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標題: Warren Buffett's Investment Philosophy in International Stock Markets
作者: 陳家豪
Chen, Jia-Hau
關鍵字: Corporate Earnings to GDP;公司獲利能力對國民生產毛額比率;Corporate Dividend to GDP;Mean reversion;公司股利對國民生產毛額比率;均數迴歸
出版社: 財務金融系所
引用: 1.Buffett, W. (1999) , “ MR. BUFFETT ON THE STOCK MARKET. ” Fortune Magazine. 2.Bali, T.G., Demirtas, .O. and Tehranian, H. (2008) , “ Aggregate Earnings, Firm-Level Earnings, and Expected Stock Returns,” Journal of Financial and Quantitative Analysis, Vol. 43, No. 3, pp. 657-684. 3.Chancharoenchai, k., Dibooglu, S. and Mathur, I. (2005),“ Stock Return and the Macroeconomic Envirnment prior to the Asian Crisis in Selected Southeast Asian Countries.” Emerging Markets Finance and Trade, Vol. 41, No. 4, pp. 38-56. 4.Chen,N.F., Roll, R., Ross, S.A. (1986),“ Economic Forces and the Stock Market.” Journal of Business, Vol 59, No. 3, pp. 383-403. 5.Campbell, J.Y. and Shiller, R.J. (1988) , “ Stock Price, Earning, and Expected Dividends. ” Journal of Finance, Vol. XLIII, No. 3, pp. 661-676. 6.Chan, K.C., Gup, B.E., Pan, M.S. (1997) , “ International Stock Market Efficiency and Integration: A Study of Eighteen Nation. ” Journal of Business Finance & Accounting, Vol. 24, pp. 803-813. 7.Donaldson, R..G., Kamstra, M.J., and Kramer, L.A. (2010), “Estimating the Equity Premium.” Journal of Financial anf Quantitative Analysis, Vol. 45, No. 4, pp. 813 -846. 8.Dhillon, U.S., and Johnson, H. (1994) , “The Effect of Dividend Changes on Stock and Bond Prices. ” Journal of Finance, Vol. XLIX, No. 1, pp. 281-289. 9.De Bondt, W.F.M., Thaler, R. (1985) , “ Does the Stock Market Overreact. ” Journal of Finance, Vol. XL, No. 3, pp. 793-805. 10.Fama, E.F., and French, K.R. (1988), “ Dividend Yields and Expected Stock Returns.” Journal of Financial Economics, Vol. 22, pp. 3-25. 11.Fama, E.F., and French, K.R. (2000), “Forecasting Profitability and Earnings.” The Journal of Business, Vol. 73, No. 2, pp. 161-175. 12.Fama, E.F., and French, K.R. (2002), “ The Equity Premium.” The Journal of Finance, Vol. LVII, No, 2, pp. 637-659. 13.Fisher, K.L., Statman, M. (2000) , “ Cognitive Biases in Market Forecasts. ” Journal of Portfolio Management, Vol. 27, pp. 72-81. 14.Geske, R. and Roll, R. (1983),“ The Fiscal and Monetary Linkage between Stock Returns and Inflation.” The Journal of Finance, Vol. XXXVIII, No. 1, pp. 1-33. 15.Ibbotson, R.G., Chen, P. (2003), “ Long-Run Stock Returns: Participating in the Real Economy.” Financial Analysts Journal, Vol. 59, No. 1,pp. 88-98. 16.Lamont, O. (1988) , “ Earnings and Expected Return. ” Journal of Finance, Vol. 53, pp. 1563-1587. 17.Nasseh, A., Strauss, J. (2000),“ Stock prices and domestic and international macro -economic activity: a cointegration approach.” The Quarterly Review of Economics and Finance, Vol 40, pp. 229-245. 18.Rapach, D.E., Wohar, M.E., Rangvid, J., “ Macro variables and international stock return predictability.” International Journal of Forecasting, Vol 21 (2005), pp. 137 - 166. 19.Shiller, R.J. (1984) , “ Stock Price and Social Dynamic. ” Brookings Papers on Economic Activity, Vol. 1984, No. 2, pp. 457-510. 20.Sadka, G. (2007) , “Understanding Stock Price Volatility: The Role of Earnings. ” Journal of Accounting Research, Vol. 45, No. 1, pp. 199-228. 21.Stigler, G.J. (1963), “Capital and Rates of Return in Manufacturing Industries. ” National Bureau of Economic Research. 22.Zhang, Q. J., Hopkins, P., Satchell, S.E., Schwob, R., (2009),“ The link between macro-economic factors and style returns.” Journal of Asset Management, Vol 10, pp. 338-355.
第一部分探討美國相關因子對S&P 500影響,分別使用單根檢定、Granger因果關係檢定、簡單迴歸等方法,希望能找出對市場大盤有預測能力的因子。實證結果發現公司獲利能力對國民生產毛額比率、公司股利對國民生產毛額比率、盈餘收益率扣除無風險利率、通貨膨脹率對S&P 500有預測能力。
第二部分利用美國實證分析結果結合Mean reversion的概念架構投資策略,套用到國際上其他主要市場進行績效分析,使用的投資工具為iShare Country Index,實證結果發現利用公司獲利能力對國民生產毛額比率與Mean reversion的投資策略在英國、德國、中國、日本報酬率可以擊敗大盤。利用公司股利對國民生產毛額比率與Mean reversion的投資策略僅在德國可擊敗大盤,本研究認為各國投資人對發放股利的偏好程度不同導致績效不佳。

This study is according Buffett accepted the Fortune Magazine interview and talked publicly about stock markets in 1999. The sample period of US: 1991~2010, the Taiwan section: 2000~2010.
The first segment is to analyze each factors have effect on S&P 500. The quantitative method includes Unit Root test, Granger Causality test and Simple Linear Regression, and I hope to find out the factors that have predictive power. The evidence shows that corporate profitability to GDP, corporate dividend to GDP, earning yield net of risk free rate and inflation rate on the S&P 500 Index have predictive power.
The second segment used the empirical results of US with concept of Mean reversion to structure the investment strategy and applied to other international stock markets with using of investment tools for iShares country index. Empirical results revealed that investments can beat the market return by using corporate profitability to GDP with concept of Mean reversion in UK, Germany, China and Japan. And by corporate dividend to GDP with concept of Mean reversion can beat market return only in Germany. This indicates investor preference for dividends in varying degrees result in poor performance.
The third segment is to analyze each factors have effect on Taiwan Weighted Stock Index (TAIEX Index) and compared the differences with the US. Unlike the empirical result of US, the corporate profitability to GDP does not have predictive power in Taiwan. This study concluded that empirical results differ between US and Taiwan is resulted from (1) US stock market is more mature than Taiwan stock market (2) Aggregate Earnings data of Taiwan is missing.
其他識別: U0005-2006201117275100
Appears in Collections:財務金融學系所

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