低波動異常現象及其預測能力

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吳冠緯(Guan-Wei Wu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

低波動異常現象及其預測能力
(Low Volatility Anomaly and Its Predictability)

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摘要(中)

低波動異常現象在近年受到許多學者的關注，因為其違反了傳統財務理論對於風險及報酬應當存在正向抵換關係之預期，而是告訴我們低波動度股票報酬會優於高波動度股票報酬。後續除了有學者證實低波動異常現象是一個存在於全球許多主要市場的財務實證現象之外，也有許多學者試圖找出可能的解釋原因。本文除了驗證台灣市場同樣存在低波動異常現象之外，也探討低波動投資組合策略之報酬率與台灣股票市場風險及加權指數報酬率之關係。
本文主要發現使用一個月形成期、一個月持有期以及四周形成期、一周持有期之公司獨有風險作為分類依據的低波動投資組合策略，其低波動異常現象最為明顯。另外也證實了市場風險的提升的確也會加大低波動投資組合策略之報酬率。而最後本文也發現低波動投資組合策略之報酬率與同期的市場風險以及台灣加權指數報酬率較有相關性，可以反映市場當下之避風港效應的發生。

摘要(英)

Low volatility anomaly began to attract attention in recent years because it violates the positive trade-off relation between risk and return illustrated by the traditional financial theory. Researches also find that low volatility anomaly is an empirical phenomenon observed worldwide. Still others want to come up with possible reasons in order to explain this puzzle. This thesis finds that low volatility anomaly also exists in Taiwan stock market, and aims to discuss the relation between the low volatility portfolio and TAIEX.
This thesis finds that using one-month formation period with one-month holding period and four-week formation period with one-week holding period and sorting the companies by idiosyncratic risk demonstrates the strongest low volatility anomaly. This thesis also finds that when the volatility of stock market increases, the low volatility portfolio will have a better performance. Finally, this thesis finds that the performance of the low volatility strategy is related to the volatility of stock market and the performance of market portfolio simultaneously. Indeed, low volatility anomaly can reflect the current safe haven effect of stock market.

關鍵字(中)

★ 低波動異常現象
★ 避風港效應
★ 公司獨有風險
★ 布林通道

關鍵字(英)

★ Low volatility anomaly
★ Safe haven effect
★ Idiosyncratic risk
★ Bollinger bands

論文目次

低波動異常現象及其預測能力 i
Low Volatility Anomaly and Its Predictability ii
目錄 iii
圖目錄 vi
表目錄 vii
一、緒論 1
1-1 研究動機 1
1-2 研究目的 2
1-3 本文架構 3
二、文獻回顧 4
2-1 公司總風險(total volatility) 4
2-2 公司系統性風險(systematic volatility) 5
2-3 公司獨有風險(idiosyncratic volatility) 5
2-4 避風港效應(safe haven effect) 6
2-5 優勢資訊投資人(informed traders) 6
三、研究方法 8
3-1 研究假說 8
3-2 研究架構 9
3-3 研究對象 10
3-4 變數說明 10
3-4-1 股價報酬率定義 10
3-4-2 標的風險指標 11
3-4-3 市場風險指標 12
3-5 投資組合建立方式 13
四、研究結果 15
4-1 低波動異常現象 15
4-1-1 形成期1個月，持有期1個月 16
4-1-2 形成期3個月，持有期1個月 18
4-1-3 形成期6個月，持有期1個月 20
4-1-4 形成期12個月，持有期1個月 22
4-1-5 形成期4周，持有期1周 24
4-1-6 形成期13周，持有期1周 26
4-1-7 形成期26周，持有期1周 28
4-1-8 形成期52周，持有期1周 30
4-1-9 低波動異常現象之存在 32
4-2 低波動異常現象與市場風險之關係 40
4-3 低波動投資組合報酬率對市場風險之預測能力 42
4-3-1 低波動投資組合報酬t-1期、市場風險t期 44
4-3-2 低波動投資組合報酬t期、市場風險t期 46
4-3-3 低波動投資組合報酬t+1期、市場風險t期 48
4-3-4 低波動投資組合報酬率對於市場風險之預測能力 49
4-4 低波動投資組合報酬率對台灣加權指數報酬率之預測能力 50
4-4-1 低波動投資組合報酬t-1期、台指報酬率t期 51
4-4-2 低波動投資組合報酬t期、台指報酬率t期 53
4-4-3 低波動投資組合報酬t+1期、台指報酬率t期 55
4-4-4 低波動投資組合報酬率對於市場投資組合之預測能力 56
4-5 低波動投資組合報酬率之分析 56
五、結論與建議 61
參考文獻 63

參考文獻

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指導教授

吳庭斌(Ting-pin Wu)

審核日期

2017-7-4

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