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    題名: 投資組合的貝他值套利模式在台灣股票市場的應用
    The portfolio beta arbitrage strategy and its application in Taiwan stock market
    作者: 許光輔
    貢獻者: 郭維裕
    許光輔
    關鍵詞: 貝它套利
    套利
    融資限制
    超額報酬
    beta arbitrage
    arbitrage
    funding constraint
    excess return
    日期: 2012
    上傳時間: 2013-07-01 17:26:11 (UTC+8)
    摘要: 近年來，波動度交易已成為熱門的研究議題。本研究探討貝他套利模式的理論及方法，並且利用台灣股票市場2003年到2012年的實證資料來研究BAB無系統風險套利模式的投資績效與超額報酬。我們買進低貝他投資組合並借券賣出高貝他投資組合，建立一個BAB權重的零成本投資組合。並且利用超額報酬與多因子alpha來衡量低貝他投資組合、高貝他投資組合及BAB套利方法的投資績效。此外，我們也探討融資限制對於BAB套利方法之報酬的影響。
    本研究實證發現低貝他投資組合比高貝他投資組合在風險因子調整下的能賺取更高的超額報酬。而在台灣股票市場中，BAB套利模式在風險因子調整下更可以得到顯著的超額報酬；而融資限制也確實減低BAB套利模式的報酬率。
    This article examines the theories and methods of beta arbitrage, and considers the returns on market- neutral betting against beta (BAB) factors in Taiwan Stock Exchange (TSE) in during 2003 to 2012. We long low beta portfolios and short sell high beta portfolios, constructing a zero cost portfolio that weighted by BAB factor. Then we examine the excess return and multiple alphas for low beta portfolios, high beta portfolios, and BAB factor. Besides, we are interest that funding constraint might affect the BAB return.
    We find the evidence that low beta portfolios gain more return adjusted by risks than high beta portfolios. BAB factor could produce significant positive risk adjusted returns. Funding constraint might reduce the BAB return.
    參考文獻: Asness, C., A. Frazzini, and L. H. Pedersen. 2012. Quality Investment, working paper, AQR Capital Management, New York University.

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    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    100351003
    101
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0100351003
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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