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| Title: | 納入價值策略因子之匯率報酬訂價模型比較
Comparison with exchange rate return pricing models including factor of value strategy |
| Authors: | 張明源
Chang, Ming Yuan |
| Contributors: | 林建秀
張明源
Chang, Ming Yuan |
| Keywords: | 市場報酬
利差交易
價值策略
匯率報酬
Market excess return
Carry trade
Value strategy
Exchange rate return |
| Date: | 2017 |
| Issue Date: | 2017-07-24 12:03:18 (UTC+8) |
| Abstract: | 探討決定匯率報酬的因子模型，對於貨幣市場上交易、避險，以及套利活動都有其幫助。本文使用市場報酬、利差交易策略，以及價值策略形成匯率報酬模型的三因子，研究該模型是否更能夠解釋貨幣的超額報酬，意即三因子是否是較適切的模型。
本文針對無交易成本以及考慮交易成本兩種情形先進行因子相關性分析，再進行Fama-Macbeth兩步驟橫斷面迴歸分析。結果發現無論是第一步驟的OLS迴歸分析、或是第二步驟橫斷面迴歸，以及最後的統計檢定中，相較於Lustig, Roussanov, and Verdelhan (2011)的二因子模型，加入價值策略的三因子模型皆有好的改善，具有比較好的解釋力，表示三因子應該為比較適切的模型。
Discussing the determinants of exchange rate return model is helpful when talking about currency trading, hedging, and arbitrage activities in currency markets. This paper use the market excess return, carry trade, value strategy, to build a three-factor model of exchange rate return. The purpose is to investigate whether this model is more explainable exchange rate return model, that means the three-factor model is better and suitable.
In this paper, we use the factor correlation analysis and the Fama-Macbeth two-step regression to analyze the data based on both conditions excluding transact cost and including transact cost. In whichever OLS or second step cross-section regression, even in the statistical tests at the last, we find that three-factor model is better than two-factor model from Lustig, Roussanov, and Verdelhan (2011). It shows that three-factor model should be the better model compared with the two-factor model. |
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| Description: | 碩士
國立政治大學
金融學系
104352019 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104352019 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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