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利用企業投資指標建構投資組合 - 以台灣科技業為例 / Portfolio Construction Using Corporate Investment Metrics - An Empirical Study on Taiwan Technology Sector

本研究以985筆台灣科技業公司為樣本,並且使用企業投資指標作為指數加權基礎,探討以有形和無形資產投資規模進行基本面指數化的績效表現與可行性。我們發現即使在考慮了價值風險和規模風險之後,以研究發展費用相關指標建構的基本面指數仍可以產生超額報酬。此外,研究結果顯示部分的基本面指數具有市場擇時能力,能避免投資組合績效受到價格不效率的影響。在對樣本進行流動性的篩選以及考慮投資組合的交易成本之後,我們仍得到一樣的結果。 / We employ 985 companies in technology industry in Taiwan to examine the performance and feasibility of the fundamental indices constructed by corporate investment metrics (including both tangible and intangible investment). We find that the fundamental indices constructed by R&D expenditure-related metrics generate significant Fama-French alpha. Besides, evidence shows that parts of the fundamental indices have market timing ability to prevent performance dragged by price inefficiency. We draw a same conclusion after weeding out the companies with low liquidity and adjusting for transaction costs.

Identiferoai:union.ndltd.org:CHENGCHI/G0104357022
Creators吳永丞, Wu, Yung Cheng
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language英文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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