政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/110801
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 51109448      Online Users : 997
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/110801


    Title: 投資人情緒及流動性與貝他套利交易策略之關聯性研究
    Investor sentiments, market liquidity, and betting against beta trading strategies
    Authors: 黃聖哲
    Contributors: 江彌修
    黃聖哲
    Keywords: 投資人情緒
    流動性
    貝他套利交易策略
    Date: 2017
    Issue Date: 2017-07-11 11:30:42 (UTC+8)
    Abstract: 近來許多學者指出股票市場不如效率市場假說所述，反而存在低風險異常報酬之現象，而Frazzini and Pedersen (2014)提出貝他套利交易策略，藉由該策略可增加獲取之超額報酬。故本研究將探討低風險異常報酬是否仍存於近年的美國股票市場，另外，亦將加入投資人情緒及流動性指標，研究其是否能改良貝他套利交易策略。實證結果顯示，低風險異常報酬仍然存在於美國股票市場，且執行貝他套利交易策略可增加所獲取之超額報酬。此外，於該策略加入成交量變動率及成交量，分別作為情緒及流動性指標後，發現兩種方式皆能改良貝他套利交易策略之獲利，其中又以加入流動性指標能獲取較多報酬，然而上述兩種策略於2007年至2008年金融危機時，皆無法有效提高貝他套利交易策略的獲利。
    Reference: 一、中文部分
    周賓凰、張宇志、林美珍，2007，投資人情緒與股票報酬互動關係，證券市場發展季刊。
    黃書安、江彌修、邱信瑜，2016，基於流動性風險衡量下之 Beta 套利交易策略，國立政治大學金融研究所未出版碩士論文。
    二、英文部分
    Amihud, Y. 2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5 (1):31-56.
    Amihud, Y., and H. Mendelson. 1986. Asset pricing and the bid-ask spread. Journal of Financial Economics 17 (2):223-249.
    Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang. 2006. The cross‐section of volatility and expected returns. The Journal of Finance 61 (1):259-299.
    ———. 2009. High idiosyncratic volatility and low returns: International and further US evidence. Journal of Financial Economics 91 (1):1-23.
    Baker, M., B. Bradley, and R. Taliaferro. 2014. The low-risk anomaly: A decomposition into micro and macro effects. Financial Analysts Journal 70 (2):43-58.
    Baker, M., B. Bradley, and J. Wurgler. 2011. Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. Financial Analysts Journal 67 (1):40-54.
    Baker, M., and J. C. Stein. 2004. Market liquidity as a sentiment indicator. Journal of Financial Markets 7 (3):271-299.
    Baker, M., and J. Wurgler. 2000. The equity share in new issues and aggregate stock returns. The Journal of Finance 55 (5):2219-2257.
    ———. 2006. Investor sentiment and the cross‐section of stock returns. The Journal of Finance 61 (4):1645-1680.
    Baker, M. P., J. Wurgler, and B. Bradley. 2010. A behavioral finance explanation for the success of low volatility portfolios.
    Banz, R. W. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9 (1):3-18.
    Barber, B. M., T. Odean, and N. Zhu. 2006. Do noise traders move markets?
    Barberis, N., and M. Huang. 2008. Stocks as lotteries: The implications of probability weighting for security prices. The American Economic Review 98 (5):2066-2100.
    Bergman, N. K., and S. Roychowdhury. 2008. Investor sentiment and corporate disclosure. Journal of Accounting Research 46 (5):1057-1083.
    Bernstein, P. L. 1987. Liquidity, stock markets, and market makers. Financial Management:54-62.
    Black, F. 1972. Capital market equilibrium with restricted borrowing. The Journal of Business 45 (3):444-455.
    Blitz, D. C., and P. Van Vliet. 2007. The volatility effect. The Journal of Portfolio Management 34 (1):102-113.
    Blume, L., D. Easley, and M. O`hara. 1994. Market statistics and technical analysis: The role of volume. The Journal of Finance 49 (1):153-181.
    Blume, M. E. 1975. Betas and their regression tendencies. The Journal of Finance 30 (3):785-795.
    Brown, G. W., and M. T. Cliff. 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance 11 (1):1-27.
    Brunnermeier, M. K., C. Gollier, and J. A. Parker. 2007. Optimal beliefs, asset prices, and the preference for skewed returns: National Bureau of Economic Research.
    Carhart, M. M. 1997. On persistence in mutual fund performance. The Journal of Finance 52 (1):57-82.
    Chordia, T., R. Roll, and A. Subrahmanyam. 2001. Market liquidity and trading activity. The Journal of Finance 56 (2):501-530.
    Clark, E., and K. Kassimatis. 2014. Exploiting stochastic dominance to generate abnormal stock returns. Journal of Financial Markets 20:20-38.
    Clarke, R. G., H. De Silva, and S. Thorley. 2006. Minimum-variance portfolios in the US equity market. The Journal of Portfolio Management 33 (1):10-24.
    Datar, V. T., N. Y. Naik, and R. Radcliffe. 1998. Liquidity and stock returns: An alternative test. Journal of Financial Markets 1 (2):203-219.
    De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann. 1990. Noise trader risk in financial markets. Journal of Political Economy 98 (4):703-738.
    Elton, E. J., M. J. Gruber, and J. A. Busse. 1998. Do Investors Care about Sentiment?*. The Journal of Business 71 (4):477-500.
    Fama, E. F., and K. R. French. 1992. The cross‐section of expected stock returns. The Journal of Finance 47 (2):427-465.
    ———. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1):3-56.
    Frazzini, A., and L. H. Pedersen. 2014. Betting against beta. Journal of Financial Economics 111 (1):1-25.
    Gendolla, G. H. 2000. On the impact of mood on behavior: An integrative theory and a review. Review of General Psychology 4 (4):378.
    Grossman, S. J., and M. H. Miller. 1988. Liquidity and market structure. the Journal of Finance 43 (3):617-633.
    Harvey, C. R., and A. Siddique. 2000. Conditional skewness in asset pricing tests. The Journal of Finance 55 (3):1263-1295.
    Haugen, R. A., and A. J. Heins. 1975. Risk and the rate of return on financial assets: Some old wine in new bottles. Journal of Financial and Quantitative Analysis:775-784.
    Hsu, J. C., H. Kudoh, and T. Yamada. 2012. When sell-side analysts meet high-volatility stocks: an alternative explanation for the low-volatility puzzle.
    Jegadeesh, N., and S. Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance 48 (1):65-91.
    Jensen, M. C., F. Black, and M. S. Scholes. 1972. The capital asset pricing model: Some empirical tests.
    Kahneman, D., and A. Tversky. 1979. Prospect theory: An analysis of decision under risk. Econometrica: Journal of the Econometric Society:263-291.
    Kamstra, M. J., L. A. Kramer, and M. D. Levi. 2000. Losing sleep at the market: The daylight saving anomaly. The American Economic Review 90 (4):1005-1011.
    Kothari, S. P., J. Shanken, and R. G. Sloan. 1995. Another look at the cross‐section of expected stock returns. The Journal of Finance 50 (1):185-224.
    Kumar, A. 2009. Who gambles in the stock market? The Journal of Finance 64 (4):1889-1933.
    Kumar, A., and C. Lee. 2006. Retail investor sentiment and return comovements. The Journal of Finance 61 (5):2451-2486.
    Lakonishok, J., A. Shleifer, and R. W. Vishny. 1994. Contrarian investment, extrapolation, and risk. The Journal of Finance 49 (5):1541-1578.
    Lee, C., A. Shleifer, and R. H. Thaler. 1991. Investor sentiment and the closed‐end fund puzzle. The Journal of Finance 46 (1):75-109.
    Lee, C., and B. Swaminathan. 2000. Price momentum and trading volume. The Journal of Finance 55 (5):2017-2069.
    Lewellen, J., and S. Nagel. 2006. The conditional CAPM does not explain asset-pricing anomalies. Journal of Financial Economics 82 (2):289-314.
    Ljungqvist, A., V. Nanda, and R. Singh. 2006. Hot markets, investor sentiment, and IPO pricing. The Journal of Business 79 (4):1667-1702.
    Massimb, M. N., and B. D. Phelps. 1994. Electronic trading, market structure and liquidity. Financial Analysts Journal:39-50.
    Merton, R. C. 1980. On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics 8 (4):323-361.
    Mossin, J. 1966. Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society:768-783.
    Roll, R., and S. A. Ross. 1994. On the cross‐sectional relation between expected returns and betas. The Journal of Finance 49 (1):101-121.
    Rosenberg, B., K. Reid, and R. Lanstein. 1985. Persuasive evidence of market inefficiency. The Journal of Portfolio Management 11 (3):9-16.
    Santis, G., and B. Gerard. 1997. International asset pricing and portfolio diversification with time‐varying risk. The Journal of Finance 52 (5):1881-1912.
    Schneider, P., C. Wagner and J. Zechner. 2016. Low Risk Anomalies? Working Paper.
    Schneider, P., C. Wagner, and J. Zechner. 2016. Low risk anomalies?
    Sharpe, W. F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance 19 (3):425-442.
    ———. 1994. The sharpe ratio. The Journal of Portfolio Management 21 (1):49-58.
    Shefrin, H. 2002. Beyond greed and fear: Understanding behavioral finance and the psychology of investing: Oxford University Press on Demand.
    Sheu, H.-J., S. Wu, and K.-P. Ku. 1998. Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan. International Review of Financial Analysis 7 (1):1-18.
    Shiller, R. J., S. Fischer, and B. M. Friedman. 1984. Stock prices and social dynamics. Brookings Papers on Economic Activity 1984 (2):457-510.
    Shiller, R. J., F. Kon-Ya, and Y. Tsutsui. 1996. Why did the Nikkei crash? Expanding the scope of expectations data collection. The Review of Economics and Statistics:156-164.
    Siegel, J. J. 1992. Equity risk premia, corporate profit forecasts, and investor sentiment around the stock crash of october 1987. Journal of Business:557-570.
    Stein, J. C. 1996. Rational capital budgeting in an irrational world: National bureau of economic research.
    Vasicek, O. A. 1973. A Note on Using Cross‐sectional Information in Bayesian Estimation of Security Betas. The Journal of Finance 28 (5):1233-1239.
    Whaley, R. E. 2000. The investor fear gauge. The Journal of Portfolio Management 26 (3):12-17.
    Zhou, C. 2014. Liquidity based momentum strategies on Dutch stock market.
    Description: 碩士
    國立政治大學
    金融學系
    104352018
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104352018
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2549View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback