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研究生:謝孟達
研究生(外文):Meng-ta Hsieh
論文名稱:市場低風險異常現象投資策略-以台灣股市為例
論文名稱(外文):Low Risk Anomaly Phenomenon Investment Strategy withApplication in Taiwan
指導教授:鄭義鄭義引用關係
指導教授(外文):Yih Jeng
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:英文
論文頁數:80
中文關鍵詞:低風險異常現象零貝他投資組合零貝他投資策略貝他歷史波動度
外文關鍵詞:BetaZero-Beta StrategyZero-Beta PortfolioHistorical VolatilityLow Risk Anomaly
相關次數:
  • 被引用被引用:2
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  • 下載下載:23
  • 收藏至我的研究室書目清單書目收藏:2
在財務理論中,高報酬總是伴隨著高風險。然而,市場中存在著一個違反此假設的異常現象。美國市場實證發現,過去50 年期間,低風險的股票長期而言相較於高風險的股票會有較好的表現,而這包含了較高的報酬率以及較低的波動率。
本研究說明低風險股票長期而言具有高報酬的異常現象的確存在於台灣市場。在過去22 年期間,高低風險分組間的年報酬差異甚至可以高達每年9.86%。此外,利用歷史波動度來排序分組而得到的投資組合,其現象較使用貝他排序的投資組合更為明顯。此外,使用五年期間長度來衡量風險,效果與表現都較使用一年期間長度更佳。這個現象在大型股中更明顯,最低風險組與最高風險組的報酬率差距較等權重投資組合更大。為了從此異常現象獲利,我們建立零貝他投資組合,並由實證確認此策略較市場投資組合有更高的報酬以及較低的報酬率。在過去22 年的實證結果,使用前150 大公司為樣本的分組,平均年複合報酬率高達6.46%,而同期間市場投資組合則僅有0.07%。過去11 年的報酬則更為驚人,平均年複合報酬高達18.61%。最後我們分析了該策略的性質,嘗試不同的建構方式。發現在此策略下,風險與報酬的抵換關係又再度出現。
In financial theories, it commonly accepted that high return comes from high risk, however there is an anomaly which violates this hypothesis. In the United States market, stocks with the lowest risk achieved better returns in the past 50 years.
We present empirical evidence that stocks with low risk earn high return in the Taiwan market. The average annual return spread of low versus high volatility quintile portfolios amounts to 9.86% for past 22 years. Furthermore, portfolios which are ranked by historical volatility perform better than those ranked by beta, using longer time periods to estimate risk performs better than shorter time periods, and the difference between of return high and low risk portfolios is greater in large-cap stocks. In order to exploit the anomaly, we build a zero-beta portfolio, and the portfolio realizes a 6.46% annual return for past 22 years. Finally, we try different ways of building the portfolio, and find that the risk parity re-establishes in zero-beta strategy.
I. INTRODUCTION ................................................................................................................................ 1
1.1 BACKGROUND OF INVESTIGATION ................................................................................................ 1
1.2 PURPOSE OF RESEARCH AND CONTRIBUTION ............................................................................ 2
1.3 OVERVIEW OF THE PAPER .......................................................................................................... 4
II. LITERATURE REVIEW ...................................................................................................................... 5
2.1 DEVELOPMENT OF PORTFOLIO THEORY ...................................................................................... 5
2.2 RISK MEASUREMENT ................................................................................................................... 7
2.3 LOW RISK ANOMALY .................................................................................................................... 9
III. DATA AND METHODOLOGY ........................................................................................................... 11
3.1 DATA SOURCES ........................................................................................................................... 11
3.2 RESEARCH DESIGN .................................................................................................................... 13
IV. EMPIRICAL RESULTS ................................................................................................................... 27
4.1 LOW RISK ANOMALY TEST .......................................................................................................... 27
4.2 RISK-RANKING COMPARISON ...................................................................................................... 30
4.3 ZERO-BETA PORTFOLIO CONSTRUCTION .................................................................................... 35
4.4 ROBUSTNESS TEST .................................................................................................................... 50
V. CONCLUSIONS .............................................................................................................................. 53
5.1 CONCLUSION OF THIS STUDY ..................................................................................................... 53
5.2 SUGGESTIONS FOR FUTURE RESEARCH ................................................................................... 54
VI. REFERENCES .............................................................................................................................. 56
VII. APPENDIX ................................................................................................................................... 58
7.1 SUB-PERIOD ZERO-BETA PORTFOLIO PERFORMANCE ............................................................... 58
7.2 PERFORMANCE OF EACH PORTFOLIO ....................................................................................... 59
7.2.1 Historical Volatility ...................................................................................................................... 59
7.2.2 Beta Groups .............................................................................................................................. 62
7.2.3 Capitalized Weighted Groups ...................................................................................................... 64
7.2.4 Institutional Holding Groups ......................................................................................................... 66
7.2.5 BAB Beta Groups ....................................................................................................................... 68
7.2.6 Three Groups Ranking ................................................................................................................ 71
7.3 THREE-YEAR RISK ESTIMATED ZERO-BETA PORTFOLIO PERFORMANCE ................................... 74
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