極端報酬與BETA因子之研究－以法國市場為例

Abstract

本篇研究探討法國股票市場中，具有樂透性質的股票與其未來預期報酬的關聯，是否存在所謂的「MAX 效應」，並探討法國股票市場中「Beta Anomaly」現象存在與否以及其與「MAX 效應」之關聯及交互作用。\n結果顯示，法國市場於1990年至2019年間的確存在「MAX 效應」，且在經過控制公司規模大小、股票淨值市價比及流動性的影響後「MAX 效應」依舊存在。不僅如此，本研究亦證明法國市場中異質波動度與預期報酬之間的反向關係導因於「MAX 效應」，而「MAX 效應」則在控制異質波動度後依然顯著。除此之外，本研究發現在法國市場中「MAX 效應」並非如美國市場般為導致「Beta Anomaly」現象的成因，相反的，在控制股票貝它係數後，「MAX 效應」便不復存在。

This paper will investigate the relationship between lottery-like feature of stocks and its’ expected return in the French stock market. In other words , we will examine whether the MAX effect exists in French market. Moreover, this paper will explore the existence of the Beta Anomaly phenomenon in the French stock market and its relationship and interaction with MAX effect .\nThe result shows that MAX effect does exist between 1990 and 2019 , and the phenomenon still significant after controlling variables such as size , book-to-market ratio and liquidity. Moreover, this study also proves that the inverse relationship between idiosyncratic volatility and expected returns in the French market is due to the MAX effect, which remains significant after controlling for idiosyncratic volatility. In addition, this study found that the MAX effect in the French market is not cause by the Beta Anomaly phenomenon as in the US market. On the contrary, after controlling for the stock beta , the MAX effect no longer exists.