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    Title: 利差交易與偏態風險
    Carry trade and skewness risk
    Authors: 張詩穎
    Chang, Shih Ying
    Contributors: 郭炳伸
    Kuo, Biing Shen
    張詩穎
    Chang, Shih Ying
    Keywords: 利差交易
    風險溢酬
    風險因子
    風險波動
    偏態條件機率t分配
    Date: 2017
    Issue Date: 2017-07-31 10:55:07 (UTC+8)
    Abstract: 過去文獻嘗試利用大盤超額報酬來解釋利差交易報酬,以證明這是投資人承擔風險的結果,但並不理想。本研究將大盤超額報酬量化分解為可預期和不可預期兩部分,發現不可預期的部分可以左偏的偏態分佈加以良好配適。這代表著超額報酬其實會比常態分佈具有更高的機率下跌,而形成所謂的偏態風險,亦即不可預期因素影響下,突然大漲或大跌的大盤超額報酬所反映之高風險。本研究的貢獻,在於發現這些大幅下跌的超額報酬,對於利差交易報酬具有顯著解釋力,有別於過往的實證結果。
    Reference: [1] 李杰恩(2016),利差交易之波動風險-簡單移動平均之應用,國立政治大學,國際經營與貿易學系研究所碩士學位論文。
    [2] 葉柏宏(2016),外匯干預下的新台幣利差交易策略:匯率基本面的經濟價值,國立政治大學,國際經營與貿易學系研究所碩士學位論文。
    [3] Aas, K., & Haff, I. H. (2006). The generalized hyperbolic skew student’s t-distribution. Journal of financial econometrics, 4(2), 275-309.
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    [5] Bakshi, G., & Panayotov, G. (2013). Predictability of currency carry trades and asset pricing implications. Journal of Financial Economics, 110(1), 139-163.
    [6] Bhansali, V. (2007). Volatility and the carry trade. The Journal of Fixed Income, 17(3), 72-84.
    [7] Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
    [8] Burnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2006). The returns to currency speculation (No. w12489). National Bureau of Economic Research.
    [9] Christiansen, C., Ranaldo, A., & Söderlind, P. (2011). The time-varying systematic risk of carry trade strategies. Journal of Financial and Quantitative Analysis, 46(04), 1107-1125.

    [10] Clarida, R., Davis, J., & Pedersen, N. (2009). Currency carry trade regimes: Beyond the Fama regression. Journal of International Money and Finance, 28(8), 1375-1389.
    [11] Daniel, K., Hodrick, R. J., & Lu, Z. (2014). The carry trade: Risks and drawdowns (No. w20433). National Bureau of Economic Research.
    [12] Hansen, B. E. (1994). Autoregressive conditional density estimation. International Economic Review, 705-730.
    [13] Lettau, M., Maggiori, M., & Weber, M. (2014). Conditional risk premia in currency markets and other asset classes. Journal of Financial Economics, 114(2), 197-225.
    [14] Lustig, H., Roussanov, N., & Verdelhan, A. (2008). Common risk factors in currency markets (No. w14082). National Bureau of Economic Research.
    [15] Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Currency momentum strategies. Journal of Financial Economics, 106(3), 660-684.
    [16] Massacci, D. (2014). A two-regime threshold model with conditional skewed Student t distributions for stock returns. Economic Modelling, 43, 9-20.
    [17] Sarno, L., Schneider, P., & Wagner, C. (2012). Properties of foreign exchange risk premiums. Journal of Financial Economics, 105(2), 279-310.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    104351016
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104351016
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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