基本面指數化策略之實證研究:以台灣股市為例; An Empirical Study of Fundamental Indexation Strategy : The Case of the Taiwan Stock Market

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题名:	基本面指數化策略之實證研究:以台灣股市為例;An Empirical Study of Fundamental Indexation Strategy : The Case of the Taiwan Stock Market
作者:	孫逸寰;Yi-Huan Sun
贡献者:	財務金融研究所
关键词:	市值加權;基本面指數;Market-capitalization.;Cap-weighted;Fundamental index
日期:	2009-06-18
上传时间:	2009-09-22 14:44:42 (UTC+8)
出版者:	國立中央大學圖書館
摘要:	編制股價指數廣用的方法大多以市值加權為主，許多被動式基金的投資組合為了追隨大盤績效表現，便以個股市值來決定其在組合之所佔投資權重。市值加權的方式雖然有低週轉率之優點，但其組合也存在加碼高估股票、減碼低估股票的可能。因此Arnott、Hsu and Moore於2005年提出基本面指數(Fundmental index)的概念，以基本面指標給予權重來建構組合，來避免市值加權組合的疑慮，進而創造更好的績效表現。本研究即依照基本面指數的概念，將其運用於台灣股市，實證期間分別為1992年-2008年以及2000年-2008年兩段期間。主要觀察以基本面建構的投資組合之績效能否顯著優於市值組合(標竿指數)，亦即比大盤優越。同時觀察在不同環境基本面組合之表現，以及在各種績效與風險指標衡量下，與標竿指數之相對表現。本研究採取營收、自由現金流量、前期淨值、當期淨值以及綜合指數等五個基本面指標，並依照其權重建構組合。實證結果發現基本面組合在1992年-2008年雖然表現較市值組合優越，顯著性並未如外國文獻般顯著。而在2000年-2008年此期間基本面組合之顯著性則明顯有所提升，其中尤以自由現金流量組合在兩段期間表現差異最大，而營收組合在兩段期間中表現均為最佳。在週轉率方面，雖然基本面組合略遜於市值組合，但整體而言依然維持了低週轉率，其超額報酬並不會被交易成本所侵蝕。這印證了在台灣市場基本面組合依然能夠保留市值加權組合低週轉率、低交易成本之特色，與外國文獻結果一致。 Most of indexes are based on market-capitalization weighting. Many of passive funds construct their portfolios by capitalization weighting in order to follow the market performance. Capitalization-weighted portfolio have the advantage of low turnover rate, but it possibly leads the portfolio to overweight in overvalue stock, underweight in undervalue stock. Therefore, Arnott, Hsu and Moore indicate the concept of fundamental indexation, they weight portfolio by fundamental data. They want to use the method to create a better performance than capitalization-weighted portfolio. This study adopts the method of fundamental indexation to analyze Taiwan stock market during the years 1992-2008 and 2000-2008 periods. We mainly observe whether the performances of fundamental portfolios are better than cap-weighted portfolios, and observe the performances of fundamental and cap-weighted portfolios at different risk index and conditions. This study constructs and weights portfolios by fundamental index. The indexes are sales, free cash flow, pre-book value, book value and composite index. Our empirical results show that the performances of fundamental portfolios are better than cap-weighted portfolio, but it is not as significant as foreign research in 1992-2008. In 2000-2008, the significance of fundamental portfolios improves obviously. Free cash flow portfolio is greatest different, and the performance of sales portfolio is the best in two periods. Furthermore, the turnover rates of fundamental portfolios are slightly higher than cap-weight portfolio, but the excess return of fundamental portfolios are still positive. We think the fundamental portfolios also maintain low trading cost and low turnover rate in Taiwan stock market, and this result is according with foreign research.
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