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    題名: 整合類神經網路與Ohlson Model以公司治理角度探索股市擇時策略之研究
    其他題名: The empirical study of timing strategy in corporating the artificial neural network and Ohlson Model
    作者: 蕭任淵;Hsiao, Jen-Yuan
    貢獻者: 淡江大學資訊管理學系碩士班
    張應華;Chang, Ying-Hua
    關鍵詞: 公司治理;類神經網路;擇時能力;Henriksson&Merton模型;corporate governance;Ohlson model;Neural Network;Market timing;Henriksson&Merton Mode
    日期: 2014
    上傳時間: 2015-05-04 09:54:59 (UTC+8)
    摘要: 股票是投資人常用投資方式,股票受到金融環境影響使得股價變化快速,找出買入賣出股票的時間點為提高獲利的重要關鍵,因此學者提出技術分析提供投資者找尋合適的進出場時機此為擇時策略,但各種技術指標常常彼此相互矛盾,在相同的時間點不同技術指標常出現不同的擇時訊號。
    本研究從基本分析角度利用財會模型Ohlson Model做為擇時依據來分析股票真實價值做為投資買賣的擇時策略,並加入不同的公司治理變數組合,研究不同變數組合之下Ohlson Model的擇時能力,在不同公司治理變數組合下有何差異,並結合模型利用其強大學習能力的類神經網路學習Ohlson Model模型中變數的關係,並在學習完成後來預測真實股價為投資的時間點,最後使用Henriksson & Merton模型檢定本研究方法的擇時能力效果。
    研究結果發現股票市場將當多變,使用Ohlson Model預測出的真實價值與市場價值之間的關係後進行的投資,在使用因素分析組合的投資具有顯著擇時能力,但不具有選股能力,全變數的投資組合具有普通的選股能力但不具有擇時能力,另外研究中也發現在多頭市場時的投資報酬率較不理想,空頭市場的投資報酬率較好,投資人需要評估出的真實價值建立一套投資策略來投資股票市場。
    Most people invest in stocks. Stocks and its prices usually influenced by financial environments, buying and selling stock is a key issue for raise profit, therefore researchers proposed a technical analysis for investors to seek appropriate time to get entry or exit. Technical indicators sometimes conflicts to others, some different technical indicators shows different timing signals at the same time.
    This study uses Ohlson Model to do timing and analyses for real values of stocks for buying and selling decision. It also combines variables of corporate governance, then do research about that what the difference is between combinations of governance variables, incorporating strongly learning artificial neural networks to learn the relationship of variables of Ohlson Model, and predict real stock value and invest time, finally Henriksson & Metron model will be used to test the result of timing ability, it is found that the total effect increased while deviation multiples added into the model.
    Investment in the stock market after studies found that when changing the use of the relationship Ohlson Model predicted between the true value and market value carried in the use of factor analysis when combined with a significant investment timing ability, but do not have stock-picking ability, portfolio is full of variables with a common stock-picking ability, but do not have the timing ability, while the study also found that the return on investment when compared to the bull market is not satisfactory, return on investment is better bear market, investors need to assess the the real value of the investment strategy to invest in the establishment of a stock market.
    顯示於類別:[資訊管理學系暨研究所] 學位論文

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