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1	Modelování Výnosů Akcií s Ohledem na Nejistotu: Frekventistická Průměrovací Metoda / Stock Return Predictability and Model Uncertainty: A Frequentist Model Averaging Approach Pacák, Vojtěch January 2019 (has links) The model uncertainty is a phenomenon where general consensus about the form of specific model is unclear. Stock returns perfectly meet this condition, as extensive literature offers diverse methods and potential drivers without a clear winner among them. Relatively recently, averaging techniques emerged as a possible solution to such scenarios. The two major averaging branches, Bayesian (BMA) and Frequentist (FMA) averaging, naturally deal with uncertainty by averaging over all model candidates rather than choosing the "best" one of them. We focus on FMA and apply this method to our data from U.S. market about S&P 500 index, that I help to explain with the set of eleven explanatory variables chosen in accordance with related literature. To preserve a real-world applicability, I use rolling window scheme to regularly update data in the fitting model for quarterly based re- estimation. Consequently, predictions are obtained with the use of most recent data. Firstly, we find out that simple historical average model can be beaten with a standard model selection approach based on AIC value, with variables as Dividend Yield, Earnings ratio, and Book-to-Market value proving consistently as most significant across quarterly models. With FMA techniques, I was not able to consistently beat the benchmark...
2	穩健型最適避險比率估計-以台灣市場為例 / Robust estimation of the optimal hedge ratio 黃信凱, Huang, Hsin Kai Unknown Date (has links) Because on the method of Harris and Shen (2003), we implement the robust estimator of optimal hedge ratio in Taiwan stock market. By using the Taiwan Stock Index and Taiwan Stock Index Futures, we used the robust estimation of optimal hedge ratio. We use two estimators, the rolling window model and the exponentially weighted moving average (EWMA), to estimate the robust optimal hedge ratio. We also compare the hedging effectiveness of the robust hedge ratios and the traditional least- squared hedge ratios. We find that the volatility of the hedged portfolio using robust optimal hedge ratio is substantially lower than that of the portfolio using the traditional hedge ratios. With the less excessive volatility, the transaction cost decrease substantially, and the cost of rebalancing portfolio is lower as well. / Because on the method of Harris and Shen (2003), we implement the robust estimator of optimal hedge ratio in Taiwan stock market. By using the Taiwan Stock Index and Taiwan Stock Index Futures, we used the robust estimation of optimal hedge ratio. We use two estimators, the rolling window model and the exponentially weighted moving average (EWMA), to estimate the robust optimal hedge ratio. We also compare the hedging effectiveness of the robust hedge ratios and the traditional least- squared hedge ratios. We find that the volatility of the hedged portfolio using robust optimal hedge ratio is substantially lower than that of the portfolio using the traditional hedge ratios. With the less excessive volatility, the transaction cost decrease substantially, and the cost of rebalancing portfolio is lower as well. 最適避險比率指數加權移動平均滾視窗法 optimal hedge ratio EWMA Rolling Window Method
3	等量風險貢獻度投資組合在台灣股票市場之應用－以元大台灣卓越50ETF為例 / Application of equal risk contribution portfolio in Taiwan stock market- Yuanta /P-shares Taiwan Top 50 ETF 郭宇珍, Guo,Yu Jhen Unknown Date (has links) 近年來金融市場情勢瞬息萬變且波動劇烈而令投資人難以捉摸，導致被動式投資重獲投資人的青睞。市值加權法是最普遍被使用的指數編製方法，傳統市值加權指數的缺點，主要有投資組合主要集中於特定成份股與暴露於不會吸引風險溢價的各類風險因子中，這些缺點促成Smart Beta策略的發展，未來將有許多具備不同風險與報酬水準的指數供投資人參考。本研究選用近幾年提出不需仰賴預期報酬假說的等量風險貢獻度投資組合(ERC)建構方式，以台灣50為基準，利用其成份股建構投資組合，探討權重與風險分散特性，並且檢視其績效表現與報酬風險輪廓。為了有比較上的基礎，除了與台灣50做比較外，也另外選用以風險分散角度所配置的投資組合建構方法：等權重投資組合(EW)作對照。　　研究結果發現全樣本時期，等量風險貢獻度投資組合在事後相較於台灣50擁有較低的波動度。當市場趨勢向下時，除了能維持其低波動的特性，還能提供某種程度上的抗跌能力。然而，以報酬率和Sharpe Ratio指標來看，表現皆不如台灣50，但優於等權重投資組合。同時，依不同經濟狀況與時間區間檢視投資組合績效表現，等量風險貢獻度投資組合能將波動度控制在較低水準，但績效表現上較不穩定。　　本文透過HHI指數及吉尼係數衡量持股集中度與風險集中度。以持股權重分配的特性來說，台灣50極端集中於少數股票上，等量風險貢獻度投資組合和等權重投資組合則相對較平均。以風險權重分配的特性來說，台灣50風險權重過於集中，風險權重較平均分散的組合則為等量風險貢獻度投資組合。 / Traditional capitalization-weighted approaches are the most common ways to construct indexes. However, during market up turns, the capitalization-weighted indexes may be influenced by a small number of large-cap stocks. Smart beta indexes have recently prompted great interest among academic researchers and market practitioners. Risk-based indexes are an important category of smart beta. In this article, we explore equal risk contribution portfolio (ERC), which is risk-parity based smart beta. The portfolio implies to determine the weights so as to obtain the same risk contribution for each asset. The aim is to minimize the concentration in terms of risk contributions. In this paper, we examine whether or not ERC portfolio can outperform a buy and hold, capitalization-weighted and equally-weighted allocation in different economic environments. We also compute the parity in portfolio “risk allocation” and parity in “asset class allocation” using HHI index and Gini coefficient. 　　We consider here real-life applications with stock universe: the Yuanta /P-shares Taiwan Top 50 ETF. We compute smart beta portfolios by using the one-year empirical covariance matrix of stock returns. Empirical applications show that ERC portfolios generally are inferior in terms of return performance and Sharpe ratios. It does have some characteristics such as balanced risk allocation and less volatile performance characteristics. It also exposes to lower maximum drawdown. ERC portfolio provides the best ex ante and ex post “parity “in asset class risk contribution. On the other hand, the capitalization-weighted portfolio is concentrated in terms of weights and risk contributions. The statistics suggest to us that the capitalization-weighted portfolio’s superior Sharpe ratio is largely due to its higher returns. 等量風險貢獻度滾動視窗集中度 Equal risk contribution Rolling window Equity concentration
4	匯率轉嫁之時間變動特性-台灣實證研究 / Time-varying nature of exchange rate pass-through for Taiwan 沈睿宸, Shen, Juei Chen Unknown Date (has links) 過去實證研究顯示，匯率轉嫁程度並非一成不變，而是具有隨時間變動的特性。因此，有別於過去文獻大多採用滾動相關係數，本文則是使用Engle(2002)提出的動態條件相關係數模型，估計台灣於1982年至2014年間匯率變動與進口價格變動間的動態條件相關係數；並以其做為匯率轉嫁的代理變數，進而探討台灣匯率轉嫁的時間變動趨勢。我們的實證結果顯示，不論是用滾動相關係數還是動態條件相關係數，台灣的匯率轉嫁都明顯具有隨時間變動的特性。雖然5年期與10年期的滾動相關係數均在1997年前後分別呈現上升與下降的趨勢，動態條件相關係數則無類似的現象。然而，由於滾動相關係數容易受到滾動視窗樣本大小或滾動視窗有無包含極端值的影響，使得此方法較無法看出匯率轉嫁變動的準確時間點，而動態條件相關係數模型則可避免此問題。此外，本文實證發現，通膨環境與匯率波動是造成台灣匯率轉嫁隨時間變動的主要因子，對匯率轉嫁皆有顯著的正向影響。在排除1986年匯率轉嫁與進口滲透率呈現短暫負向關係的資料後，進口滲透率與匯率轉嫁的正向關係變為顯著，而進口滲透率也成為影響匯率轉嫁的原因之一。 / According to past empirical studies, it is believed that exchange rate pass -through (ERPT) has the time-varying nature. In this paper, we apply the Dynamic Conditional Correlation (DCC) model of Engle (2002), rather than the rolling correlation coefficient prevalently used by other studies, to analyze the time trend of ERPT for Taiwan. We estimate the dynamic condition correlation between the changes of exchange rate and the changes of import price using monthly data from 1982 to 2014 and use this correlation as a proxy for the degree of ERPT. Our empirical results show that ERPT for Taiwan, whether measured by the DCC or the rolling correlation coefficient, has a significant time- varying nature. In addition, both 5-year and 10-year window rolling correlation coefficient increase before 1997 and decline after 1997, which does not show in the DCC. However, the rolling correlation coefficient does not provide precise timings in the changes in ERPT, because of the dependence on the size of windows and whether or not outliers exist in the window. In contrast, the DCC does not have this kind of problem. Another important empirical result of this paper is that the inflation environment and the exchange rate volatility are main factors which explain the time-varying ERPT, and both of them have positive relation with ERPT. Moreover, the import penetration becomes positively significant after excluding data which shows temporary negative impact of the import penetration on ERPT in 1986. 匯率轉嫁動態條件相關係數模型滾動視窗估計法 exchange rate pass-through DCC model rolling window estimation
5	A Value Relevant Fundamental Investment Strategy : The use of weighted fundamental signals to improve predictability Eliasson, Martin, Malik, Khawar, Österlund, Benjamin January 2011 (has links) The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. This further developed model is tested in two different contexts; firstly, a weighted fundamental score is developed that is updated every year in order to control for any changes in the predictive ability of fundamental signals over time. Secondly, the behavior of this score is analyzed in context of recession and growth cycles of the macro economy. Our findings show that high book-to-market portfolio consist of poor performing firms, as shown by Fama and French (1995) and is thereby outperformed by both Piotroski's F_score and our own developed scores. The score based on a rolling window correlation is performing a little better then F_score, but the score based on correlations for prior Up and Down periods is not. The conclusions we draw from the results are that improvements have to be made, both to F_score and our own developments, to sort winners from loser to get an even more profitable zero-investment hedge strategy. Fundamental analysis Financial statement analysis Financial analysis High book-to-market quantitative analysis statistical regression study investment strategy longitudinal study NYSE New York Stock Exchange Nasdaq Piotroski Rados and Lovric wieghted and modified Piotroski F_score F_score B/M investment strategy fundamental signals correlation return correlation rolling window investment strategy Piotroski's F_score fundamental signals Fundamental analys finansiell analys Piotroski Piotroskis F_score Rados och Lovric modifierat F_score undervärderade företag fundamentala signaler Business studies Företagsekonomi

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