短線衝殺還是長抱到底？一篇論文看穿價值投資的勝率關鍵 (Leivo, T. H., and E. J. Pätäri ,2009)

from 論文投資學 Quantified Dialogues · host J&A

這裡是論文投資學 Quantified Dialogues，每周用AI探討有意思的投資學術論文和我們一起踏入投資的專業世界論文大綱: 以芬蘭1993-2008資料顯示，持股拉長至五年報酬無損；股息率與複合估值指標最能選股，價值溢酬持續。內文討論:   A. 為什麼研究芬蘭股市？它的結果可以套用到其他國家嗎？ B. 價值投資組合在不同持有期間的報酬差異有多大？ C. 是不是持有越久，績效就一定越好？ D. 持有期間延長會讓風險變小嗎？還是只是報酬波動看起來比較平滑？ E. 策略每年重新平衡和長期持有，哪個比較有效？ F. 在這篇研究中，「value stocks」是用哪種指標挑出來的？ G. 他們是怎麼控制樣本內部變數（像是市值、產業）的？ H. 研究中有沒有哪段時間績效特別差或特別好？ I. 這些回測結果考慮了交易成本或稅負嗎？ J. 如果我用這個策略投資，我應該選擇幾年的持有期比較好？資料來源: Leivo, T. H., and E. J. Pätäri. "The impact of holding period length on value portfolio performance in the Finnish stock markets." Journal of Money, investment and banking 2.8 (2009): 71-86. Powered by Firstory Hosting

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短線衝殺還是長抱到底？一篇論文看穿價值投資的勝率關鍵 (Leivo, T. H., and E. J. Pätäri ,2009)

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