政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/140603

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/140603

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/140603

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/140603

Title:	極端報酬與BETA因子之研究－以法國市場為例 Extreme positive return and BETA anomaly in French stock market
Authors:	盛寶陞 Sheng, Bao-Sheng
Contributors:	林靖庭 Lin, Ching-Ting 盛寶陞 Sheng, Bao-Sheng
Keywords:	樂透性質極端正報酬極端報酬 MAX效應市場風險異質波動度 MAX MAX effect Lottery feature BETA anomaly Idiosyncratic volatility Extreme positive return
Date:	2022
Issue Date:	2022-07-01 16:10:26 (UTC+8)
Abstract:	本篇研究探討法國股票市場中，具有樂透性質的股票與其未來預期報酬的關聯，是否存在所謂的「MAX 效應」，並探討法國股票市場中「Beta Anomaly」現象存在與否以及其與「MAX 效應」之關聯及交互作用。結果顯示，法國市場於1990年至2019年間的確存在「MAX 效應」，且在經過控制公司規模大小、股票淨值市價比及流動性的影響後「MAX 效應」依舊存在。不僅如此，本研究亦證明法國市場中異質波動度與預期報酬之間的反向關係導因於「MAX 效應」，而「MAX 效應」則在控制異質波動度後依然顯著。除此之外，本研究發現在法國市場中「MAX 效應」並非如美國市場般為導致「Beta Anomaly」現象的成因，相反的，在控制股票貝它係數後，「MAX 效應」便不復存在。 This paper will investigate the relationship between lottery-like feature of stocks and its’ expected return in the French stock market. In other words , we will examine whether the MAX effect exists in French market. Moreover, this paper will explore the existence of the Beta Anomaly phenomenon in the French stock market and its relationship and interaction with MAX effect . The result shows that MAX effect does exist between 1990 and 2019 , and the phenomenon still significant after controlling variables such as size , book-to-market ratio and liquidity. Moreover, this study also proves that the inverse relationship between idiosyncratic volatility and expected returns in the French market is due to the MAX effect, which remains significant after controlling for idiosyncratic volatility. In addition, this study found that the MAX effect in the French market is not cause by the Beta Anomaly phenomenon as in the US market. On the contrary, after controlling for the stock beta , the MAX effect no longer exists.
Reference:	Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets,Volume 5, Issue 1, pp. 31-56. Ang,A., Hodrick,RJ., Xing,Y., Zhang,X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, pp. 259-299. Ang,A., Hodrick,RJ., Xing,Y., Zhang,X. (2009). High idiosyncratic volatility and low returns: International and further US evidence. Journal of Financial Economic, pp. 1-23. Bali,TG.,Brown,SJ.,Murray,S.,Tang,Y. (2017). A lottery-demand-based explanation of the beta anomaly. Journal of Financial and Quantitative Analysis, Volume 52 , Issue 6, pp. 2369-2397. Bali,TG.,Cakici,N.,Whitelaw,RF. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, pp. 427-446. Banz, R. (1981). The relationship between return and market value of common stocks. Journal of financial economics 9, pp. 3-18. Chan,KC., Chen,NF. (1991). Structural and return characteristics of small and large firms. The Journal of Finance,Volume46, Issue4, pp. 1467-1484. Cheon, Y., Lee, K. (2014). Maxing out globally: MAX-premium, uncertainty avoidance,and the cross-section of expected stock returns. Seoul National University Business School. Fama,EF., French,KR. (1998). Value versus growth: The international evidence. The Journal of Finance,Volume53, Issue6, pp. 1975-1999. Fama,EF., French,KR. (1992). The cross‐section of expected stock returns. the Journal of Finance,Volume47, Issue2, pp. 427-465. Frazzini,A.,Pedersen,LH. (2014). Betting against beta. Journal of Financial Economics 111, pp. 1-25. Jensen,MC., Black,F., Scholes,MS. (1972). The capital asset pricing model: Some empirical tests. Praeger Publishers Inc. Walkshäusl, C. (2014). The MAX effect: European evidence. Journal of Banking & Finance 42, pp. 1-10. Zhong,A., Gray,P. (2016). The MAX effect: An exploration of risk and mispricing explanations. Journal of Banking & Finance, pp. 76-90.
Description:	碩士國立政治大學金融學系 109352018
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0109352018
Data Type:	thesis
DOI:	10.6814/NCCU202200569
Appears in Collections:	[Department of Money and Banking] Theses

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