低波動度投資組合交易策略分析

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：12

、訪客IP：3.144.145.38

姓名

楊蓁(Chin Yang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

低波動度投資組合交易策略分析
(Low Volatility Portfolio Trading Strategy)

相關論文

★ 人身保險業經營財富管理業務之探討	★ 歐洲主權債信危機對台灣證券市場金融股的影響
★ 結構型商品之評價及分析-以匯率及股權連結型商品為例	★ 多元通路行銷保險介紹與分析
★ TRF與DKO評價與客戶承做目的之分析	★ 信用卡信用評分模型的建置與評等－以國內某銀行為例
★ 銀行財富管理行銷策略分析--以TF銀行與S銀行為例	★ 金融科技應用之分析與探討
★ 企業併購之無形資產評價分析:以日月光併購矽品為例	★ 一帶一路對中國股市影響之分析與探討
★ 三大法人進出與台灣股票短期報酬關係之研究	★ 東協政治經濟發展介紹與分析
★ 逆向房屋抵押貸款之探討-以上海銀行契約為例	★ 結構型商品之評價與分析 ―以多資產股權連結結構型商品與保息型匯率連結結構型商品為例
★ 台指選擇權隱含波動度價差之交易策略探討	★ 衍生性商品與逆向抵押貸款之評價研究

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

低波動度異常現象(Low Volatility Anomaly)是違反傳統財務理論高風險高報酬的現象，低風險資產卻有高報酬。本文除了驗證台灣股票市場具低波動度異常現象之外，試圖加入市場風險因素，解釋造成低波動異常現象的可能原因，並探討低波動度投資組合是否能夠預測市場風險，最後以持有期間的不同做低波動度交易策略分析。透過三種風險分類和不同估計期間，找出最適的分類方式是估計期為一個月的獨特風險，進而從研究結果證實台灣市場確實具低波動度異常現象，並發現在市場風險高時，能擴大低波動度投資組合的報酬，且前一期的低波動度投資組合能夠預測市場風險，而低波動度交易策略是屬於短期投資策略。

摘要(英)

The low risk asset will earn high return, which is contrary to the traditional financial theory, and this phenomenon is called low volatility anomaly. This paper is about the relationship between low volatility portfolio return and market risk. First, verifying whether Taiwan stock market has low volatility anomaly phenomenon and whether market risk can explain low volatility portfolio return. Then, testing whether low volatility portfolio can predict market risk. Finally, analyzing low volatility trading strategy.
The results show that the Taiwan stock market indeed has low volatility anomaly phenomenon and market risk will influence low volatility portfolio return, so low volatility portfolio return can be an indicator to predict market risk. In addition, low volatility trading strategy belong to short-term strategy.

關鍵字(中)

★ 低波動度異常現象
★ 獨特風險
★ 交易策略

關鍵字(英)

★ Low Volatility Anomaly
★ Idiosyncratic Volatility
★ Trading Strategy

論文目次

中文摘要 ..................................... i
英文摘要 .................................... ii
目錄 ....................................... iii
圖目錄 ....................................... v
表目錄 ...................................... vi
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 獨特風險 ................................. 4
2-2 低波動異常現象 ............................ 5
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 ................................ 11
3-4-1 股價報酬定義 .......................... 11
3-4-2 標的風險定義 .......................... 11
3-4-3 市場風險定義 .......................... 12
3-5 投資組合建立方式 ........................ 13
四、研究結果 ............................... 15
4-1 低波動度異常現象 ........................ 15
4-1-1 估計期：1 個月 ........................ 16
4-1-2 估計期：3 個月 ........................ 19
4-1-3 估計期：6 個月 ........................ 22
4-1-4 估計期：12 個月 ....................... 25
4-1-5 總結 ................................. 28
4-2 市場風險與低波動度投資組合報酬 ............ 30
4-3 低波動度投資組合報酬對市場風險的預測性 ..... 32
4-3-1 市場風險t-2 期、標的風險t 期 ........... 35
4-3-2 市場風險t-1 期、標的風險t 期 ........... 37
4-3-3 市場風險t 期、標的風險t 期 ..............38
4-3-4 市場風險t+1 期、標的風險t 期 ........... 40
4-3-5 市場風險t+2 期、標的風險t 期 ........... 42
4-4 低波動度交易策略實證 ..................... 44
五、結論 ................................... 47
參考文獻 .................................... 48
附錄一景氣對策信號（Monitoring indicator） .. 50
附錄二投資組合建立範例 ...... ................51

參考文獻

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross?section of volatility and
expected returns. The Journal of Finance, 61(1), 259-299.
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009). High idiosyncratic volatility and low
returns International and further US evidence. Journal of Financial Economics, 91(1), 1-
23.
Baker, M., Bradley, B., & Wurgler, J. (2011). Benchmarks as limits to arbitrage Understanding
the low-volatility anomaly. Financial Analysts Journal, 67(1), 40-54.
Baker, N. L., & Haugen, R. A. (2012). Low risk stocks outperform within all observable
markets of the world. Available at SSRN 2055431.
Bali, T. G., & Cakici, N. (2008). Idiosyncratic volatility and the cross section of expected
returns. Journal of Financial and Quantitative Analysis, 43(01), 29-58.
Blitz, D., & Van Vliet, P. (2007). The volatility effect: Lower risk without lower return. Journal
of Portfolio Management, 102-113.
Clarke, R., De Silva, H., & Thorley, S. (2006). Minimum-variance portfolios in the US equity
market. Journal of Portfolio Management, 33(1), 10.
Dichev, I. D., & Yu, G. (2011). Higher risk, lower returns: What hedge fund investors really
earn. Journal of Financial Economics, 100(2), 248-263.
Dutt, T., & Humphery-Jenner, M. (2013). Stock return volatility, operating performance and
stock returns International evidence on drivers of the ‘low volatility’anomaly. Journal of
Banking & Finance, 37(3), 999-1017
Fama, E. F., & French, K. R. (1992). The cross?section of expected stock returns. The Journal
of Finance, 47(2), 427-465.
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and
bonds. Journal of financial economics, 33(1), 3-56.
49
Fu, F. (2009). Idiosyncratic risk and the cross-section of expected stock returns. Journal of
Financial Economics, 91(1), 24-37.
Garcia-Feijoo, L., Kochard, L., Sullivan, R. N., & Wang, P. (2015). Low-Volatility Cycles The
Influence of Valuation and Momentum on Low-Volatility Portfolios. Financial Analysts
Journal, 71(3), 47-60.
Guo, H., & Savickas, R. (2010). Relation between time-series and cross-sectional effects of
idiosyncratic variance on stock returns. Journal of Banking & Finance, 34(7), 1637-1649.
Huang, W., Liu, Q., Rhee, S. G., & Zhang, L. (2009). Return reversals, idiosyncratic risk, and
expected returns. Review of Financial Studies, hhp015.
Kaul, A., & Sapp, S. (2006). Y2K fears and safe haven trading of the US dollar. Journal of
international money and finance, 25(5), 760-779.
Li, X., Sullivan, R. N., & Garcia-Feijoo, L. (2014). The limits to arbitrage and the low-volatility
anomaly. Financial Analysts Journal, 70(1), 52-63.
Li, X., Sullivan, R. N., & Garcia-Feijoo, L. (2016). The Low-Volatility Anomaly Market
Evidence on Systematic Risk vs. Mispricing. Financial Analysts Journal, 72(1), 36-47.
Malkiel, B. G., & Xu, Y. (2002). Idiosyncratic risk and security returns. University of Texas at
Dallas (November 2002).
Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete
information. The journal of finance, 42(3), 483-510.
Peterson, D. R., & Smedema, A. R. (2011). The return impact of realized and expected
idiosyncratic volatility. Journal of Banking & Finance, 35(10), 2547-2558.
Spiegel, M. I., & Wang, X. (2005). Cross-sectional variation in stock returns: Liquidity and
idiosyncratic risk.

指導教授

吳庭斌(Ting-Pin Wu)

審核日期

2017-1-9

推文