臺灣博碩士論文加值系統

本文以季節性與選擇權波動度偏離作為月策略，先以季節性分群篩選再以波動度偏離分群揀選，挑出合適的股票，並計算每群在樣本時間內的報酬與p值。
最終結果發現，挑選出的報酬相比單用季節性因素篩選股票，確實得到改善，此外，若以理論上最好與最壞的兩群組成long-short投資組合，報酬顯著異於零。而此選股策略也無法被Fama-Macbeth三因子模型所解釋。

In this essay, we use seasonality and option skewness as a monthly strategy. We sort stocks by seasonality first then by skewness with the dependent sorting and calculate returns and p values for each group.
In the end, we find out that there is improvement in returns with the above strategy in comparison with single sorting by seasonality. Besides, if we construct a long-short portfolio with the theoretically best group and worst group, the return is significantly greater than zero, and the strategy cannot be explained by the Fama-Macbeth three-factors model.

口試委員會審定書 i
中文摘要 ii
ABSTRACT iii
目錄 iv
圖表目錄 v
第壹章 緒論 1
第貳章 研究方法 4
第一節 研究樣本 4
第二節資料分析 4
第參章 實證結果 6
第一節 季節性單一要素排序 6
第二節 先按季節性再依波動度偏離的相依排序 7
第三節 波動度偏離單一要素排序 10
第四節 先按波動度偏離再依季節性的相依排序 11
第肆章 結論 14
參考文獻 15
附錄 16

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