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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/98570
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/98570


    Title: 匯率報酬的三因子
    3-factor in determinant of exchange rate return
    Authors: 黃祺真
    Huang, Chi Chen
    Contributors: 林建秀
    黃祺真
    Huang, Chi Chen
    Keywords: 匯率報酬
    市場報酬
    利差交易
    動能策略
    Date: 2016
    Issue Date: 2016-07-01 15:01:02 (UTC+8)
    Abstract: 了解影響匯率報酬的因素不論在交易、避險或是投機方面,皆是非常備受關注的議題。本文研究目的是為探討同時運用市場超額報酬、利差交易和動能策略是否更能解釋外匯市場的超額報酬,即表示在實證分析上應用三因子模型有更佳的解釋力。
    而本文中使用OLS迴歸及 Fama-Macbeth 兩步驟橫斷面迴歸分析,結果發現皆顯示相較於 Lustig, Roussanov, and Verdelhan (2011) 論文裡的兩因子模型,加入動能策略因子形成的三因子模型在未包含交易成本及考慮交易成本的情況下皆應該是較適切的模型。
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    Asness, C.S., Moskowitz, T.J., and Pedersen, L.H. (2013) “Value and momentum everywhere”, the journal of finance , Vol.68(3), pp.929-985
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    Daniel, K., Hodrick, R.J. ,and Lu, Z.J. (2014), “The Carry Trade: Risks and Drawdowns”, NBER Working Paper Series, No. 20433.
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    Menkhoff, L., Sarno, L., Schmeling, M. ,and Schrimpf, A. (2012a), “Carry trades and global foreign exchange volatility” The Journal of finance, vol.67, NO. 2, pp.682-719
    Menkhoff, L., Sarno, L., Schmeling ,M. ,and Schrimpf, A. (2012), “Currency momentum strategies” Journal of financial Economics, vol.106, pp.660–684
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    張眾卓、王祝三,(2013),“臺灣時間序列與橫斷面股票報酬之研究:不同模型設定、投資組合建構以及樣本選擇下之再檢測”,臺北大學經濟學系出版經濟研究, 49卷1期,pp.31-88
    Description: 碩士
    國立政治大學
    金融研究所
    103352012
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103352012
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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