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題名 匯率報酬的三因子
3-factor in determinant of exchange rate return作者 黃祺真
Huang, Chi Chen貢獻者 林建秀
黃祺真
Huang, Chi Chen關鍵詞 匯率報酬
市場報酬
利差交易
動能策略日期 2016 上傳時間 1-Jul-2016 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.929-985Burnside, 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.3-56Fama, E.F. ,and MacBeth, J.D. (1973), “Risk, Return, and Equilibrium: Empirical Tests”, Journal of Political Economy, vol. 81, pp.607-634Lustig, H. , Roussanov, N. ,and Verdelhan, A. (2011), “Common Risk Factors in Currency Markets” The reviews of financial Studies, vol.24, pp.3731-3776Lustig, 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.682-719Menkhoff, L., Sarno, L., Schmeling ,M. ,and Schrimpf, A. (2012), “Currency momentum strategies” Journal of financial Economics, vol.106, pp.660–684Okunev, 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.425-447Rafferty, B. (2011) “The returns to currency speculation and aggregate crash risk”, Economics department of Duke University, pp.1-45Schwarz, 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 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 黃祺真 zh_TW dc.contributor.author (Authors) Huang, Chi Chen en_US dc.creator (作者) 黃祺真 zh_TW dc.creator (作者) Huang, Chi Chen en_US dc.date (日期) 2016 en_US dc.date.accessioned 1-Jul-2016 15:01:02 (UTC+8) - dc.date.available 1-Jul-2016 15:01:02 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2016 15:01:02 (UTC+8) - dc.identifier (Other Identifiers) G0103352012 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98570 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 103352012 zh_TW dc.description.abstract (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。 zh_TW dc.description.tableofcontents 摘要 2第一章 緒論 7 第一節 研究背景與動機 7 第二節 研究目的 8 第三節 論文架構與研究流程 8第二章 文獻回顧 10 第一節 利差交易相關文獻 10 第二節 動能策略相關文獻 11 第三節 貨幣超額報酬定價模型相關文獻 13第三章 研究方法 14 第一節 敘述統計與使用資料說明 14 第二節 OLS迴歸 27 第三節 Fama-Macbeth兩步驟橫斷面迴歸 29 第四節 統計檢定 31第四章 實證分析 34 第一節 OLS迴歸 34 第二節 Fama-Macbeth兩步驟橫斷面迴歸 43 第三節 統計檢定 51第五章 結論與建議 54參考文獻 55 zh_TW dc.format.extent 1390639 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103352012 en_US dc.subject (關鍵詞) 匯率報酬 zh_TW dc.subject (關鍵詞) 市場報酬 zh_TW dc.subject (關鍵詞) 利差交易 zh_TW dc.subject (關鍵詞) 動能策略 zh_TW dc.title (題名) 匯率報酬的三因子 zh_TW dc.title (題名) 3-factor in determinant of exchange rate return en_US dc.type (資料類型) thesis en_US dc.relation.reference (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.929-985Burnside, 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.3-56Fama, E.F. ,and MacBeth, J.D. (1973), “Risk, Return, and Equilibrium: Empirical Tests”, Journal of Political Economy, vol. 81, pp.607-634Lustig, H. , Roussanov, N. ,and Verdelhan, A. (2011), “Common Risk Factors in Currency Markets” The reviews of financial Studies, vol.24, pp.3731-3776Lustig, 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.682-719Menkhoff, L., Sarno, L., Schmeling ,M. ,and Schrimpf, A. (2012), “Currency momentum strategies” Journal of financial Economics, vol.106, pp.660–684Okunev, 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.425-447Rafferty, B. (2011) “The returns to currency speculation and aggregate crash risk”, Economics department of Duke University, pp.1-45Schwarz, 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 zh_TW
