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    题名: 匯率報酬的三因子
    3-factor in determinant of exchange rate return
    作者: 黃祺真
    Huang, Chi Chen
    贡献者: 林建秀
    黃祺真
    Huang, Chi Chen
    关键词: 匯率報酬
    市場報酬
    利差交易
    動能策略
    日期: 2016
    上传时间: 2016-07-01 15:01:02 (UTC+8)
    摘要: 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。
    參考文獻: Akaike, H. (1974), “A new look at the statistical model identification”, IEEE Transactions on Automatic Control, vol.19 (6) , pp.716–723.
    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
    Burnside, C., Eichenbaum, M., Kleshchelski, I., and Rebelo, S. (2006), “The Returns to Currency Speculation”, NBER Working Paper Series, No. 12489.
    Burnside, C., Eichenbaum, M. ,and Rebelo, S. (2011), “Carry trade and momentum in currency markets”, NBER Working Paper Series, No. 16942.
    Daniel, K., Hodrick, R.J. ,and Lu, Z.J. (2014), “The Carry Trade: Risks and Drawdowns”, NBER Working Paper Series, No. 20433.
    Dooley ,M.P. ,and Shafer, J.R. (1976), “Analysis of Short-Run Exchange Rate Behavior: March 1973- September 1975”, International Finance Discussion Papers, No. 76.
    Fama, E.F. ,and French, K.R. (1993), “Common Risk Factors in the returns on stocks and bonds”, Journal of financial Economics, vol. 33, p.3-56
    Fama, E.F. ,and MacBeth, J.D. (1973), “Risk, Return, and Equilibrium: Empirical Tests”, Journal of Political Economy, vol. 81, pp.607-634
    Lustig, H. , Roussanov, N. ,and Verdelhan, A. (2011), “Common Risk Factors in Currency Markets” The reviews of financial Studies, vol.24, pp.3731-3776
    Lustig, H. andVerdelhan, A. (2007), “The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk” , American Economic Review, Vol.97(1), pp.89-117 .

    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
    Okunev, J. ,and White, D. (2003), “Do momentum-based strategies still work in foreign currency markets?”, Journal of Financial and Quantitative Analysis, Vol.38(2), pp.425-447
    Rafferty, B. (2011) “The returns to currency speculation and aggregate crash risk”, Economics department of Duke University, pp.1-45
    Schwarz, G.E. (1978), “Estimating the dimension of a model”, Annals of Statistics, vol.6(2) , pp.461-464.
    Sweeney, R.J. (1986), “Beating the Foreign Exchange Market”, Journal of Finance, Vol.41(1), pp.163-182
    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
    描述: 碩士
    國立政治大學
    金融研究所
    103352012
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103352012
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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