Title: 公司規模、淨值市價比對效率投資組合選取的影響評估— 平均數-左尾部分動差模型之應用
The Impact of Size and Book-to-Market Ratio on the Selections of Efficient Portfolios— An Application of Mean-Lower Partial Moment Model
Authors: 陳俊屹
ChunYi Chen
Sheu Her-Jiun
Keywords: 公司規模;淨值市價比;下方風險;左尾部分動差;Firm size;Book-to-market ratio;Downside risk;Lower partial moment
Issue Date: 2000
Abstract: 以變異數計算風險,雖是廣為採納的方法,但其以整個報酬分配的波動性衡量風險,卻引起較大的爭議。因此,本研究除了採用平均數-變異數模型外,亦在下方風險的考量下,以平均數-左尾部分動差模型,探討台灣股票市場中,公司規模與淨值市價比兩因子,是否對效率投資組合的選擇具指標作用。研究期間自民國75年至89年止。實證結果發現:1.就報酬而言,台股具規模效應與淨值市價比現象。2.在平均數-變異數模型下,公司規模與淨值市價比兩因子對效率投資組合的選擇,效果不明顯。3.在平均數-左尾部分動差模型下,大規模的公司,其淨值市價比因子對效率投資組合的選擇,具指標作用。
In this study, we focus on the problem of portfolio selection and efficiency under the effects of size and book-to-market ratios (BE/ME). The traditional portfolio ranking methods are based on the mean-variance (M-V) model. Although this two-moment method is convenient, it may be insufficient to characterize return distributions. Therefore, mean-lower partial moment (M-LPM) model is employed to examine the impact of the two factors on portfolio selection for the period 1986-2000 in Taiwan. Our results show that the size and book-to-market effects do exist in Taiwan stock market. Using the M-V model, the empirical evidence shows that firm size and BE/ME do not play significant roles in selecting efficient portfolios. However, using the M-LPM model, portfolios of high BE/ME stocks dominate those of low BE/ME stocks, especially for large-size stocks.
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