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| Title: | 基於流動性風險衡量下之Beta套利交易策略
A Liquidity Based Betting-Against-Beta Strategy |
| Authors: | 黃書安
Huang, Shu An |
| Contributors: | 江彌修
Chiang, Mi Hsiu
黃書安
Huang, Shu An |
| Keywords: | 低風險異常報酬
Beta套利交易策略
流動性指標
Low Risk Anomalies
Betting-Against-Beta
Liquidity Indicator |
| Date: | 2016 |
| Issue Date: | 2016-07-11 17:04:18 (UTC+8) |
| Abstract: | 低風險異常報酬(Low Risk Anomalies)於近年來被廣泛探討，許多研究紛紛提出造成該現象的原因，其中Frazzini and Pedersen (2014)更是提出Beta套利交易策略並從該異常現象中獲利。故本文之研究目的在於探討該策略於近年的美國股票市場是否仍有效，同時，亦探討流動性指標的加入是否能改良原始的Beta套利交易策略。本研究以1996年至2015年美國股票市場所有的股票為研究樣本，資料來源為CRSP資料庫以及WRDS資料庫。實證結果顯示該異常現象仍存在於美國股票市場，且Beta套利交易策略仍能獲利。此外，加入Zhou (2014)所使用的流動性指標於該策略中，發現流動性指標的加入的確能提高傳統Beta套利交易策略的獲利，然而該策略於足以造成系統性風險並影響市場流動性的金融危機時，流動性指標的加入則無法有效提高傳統Beta套利交易策略的獲利。
Empirical shows that low volatility stocks have consistently delivered higher average returns than high volatility stocks. Several explanations of this “low risk anomalies” have been advanced, but the topic remains open. The most prominent study is Frazzini and Pedersen (2014), which constructs a beta arbitrage trading strategy – “betting-against-beta strategy”. This trading strategy is a portfolio that holds low beta stocks and shorts high beta stocks, which empirically shows that investors could take advantage of the outperformance of low volatility stocks. Hence, this paper seeks to examine two practical questions. First, we ascertain whether the low risk anomalies still exist in recent period and determine the profitability of betting-against-beta strategy. Second, we add a liquidity indicator to the traditional betting-against-beta strategy, discussing whether the liquidity based betting-against-beta strategy could enhance the magnitude of abnormal return. All available US common stocks data, ranging from January 1996 to December 2015, are obtained from the CRSP and WRDS. Strong evidence shows that low risk anomalies still exist and betting-against-beta strategy but generates positive returns. Last but not least, although this new liquidity based betting-against-beta strategy does not work during the severe economic downturn, it could significantly boost the magnitude of the profitability under normal economic status. |
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| Description: | 碩士
國立政治大學
金融學系
103352023 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103352023 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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