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Taiwan multi-factor model construction: Equity market neutral strategies application

This Thesis attempts to construct a Taiwan equity multi-factor model using fundamental cross-sectional approach step by step. It is found that the model involves 28 explanatory factors (including 20 industry factors) and its explanatory power is 58.6% on average. The results of the estimations can be considered very satisfactory.
Moreover, based on MFM, this study simulates applications of equity market neutral strategies through quantitative techniques over the period Jan.2003 ¡V Dec.2003. The results verified that the three major characteristics of equity market neutral portfolio performance are: 1) providing absolute return; 2) lack of correlation to the equity benchmark; and 3) low volatility due to hedged portfolio structures.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0722104-193833
Date22 July 2004
CreatorsTang, Yun-He
ContributorsDavid Shyu, Yih Jeng, Yuan-hsin Liao, Hsiou-jen Kuo
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0722104-193833
Rightscampus_withheld, Copyright information available at source archive

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