily positive-related with return on stocks. Finally, we found that the LORIN index can work better in the early years of Taiwan Stock Market, but more difficult to find stocks that are severely mispriced after year 2000.

並列關鍵字

Long-term investment ； stock selection ； passive strategy ； market efficiency

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