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研究生:邱鴻展
研究生(外文):Hung-Jhan Chiou
論文名稱:台灣股票市場Beta套利交易策略之實證研究
論文名稱(外文):Betting against Beta in the Taiwan Market
指導教授:黃瑞卿黃瑞卿引用關係
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融學系在職專班
學門:商業及管理學門
學類:財務金融學類
論文出版年:2018
畢業學年度:106
語文別:中文
論文頁數:55
中文關鍵詞:低風險異常報酬Beta套利交易策略
外文關鍵詞:Beta anomalyBAB strategy
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近年來實證研究發現歐美市場具有系統性風險與超額報酬呈自相關的現象,而興起Beta套利交易策略之相關研究,Frazzini and Pedersen(2014)提出「買進低Beta的投資組合,賣出高Beta的投資組合」以獲取市場超額報酬之Beta套利投資策略,然而此一策略是否在單一因子資本資產定價模型具有預測能力的市場仍然可行,是本研究主要探討的議題。本研究自台灣經濟新報資料庫選取台灣股票市場上市公司之相關資料,檢驗台灣股票市場是否具有低風險異常報酬的現象,及建構Beta套利交易策略並透過因子模型檢驗在台灣股票市場是否可以獲取超額報酬。實證研究發現,透過執行Beta套利交易策略在台灣股票市場中,市值前50大之公司樣本可獲取超額報酬;而市值前51大至150大之公司樣本則沒有足夠證據顯示執行策略可獲取超額報酬。
Recently, empirical studies have found beta anomaly from different markets and have inspired the studies on Betting against Beta (BAB) strategy. Frazzini and Pedersen (2014) proposed a BAB strategy by “longing the low-beta assets and shorting the high-beta ones” to earn positive excess returns. We adopt the data in the Taiwan market from Taiwan Economic Journal, to examine whether there is Beta anomaly in the Taiwan market or not. We further construct the BAB strategy, to examine whether the BAB strategy would earns positive returns or not. We find that it would earns positive returns in the data of Top 50 companies and it is no enough evidence that earns positive returns in Top 51-150 companies.
一、緒論 1
1-1 研究動機與目的 1
1-2 研究問題及架構 2
二、文獻探討 4
2-1 投資理論與證券市場線 4
2-2 Beta套利交易策略之發展 6
2-2-1 Beta套利交易因子 6
2-2-2 影響套利交易策略之相關因素 8
三、研究方法 10
3-1 研究假說 10
3-2 樣本來源與處理 11
3-3 變數衡量方式 12
3-4 建構Beta套利交易策略方式 16
四、實證結果及分析 19
4-1 研究樣本之敘述統計量 19
4-2 產業分析 21
4-3 研究樣本之因子模型檢定 23
4-3-1 資本資產定價模型檢定 23
4-3-2 三因子模型檢定 25
4-3-3 台灣市場特性 27
4-4 建構Beta套利交易策略 27
4-4-1 Beta套利交易因子 27
4-4-2 Beta套利交易策略之敘述統計量 28
4-4-3 Beta套利交易策略之因子模型檢定 29
4-5 市值前51大至150大公司之Beta套利策略檢驗 31
4-5-1 市值前51大至150大公司之敘述統計量 31
4-5-2 市值前51大至150大公司之Beta套利交易策略檢驗 36
五、結論與建議 39
5-1 研究結論 39
5-2 研究建議 40
參考文獻 41
一、 中文文獻:
1. 王明傳,「台灣證券市場高階動差系統風險資產定價之研究」,國立臺灣科技大學企業管理學系研究所博士論文,2003。
2. 黃書安、江彌修、邱信瑜,「基於流動性風險衡量下之Beta套利交易策略」,國立政治大學金融學系研究所未出版碩士論文,2016。
3. 黃聖哲,「投資人情緒及流動性與貝他套利交易策略之關聯性研究」,國立政治大學金融學系研究所未出版碩士論文,2017。
二、 英文文獻:
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2. Agarwalla, S. K., Jacob, J., Varma, J. R., and Vasudevan, E., “Betting Against Beta in the Indian Market”, Working Paper series of IIMA, 2014.
3. Auer, B. R., and Schuhmacher, F., “Liquid Betting against Beta in Dow Jones Industrial Average Stocks”, Financial Analysts Journal, Vol. 71, No. 6, pp. 30-43, 1993.
4. Bali, T. G., Brown, S. J., Murray, S., Tang, Y., “Betting Against Beta or Demand for Lottery”, Unpublished Working Paper McDonough School of Business, Georgetown, 2014.
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7. Bauman, W. S., and Miller, R. E., “Investor Expectations and the Performance of Value Stocks versus Growth Stocks”, The Journal of Portfolio Management, Vol. 23, No. 3, pp. 57-68, 1997.
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9. Black, F., “Capital market equilibrium with restricted borrowing”, Journal of business, Vol. 45, No. 3, pp. 444-55, 1972.
10. Blume, M. E., “Betas and their regression tendencies”, The Journal of Finance, vol. 30, No. 3, pp. 785-795, 1975.
11. Buchner, A., and Wagner, N., “The betting against beta anomaly: Fact or fiction?”, Finance Research Letters, vol. 16, pp. 283-289, 2016.
12. Doan, M. P., “The roles of systematic skewness and systematic kurtosis in asset pricing”, Doctor of Philosophy (PhD) Thesis, Economics, Finance and Marketing, RMIT University, 2011.
13. Fama, E. F., and French, K. R., “The Cross-Section of Expected Stock Returns,” Journal of Finance, Vol. 47, No. 2, pp. 427-465, 1992.
14. Fama, E. F., and French, K. R., “Common Risk Factors in the Returns of Stocks and Bonds”, Journal of Financial Economics, Vol. 33, No. 1, pp. 3-56, 1993.
15. Frazzini, A., and Pedersen, L. H., “Betting against beta”, Journal of Financial Economics, Vol.111, No. 1, pp. 1-25, 2014.
16. Harvey, C. R., and Siddique, A., “Conditional skewness in asset pricing tests”, The Journal of Finance, vol. 55, No. 3, pp. 1263-1295, 2000.
17. Li, X., Sullivan, R.N., Garcia-Feijóo, L., “The limits to arbitrage and the low-volatility anomaly”, Financial Analysts Journal, vol. 70, No. 1, pp. 52-63, 2014.
18. Lintner, J., “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of Economics and Statistics, Vol. 47, No. 1, pp. 13-37, 1965.
19. Mossin, J., “Equilibrium in a Capital Asset Market”, Econometrica, Vol. 34, No. 4, pp. 768-783, 1966.
20. Novy-Marx, R., and Velikov, M., "A Taxonomy of Anomalies and Their Trading Costs", Review of Financial Studies, vol. 29, No. 1, pp. 104-147, 2016.
21. Roll, R., “A Possible Explanation of the Small Firm Effect”, The Journal of Finance, Vol. 36, No. 4, pp. 879-888, 1980.
22. Ross, S. A., “The arbitrage theory of capital asset pricing”, Journal of Economic Theory, Vol. 13, No. 3, pp. 341-360, 1976.
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24. Sharpe, W. F., “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, Journal of Finance, Vol. 19, No. 3, pp. 425-442, 1964.
25. Sharpe, W. F., “The sharpe ratio”, The Journal of Portfolio Management, vol. 21, No. 1, pp. 49-58, 1994.
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