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博碩士論文 etd-0020114-230856 詳細資訊
Title page for etd-0020114-230856
論文名稱
Title
市場低風險異常現象投資策略-以台灣股市為例
Low Risk Anomaly Phenomenon Investment Strategy with Application in Taiwan
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
80
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2013-06-14
繳交日期
Date of Submission
2014-01-21
關鍵字
Keywords
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
Beta, Zero-Beta Strategy, Zero-Beta Portfolio, Historical Volatility, Low Risk Anomaly
統計
Statistics
本論文已被瀏覽 5785 次,被下載 64
The thesis/dissertation has been browsed 5785 times, has been downloaded 64 times.
中文摘要
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。
Abstract
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.
目次 Table of Contents
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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