| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系 === 105 === This research adopts with Five-Factor Model Framework (Fama and French, 2015) and concentrates on the investment in the Taiwan Stock Exchange from 1991 to 2015. It examines existence of excess stock returns in winner portfolios, loser portfolios, contrarian portfolios and eight industry index portfolios and the explanatory power of each factor in excess return. Next, we use value averaging investment to simulate different portfolios investment performance of one year, two years, three years, four years, five-year. The results indicated: (1) Each sample portfolio has excess return (2) Over all, the factors of market premium, the size, Book to Market ratio and investment strategy have significant explanatory power for each portfolio's excess return (3) Contrarian portfolios have better performance than other portfolios.
|
|---|
