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A Sector-Specific Multi-Factor Alpha Model- With Application in Taiwan Stock MarketChen, Ting-Hsuan 27 June 2011 (has links)
This study constructs a quantitative stock selection model across multiple sectors with the application of the Bayesian method. It employees factors from the Taiwan stock market which could explain stock returns. Under this structure, each sector that has different significant factors is allowed to be imported into sub models. The factors are calculated into alpha scores and used to do stock selection. Therefore, the demonstration of both intra and inter-sector alpha scores into sector-specific integration alpha scores is an important concept in this study.
Furthermore, an enhanced index fund is built based on the model and related to the benchmark to illustrate the power of this model. Once the contents of a portfolio are decided, this model could provide stock selection criterion based on the predictive power of stock return. Finally, the results demonstrate that this model is practical and flexible for local stock portfolio analysis.
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