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    题名: 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
    作者: 黃聖哲
    贡献者: 江彌修
    黃聖哲
    关键词: 投資人情緒
    流動性
    貝他套利交易策略
    日期: 2017
    上传时间: 2017-07-11 11:30:42 (UTC+8)
    摘要: 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。
    參考文獻: 一、中文部分
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    描述: 碩士
    國立政治大學
    金融學系
    104352018
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104352018
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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