流動性風險下信用違約傳染模型之建構及實證研究

Abstract

Franzzini and Pedersen (2014)的beta套利交易策略(betting-against-beta, BAB)雖然利用了低風險高報酬異常現象來獲取異常報酬，然而卻忽略了低beta的股票與其平均流動性的連帶關係(Li, Sullivan與Garcia-Feijóo, 2014)。在本文中我們提出納入流動性考量之beta套利交易策略(liquidity-based BAB)，我們的研究發現相較於傳統BAB，納入流動性考量之套利交易策略能提供更高的異常報酬。藉由兩階段排序(double sorting)，我們發現在流動性佳的股票群組中，形成beta套利交易策略仍能獲取異常報酬。另一方面我們觀察到，在低beta的股票群組中形成買賣出流動性高低之套利交易策略亦可產生超額報酬。我們的結果顯現，股票beta與流動性無法互相取代彼此對股票報酬率的預測效果。

The betting-against-beta (BAB) strategy of Frazzini and Pedersen (2014), though exploits the low risk anomaly by buying portfolio of low beta stocks and selling those with high beta, neglects the liquid issue often associated with low risk stocks (Li, Sullivan and Garcia-Feijoo, 2014). In this study, we show that a liquidity-based BAB outperforms the traditional BAB. Using a double sorting technique, we find that a BAB strategy composed by high liquidity stocks still generates abnormal returns even after controlling for liquidity risk. On the other hand, a long/short strategy of buying those stocks with low liquidity and selling those with high liquidity generates excess returns in lowest beta quintile portfolios. These results seem to suggest that, over the predictability of stock returns, stock beta and liquidity are not substitutes for one another.