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姓名 趙國安(Guo-An Chao) 查詢紙本館藏 畢業系所 財務金融學系 論文名稱 隨機優越動能策略-以台灣股票市場為例
(Construct stochastic dominance momentum strategy)相關論文 檔案 [Endnote RIS 格式]
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摘要(中) 本文藉由二階隨機優越 (Second-Degree Stochastic Dominance, SSD) 與1.5階隨機優越 (1.5-Degree Stochastic Dominance, 1.5SD) 法則篩選出SD贏家與SD輸家之股票，並且檢測買進SD贏家與賣出SD輸家的套利投資組合是否有顯著超額報酬。隨機優越不像平均數-變異數 (mean-variance)需要假設特定之報酬分配或者效用函數，僅以過去報酬率排序的方式判斷風險性資產之優越性，並且不同於動能策略，隨機優越有著理論的支持。
實證結果發現，藉由過去6個月形成期為基礎，不論利用二階隨機優越法則或1.5階隨機優越法則選出的SD贏家投資組合皆有顯著的額外報酬，並且買進SD贏家放空SD輸家之套利投資組合無論持有期為3個月、6個月、9個月或是12個月，超額報酬皆為正值。除此之外，此超額報酬使用CAPM單因子、Fama-French三因子以及Carhart四因子迴歸模型皆無法圓滿解釋。摘要(英)
In this paper, we construct SD-winner and SD-loser portfolios based on 1.5 and second degree stochastic dominance rules and examine the performance of arbitrage portfolio which by longing SD-winner stocks and short selling SD-loser stocks. Compared with the most widely accepted Mean-Variance framework, SD rules require neither a specific return distribution nor a specific utility function. SD rules just need to determine SD-winner or SD-loser on ranking previous 6-month returns.
In empirical test, we form portfolios through the previous 6-month ranking period and hold them up to 12 months.
The results show that SD-winner portfolios produce statistically, significant abnormal returns and arbitrage portfolio has positive excess return. Moreover, these returns are robust with respect to the single index CAPM, the Fama-French three-factor model, the Carhart four-factor model under various criteria of the SD investment strategy.關鍵字(中) ★ 隨機優越
★ 動能策略關鍵字(英) ★ stochastic dominance
★ momentum strategy論文目次
目次
摘要 I
ABSTRACT II
目次 III
圖目錄 IV
表目錄 V
第一章 緒論 1
第二章 隨機優越法則 4
2.1 一階隨機優越法則 (FSD) 4
2.2 二階隨機優越法則 (SSD) 5
2.3 一階隨機優越與二階隨機優越之間 5
第三章 資料與研究方法 7
第四章 實證結果與分析 10
4.1 隨機優越投資組合之報酬 10
4.2 套利投資組合超額報酬之檢定 11
4.3 穩健性測試 12
第五章 結論 13
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Rothschild, M., & Stiglitz, J. E. (1970). Increasing risk: I. A definition. Journal of Economic theory, 2(3), 225-243.指導教授 黃瑞卿、葉錦徽(Rachel Juiching Huang Jin-Huei Yeh) 審核日期 2017-7-28 推文 plurk
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