基於基本面因子的指數股票型基金之理論與實證

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Title:	基於基本面因子的指數股票型基金之理論與實證
Authors:	葉怡成 Yeh, I-Cheng
Contributors:	資訊管理學系 Information Management
Keywords:	逐步迴歸;股東權益報酬率;股價淨值比;指數股票型基金;選股模型。 Stepwise regression;return on equity;market to book value ratio;Exchange Traded Fund;stock selection model.
Date:	2010
Issue Date:	2014-07-08 10:13:38 (UTC+8)
Abstract:	雖然ETF具有如此多的優點，但投資人仍期望ETF能盡可能提供較大的報酬與較低的風險。主動式ETF追蹤的指數有主動選股機制，可能可以獲得更好的績效。雖然許多計量投資方法可以提供主動選股機制，但過度複雜與不透明的決策模式，並不適合ETF所應具有的投資組合透明化的特性。本文旨在發展一種基於基本面的指數股票型基金。為了使成份股的選股模型具備透明性，因此本研究以兩種方法建構多因子模型：(1) 理論模型：以均數復歸為基礎推導成長價值雙因子模型。(2) 實證模型：以逐步迴歸從大量的選股因子中選出數個影響股票報酬率的重 While the ETF has so many advantages, but investors still expect ETF can provide greater rewards as much as possible and lower the risk. The index tracked by active ETF has an active stock selection mechanism which may have better performance. Although ma
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