結合企業風險槓桿及Fama-French三因子模型建構高低估股價投資組合策略之研究

Using Business Risk leverages and Fama-French Three-Factor Model for Constructing Over- and Under-valued Stock Portfolio Strategy

陳家靜(Chia-Ching Chen)

指導教授 ： 梁世安 ； 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2015年)

摘要

現行財報提供投資大眾對於企業風險衡量資訊多有缺漏，故本研究以經標準化與羅吉斯轉換後的營運槓桿與財務槓桿來呈現企業風險程度，以解決盈餘為負數時，呈現N/A的困擾。
研究目的在探討結合企業風險槓桿的五因子模型對於上市櫃股票報酬的解釋能力，首先驗證依股價高估、低估之投資組合績效是否有顯著差異;另以營運及財務槓桿中位數區分為風險四象限，驗證依企業風險槓桿高低，投資組合績效是否有顯著差異;研究設計上，建構投資組合考慮不同形成期、持有期與股價是否被高估低估、選股比率等因子，以移動窗格法與重覆期間法來進行模擬交易。

實證結果發現：
(一)經轉換後所選取的營運及財務槓桿乘以100則會呈現易於解讀介於0~100的指數;可提供投資人簡單解讀公司承擔企業風險高低。
(二)五因子模型股價高估低估組合中，以最低估5%，形成期2季、持有期1季的投資組合平均年化報酬率達 30.34%為最高，比較兩組的夏普比率分別為低估組4.41，高估組2.85，顯示在承擔同一單位的風險下，低估組可獲得較高的超額報酬，投資績效有顯著差異。
(三)風險四象限組合中，五因子模型低估組中第二象限，即低營運槓桿與高財務槓桿，獲得最高的平均年化報酬率達 34.84%，且衡量績效的夏普比率為5.44。而高估組投資績效最好為第一象限，營運槓桿及財務槓桿皆高的組合，獲得最高的平均年化報酬率達21.79%，且衡量績效的夏普比率為6.33。

關鍵字

Fama-French 三因子模型 ； 財務槓桿 ； 營運槓桿 ； 移動窗格法

並列摘要

Current financial statements fail to provide investors with sufficient information on business risk evaluation. Therefore, this study, through standardization and logistic converted operating leverage and financial leverage to present the business risk level,To address the earnings is negative, showing N/A of distress.

The purposes of research was to investigate the combined enterprise risk leveraged five-factor model for all listed stock compensation explanatory power, first validation in accordance with the stock overvalued,undervalued portfolio performance if there are significant differences.

According to the median of operating and financial leverage is divided into four risk quadrants,Verification according to the level of business risk leverage, portfolio performance if there is significant difference.

In the study design, construction portfolio consider different formation, holding periods and whether a stock is overvalued or undervalued,stock selection ratio and other factors, to use moving window method and overlapping method for simulated trading.

The empirical results：
(I)After converting the selected operating and financial leverage multiplied by 100, it is easy to interpret between rendering index of 0 to 100; can provide investors a simple interpretation of the level of company commitment to corporate risk.

(II) Five factor model overvalued undervalued stock portfolio, 5% in the most undervalued the formation portfolio of the two quarter, holds one quarter of the average annual return rate of 30.34% was the highest, Sharpe ratio between the two groups,undervalued group was 4.41, overvalued group was 2.85, such result suggested that in bearing single-unit risk, the undervalued group obtain higher excess return, leading to significant differences in investment performance.

(III) In the four quadrants of risk , five-factor model undervalued the group the second quadrant, that is, low operating leverage and high financial leverage, the highest average annual return rate of 34.84%, and the Sharpe ratio to measure performance was 5.44. Overvalued the best investment performance for the group in the first quadrant, the portfolio operating leverage and financial leverage are high got the highest average annual return rate of 21.79%, and the Sharpe ratio to measure performance was 6.33.

並列關鍵字

Fama & French three-factor model ； DFL ； DOL ； Moving window method

參考文獻

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