政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135903

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/135903

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113318/144297 (79%)
造訪人次 : 51107192 線上人數 : 907

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜尋範圍

查詢小技巧：

您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果

若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料

進階搜尋

主頁 ‧ 登入 ‧ 上傳 ‧ 說明 ‧ 關於政大典藏 ‧ 管理

到手機版

政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/135903

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/135903

題名:	低波動策略的條件績效分析 - 以美國為例 The Conditional Performance of Low Volatility Strategies in the US
作者:	黃曼如 Huang, Man-Ru
貢獻者:	鍾令德黃曼如 Huang, Man-Ru
關鍵詞:	低波動策略低波動度異常現象 Low Volatility Strategies Low Volatility Anomaly
日期:	2021
上傳時間:	2021-07-01 16:18:45 (UTC+8)
摘要:	由於中美貿易戰持續加劇、英國脫歐和全球央行利率變化的不確定性，2019年起全球經濟成長放緩。而 2020 年初開始新型冠狀病毒肆虐，進而影響全球經濟走勢，投資者開始關注於低風險的投資標的。根據資本資產定價模型(CAPM)，低波動策略的報酬率應低於其他高風險投資商品，但在市場風險變高時，低波動策略應可當作避險的投資工具。因此，本文將探討低波動策略在高市場風險下的表現，並與同期的高波動策略作比較。研究對象為 CRSP 資料庫，包含美國證券交易所(American Stock Exchange, AMEX)、紐約證券交易所(New York Stock Exchange, NYSE)及那斯達克證券交易所(Nasdap Stock Exchange, NASDAQ)之上市股票。根據研究樣本中的數據，高風險時期包括亞洲金融風暴(1997)、網路泡沫(2000)、次貸金融海嘯(2008)、新冠肺炎(2020)。本文將利用回測及迴歸進行檢定與分析，從而探討在經濟不景氣期間是否存在低波動度異常現象(Low Volatility Anomaly)，並會透過與市場波動度比較，檢視低波動度投資組合是否有避險功能。 Since 2019, the global economic growth has slowed down, because of the international trade dispute, Brexit, and the uncertainty of global monetary policies. To make matters worse, the outbreak of the COVID-19 in early 2020 has severely disrupted the global economy. According to the capital asset pricing model, investors should receive higher expected return for bearing more systematic risk. Therefore, low volatility strategies should have lower expected returns than their high-risk counterparts. But in periods of market turbulences, low volatility strategies may be more resilience and thus offer better risk-adjusted returns to investors. In this article, I form low volatility strategies using stocks traded on the NYSE, AMEX and NASDAQ and study their conditonal performance versus their high volatility counterparts amid four volatile periods including the Asian financial crisis (1997), the Internet bubble (2000), the Subprime mortgage crisis (2008), and the COVID-19 (2020). Specifically, I conduct back-testing and regression analysis to study whether low volatility strategies outperform relative to other factors during high volatility periods.
參考文獻:	[1] Alighanbari, M., Doole, S., and Shankar, D. (2016). Designing Low-Volatility Strategies. The Journal of Index Investing, 7(3), 21-33. [2] Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2009). High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Journal of Financial Economics, 91(1), 1–23. [3] Baker, M., Bradley, B., and Wurgler J. (2011). Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly. Financial Analysts Journal, 67(1), 40-54. [4] Blitz, D., and van Vliet, P. (2011). Benchmarking Low-Volatility Strategies. The Journal of Index Investing, 2(1), 44-49. [5] Blitz, D., and Vidojevic, M. (2017). The profitability of low-volatility. Journal of Empirical Finance, vol. 43(C), 33-42. [6] Brzenk, P. and Soe, A. M. (2017). A Tale of Two Low Volatility Indexes. The Journal of Index Investing, 8(2), 95-107. [7] Carhart, M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. [8] Fama, E. F., and French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465. [9] Fama, E. F., and French, K. R. (2016). Dissecting anomalies with a five-factor model. The Review of Financial Studies, 29(1), 69–103. [10] Garcia-Feijóo, L., Kochard, L., Sullivan, R. N., and Wang, P. (2015) Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios. Financial Analysts Journal, 71(3), 47-60. [11] Li, Xi, Sullivan, R. N., and Garcia-Feijóo, L. (2014). The Limits to Arbitrage and the Low-Volatility Anomaly. Financial Analysts Journal, 70(1), 52–63. [12] Li, Xi, Sullivan, R. N., and Garcia-Feijóo, L. (2016). The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing. Financial Analysts Journal, 72(1), 36–47. [13] Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37. [14] Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91. [15] Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-783. [16] Muijsson, C., Fishwick E., and Satchell S. (2015). The Low Beta Anomaly and Interest Rates. In E. Jurczenko, ed., Risk-Based and Factor Investing, 1st edition, ISTE Press and Elsevier, 305-328. [17] Sharpe, W. F. (1964). Capital asset prices : a theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425-422. [18] Shiller, R. J. (2000). Irrational Exuberance. Princeton, NJ：Princeton University Press. [19] Treynor, J. L. (1962). Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics. London, Risk Books. p15-22. 網際網路 [20] CBOE Staff. (2019). Whitepaper : Cboe Volatility Index. Retrieved from https://www.cboe.com/tradable_products/ (March 26, 2021). [21] Kenneth R. French Data Library. Retrieved from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ (March 12, 2020).
描述:	碩士國立政治大學國際經營與貿易學系 108351032
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0108351032
資料類型:	thesis
DOI:	10.6814/NCCU202100536
顯示於類別:	[國際經營與貿易學系 ] 學位論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
103201.pdf		1971Kb	Adobe PDF2	34	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

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 © - 回饋