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| Title: | 外匯超額報酬之六因子與高階動差定價研究
Six-Factor and Higher-Order Moment Models for Pricing Currency Excess Returns |
| Authors: | 郭佳恩
Kuo, Chia-En |
| Contributors: | 林建秀
Lin, Chien-Hsiu
郭佳恩
Kuo, Chia-En |
| Keywords: | 外匯交易
資產定價
高階動差因子
Fama–MacBeth回歸
廣義動差估計
波動度因子
偏度因子
FX trading
asset pricing
high-order moment factor
Fama–MacBeth
GMM
realized volatility factor
realized skewness factor |
| Date: | 2025 |
| Issue Date: | 2025-07-01 15:16:24 (UTC+8) |
| Abstract: | 本研究比較多種外匯超額報酬的資產定價模型，採用自1985年1月至2024
年8月37個國家的匯率月資料。我們建構市場、利差、動能、價值之四因子模型，並新增產出缺口和通膨因子，形成五、六因子模型，透過時間序列與橫斷面資產定價分析，檢驗因子模型對外匯超額報酬的影響。實證結果顯示五因子模型能有效捕捉到外匯超額報酬的變化，加入通膨因子能提升模型的解釋能力。基於異質性投資人的假設，我們進一步探討市場、波動度與偏度因子構成之高階動差模型，發現其解釋能力較弱，且存在系統性誤差。然而對極端值進行平滑處理後，調整後之高階動差模型解釋能力提升，顯示極端事件對高階動差因子定價之影響力。
Using monthly exchange‐rate data for 37 countries from January 1985 to August 2024, we compare several asset‐pricing models for currency excess returns. We construct a four‐factor model including market, carry, momentum, and value factors, then extend it to five- and six-factor models by adding the output‐gap and inflation factors. Through time‐series and cross‐sectional asset‐pricing analyses, we assess each model’s ability to explain currency excess returns. Empirical results show that the five‐factor specification effectively captures return variation and that the inclusion of the inflation factor enhances explanatory power. We further explore a higher‐order moment model composed of market, realized volatility, and skewness factors, finding that it initially exhibits relatively low explanatory power and systematic pricing errors. After smoothing extreme observations, both goodness-of-fit and pricing-error measures improve significantly, highlighting extreme events’ impact on higher‐order moment pricing. |
| Reference: | 郭秀樺(2018)。外匯報酬之利差、動能及價值交易策略成因分析，未出版碩士論文，國立政治大學金融研究所，臺北市。
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| Description: | 碩士
國立政治大學
金融學系
112352007 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112352007 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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