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博碩士論文 etd-0523116-143833 詳細資訊
Title page for etd-0523116-143833
論文名稱
Title
台灣股市應用低風險異常現象形成之中立策略
Neutral Strategy with Low Risk Anomaly Phenomenon in Taiwan Stock Market
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
67
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
2016-06-23
繳交日期
Date of Submission
2016-06-23
關鍵字
Keywords
產業中立策略、貝他中立策略、低風險異常
Sector-Neutral Strategy, Beta-Neutral Strategy, Low Risk Anomaly
統計
Statistics
本論文已被瀏覽 5832 次,被下載 23
The thesis/dissertation has been browsed 5832 times, has been downloaded 23 times.
中文摘要
很多風險報酬相關的實證研究,都是建構在國外的市場上。實證發現美國市場存在低風險高報酬的現象。雖然這個議題得到很多關注,但是該研究都集中在已開發國家上。
本研究發現在1996年到2015年間,台灣市場確實存在低波動異常,其中高低風險組的年化報酬差異可達10.01%,不論利用歷史波動度或是貝他,都可以發現異常現象的存在。由於我們認為股票市場在1996年到2015年間存在結構性改變,像是法人交易比重、股市交易量等等。所以將期間拆為前後十年來做因子的分析。使用分組去做分析,發現前後十年都是使用三年估計期以及歷史波動度來衡量風險,可以造成更大的異常報酬;兩段期間對於市值的反應不同,使用市值加權,在前十年可以改善高風險的績效,但是在後十年卻有相反的結果;分組數上,前後十年最佳組數不同,分別是3組和5組,但是發現每組平均100檔股票會是較佳的組數選擇。最後建構兩個低波動策略和三個低波動中立策略,過去20年中純低波動策略和貝他中立策略平均年報酬分別高達7.11%和5.92%,而市場僅2.39%;貝他中立策略的夏普比率更高達52.65%。
Abstract
Most risk-return research is based on markets in foreign countries. The empirical results find the existence of a low risk anomaly in the US. Although this issue gets much attention, the studies are focused on developed markets.
This study finds the existence of a low risk anomaly in the Taiwan equity market between 1996 and 2015. The gap of annualized returns between low and high risk amounts to 10.01%. Whether we use historical volatility or beta, we find the anomaly in Taiwan. We divide the period into two equal sub-periods to analyze the parameters of the anomaly because we believe there was a structural change in the Taiwan market from 1996 to 2015, such as institutional investors’ proportion of transactions and trading volume. Using fractional analysis compares the impact of some factor. Both test periods are consistent in risk proxy. Using historical volatility and a 3-year estimation period can make the anomaly more obvious. The impact of market value is different in two the periods; using cap-weighting improves the high risk group’s performance in the early period, but the reverse is true in the latter period. The optimal fractiles are also different in the two periods, tercile and quintile is the oprimal fracitiles in test 1 period and test 2 period, respectively. We find that each group including around 100 companies is the best for the anomaly. Finally, we create two low-risk strategies and three neutral strategies. For the past 20 years, the pure low-risk strategy and beta-neutral strategy realized 7.11% and 5.92% annualized return, respectively, however, the market merely realized a 2.39% annualized return. The beta-neutral strategy’s Sharpe ratio is as high as 52.65%.
目次 Table of Contents
論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
Contents v
List of Tables vii
List of Figures viii
Chapter 1 Introduction 1
1.1 Background Information 1
1.2 Research Purpose 3
1.3 Research Structure 4
Chapter 2 Literature Review 5
2.1 Modern Portfolio Theory 5
2.2 Low Risk Anomaly 8
Chapter 3 Data and Methodology 11
3.1 Data Description 11
3.2 Performance Measures 12
3.2.1 Turnover Rate and Transaction Cost 13
3.2.2 Risk Estimation 14
3.2.3 Annualized Alpha 15
3.2.4 Annualized Return and Cumulative Return 15
3.2.5 Sharpe Ratio 16
3.3 Fractional Analysis Design 16
3.4 Strategies 18
3.4.1 Low Risk Strategy 19
3.4.2 Neutral Strategies 19
3.5 Portfolio Naming Rules 24
Chapter 4 Empirical Results 27
4.1 Anomaly test 27
4.2 Parameter comparison 29
4.2.1 Risk Proxies and Estimation Period 29
4.2.2 The Number of Groups 32
4.2.3 Weight 33
4.3 Performance of strategy 34
4.3.1 Low risk 34
4.3.2 Dollar Neutral and Beta Neutral 37
4.3.3 Sector neutral 42
Chapter 5 Conclusions 44
5.1 Conclusion 44
5.2 Recommendations for Further Research 45
References 47
Appendix 50
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