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題名 探討特色反轉投資策略於歐洲市場規模與價值溢酬之有效性
A study of the effectiveness of style rotation strategies with size and value effects in European market作者 黃信閔 貢獻者 林建秀
黃信閔關鍵詞 規模與價值溢酬
歐元區
狀態轉換
size and value portfolios
European market
regimes
net capital flows
style rotation strategy
mean-variance approach日期 2016 上傳時間 2-Aug-2016 17:13:59 (UTC+8) 摘要 此篇論文利用馬可夫狀態轉換模型實證出在歐元區的股票市場中，以規模溢酬、價值溢酬以及市場溢酬建構的投資組合存在兩個不同的情境狀態。以歐元區市場溢酬和規模溢酬建構的投資組合(SMB portfolios)在牛市存在較高的平均報酬，另一方面以價值溢酬建構的投資組合(HML portfolios)則在熊市有較高的平均報酬。而以規模溢酬、價值溢酬以及歐元區市場溢酬建構的投資組合，其報酬率變異數在熊市皆比牛市來得高。由於此篇論文實證出不論在樣本內或樣本外的測試中，以規模溢酬以及價值溢酬建構的投資組合，其特色反轉投資策略皆優於買入並持有的投資策略，因此本篇論文建議，在歐元區以規模因素（size factor）及帳面價值與市價比因素（book-to-market factor）為考量建構投資組合時，考慮規模溢酬以及價值溢酬在不同情境狀態下的反轉異常現象是重要且不可忽視的課題。
This paper documents the presence of two regimes in the joint distribution of stock returns on European market premium portfolio and portfolios tracking size- and value effects in the Euro area. The mean returns of the EMU market portfolio and SMB portfolios are higher in the bull state while the mean return of the HML portfolio is larger in the bear state. Volatilities of the EMU market portfolio, SMB portfolio and the HML portfolio are all larger in the bear state compared to the bull state. This paper uses the Markov regime-switching model to generate the switching signal of market, size and value portfolios in the stock market and reallocates the market, size and value portfolios in the stock market by the mean-variance approach. Since both in the in-sample and out-sample test, the performance of the style rotation strategy outperforms style consistent strategy of the SMB portfolio and HML portfolio, this paper proposes that when analyzing investments in returns of size and value portfolios in the European market, it is important for us to account for anomalies for size and value effects in European market under different regimes. In the regime-switching VAR(1) model to account for the net capital flow predictability on the stock returns of EMU market, SMB and HML portfolios and the interrelationships among these variables. The result shows that adding the European Union net capital flow in relation to the economy`s size as the predictor variable to the regime switching VAR(1) model, it improves the asset allocation outcomes both in the in-sample and out-sample test. Furthermore, this paper has found that both in the bull and bear states, the impulse response function shows that a shock of one standard deviation of net capital inflows last month will reduce the EMU market return up to near three months. Besides, the net capital inflow shock in European stock market will generates appreciation of companies with low book-to-market ratios (growth stocks) and large-sized firms in the bull state, while it generates appreciation of companies with high book-to-market ratios (value stocks) in the bear state.參考文獻 Bauer, R., Derwall, J., & Molenaar, R. (2002). The real-time predictability of the size and value premium in Japan by Rob Bauer, Jeroen Derwall, Roderick Molenaar: SSRN. . doi:10.2139/ssrn.341020 Bekaert, G., & Harvey, C. (1998). Capital flows and the behavior of emerging market equity returns. Retrieved from http://www.nber.org/chapters/c6168.pdf Borensztein, E., De Gregorio, J., & Lee, J.-W. (1998). How does foreign direct investment affect economic growth? Journal of International Economics, 45(1), 115–135. doi:10.1016/S0022-1996(97)00033-0 Choong, C.-K., Baharumshah, A. Z., Yusop, Z., & Habibullah, M. S. (2010). Private capital flows, stock market and economic growth in developed and developing countries: A comparative analysis. Japan and the World Economy, 22(2), 107–117. doi:10.1016/j.japwor.2009.07.001 Dupleich Ulloa, M. R., Giamouridis, D., & Montagu, C. (2012). Risk reduction in style rotation. The Journal of Portfolio Management, 38(2), 44–55. doi:10.3905/jpm.2012.38.2.044 Guidolin, M., & Timmermann, A. (2008). Size and value anomalies under regime shifts. Journal of Financial Econometrics, 6(1), 1–48. doi:10.1093/jjfinec/nbm021 Hamilton, J. D. (1989). A new approach to the economic analysis of Nonstationary time series and the business cycle. Econometrica, 57(2), 357–384. doi:10.2307/1912559 Levis, M., & Liodakis, M. (1999). The profitability of style rotation strategies in the United Kingdom. The Journal of Portfolio Management, 26(1), 73–86. doi:10.3905/jpm.1999.319770 Perez-Quiros, G., & Timmermann, A. (2000). Firm size and cyclical variations in stock returns. The Journal of Finance, 55(3), 1229–1262. doi:10.1111/0022-1082.00246 Reinhart, C. M., & Reinhart, V. R. (2008, September 10). Capital flow bonanzas: An encompassing view of the past and present. Retrieved June 3, 2016, from http://www.nber.org/papers/w14321 Reisen, H., & Soto, M. (2001). Which types of capital inflows foster developing-country growth? International Finance, 4(1), 1–14. doi:10.1111/1468-2362.00063 Tillmann, P. (2013). Capital inflows and asset prices: Evidence from emerging Asia. Journal of Banking & Finance, 37(3), 717–729. doi:10.1016/j.jbankfin.2012.10.017 描述 碩士
國立政治大學
金融研究所
102352015資料來源 http://thesis.lib.nccu.edu.tw/record/#G1023520151 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 黃信閔 zh_TW dc.creator (作者) 黃信閔 zh_TW dc.date (日期) 2016 en_US dc.date.accessioned 2-Aug-2016 17:13:59 (UTC+8) - dc.date.available 2-Aug-2016 17:13:59 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2016 17:13:59 (UTC+8) - dc.identifier (Other Identifiers) G1023520151 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99560 - 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) 102352015 zh_TW dc.description.abstract (摘要) 此篇論文利用馬可夫狀態轉換模型實證出在歐元區的股票市場中，以規模溢酬、價值溢酬以及市場溢酬建構的投資組合存在兩個不同的情境狀態。以歐元區市場溢酬和規模溢酬建構的投資組合(SMB portfolios)在牛市存在較高的平均報酬，另一方面以價值溢酬建構的投資組合(HML portfolios)則在熊市有較高的平均報酬。而以規模溢酬、價值溢酬以及歐元區市場溢酬建構的投資組合，其報酬率變異數在熊市皆比牛市來得高。由於此篇論文實證出不論在樣本內或樣本外的測試中，以規模溢酬以及價值溢酬建構的投資組合，其特色反轉投資策略皆優於買入並持有的投資策略，因此本篇論文建議，在歐元區以規模因素（size factor）及帳面價值與市價比因素（book-to-market factor）為考量建構投資組合時，考慮規模溢酬以及價值溢酬在不同情境狀態下的反轉異常現象是重要且不可忽視的課題。 zh_TW dc.description.abstract (摘要) This paper documents the presence of two regimes in the joint distribution of stock returns on European market premium portfolio and portfolios tracking size- and value effects in the Euro area. The mean returns of the EMU market portfolio and SMB portfolios are higher in the bull state while the mean return of the HML portfolio is larger in the bear state. Volatilities of the EMU market portfolio, SMB portfolio and the HML portfolio are all larger in the bear state compared to the bull state. This paper uses the Markov regime-switching model to generate the switching signal of market, size and value portfolios in the stock market and reallocates the market, size and value portfolios in the stock market by the mean-variance approach. Since both in the in-sample and out-sample test, the performance of the style rotation strategy outperforms style consistent strategy of the SMB portfolio and HML portfolio, this paper proposes that when analyzing investments in returns of size and value portfolios in the European market, it is important for us to account for anomalies for size and value effects in European market under different regimes. In the regime-switching VAR(1) model to account for the net capital flow predictability on the stock returns of EMU market, SMB and HML portfolios and the interrelationships among these variables. The result shows that adding the European Union net capital flow in relation to the economy`s size as the predictor variable to the regime switching VAR(1) model, it improves the asset allocation outcomes both in the in-sample and out-sample test. Furthermore, this paper has found that both in the bull and bear states, the impulse response function shows that a shock of one standard deviation of net capital inflows last month will reduce the EMU market return up to near three months. Besides, the net capital inflow shock in European stock market will generates appreciation of companies with low book-to-market ratios (growth stocks) and large-sized firms in the bull state, while it generates appreciation of companies with high book-to-market ratios (value stocks) in the bear state. en_US dc.description.tableofcontents Introduction 1 I. Literature Review 5 II. Models For Regimes In The Joint Return Process 7 1. Regime Switching Model 7 2. Regime-Switching VAR(1) Model 8 III. Data Analysis 9 IV. Regimes In The Joint Return Process 12 V. The Asset Allocation And Trading Strategy 16 VI. Empirical Asset Allocation Results 18 VII. Out-of-Sample Performance 21 VIII. Predictor Variable: The Net Capital Flows 28 IX. The Asset Allocation Results Related To The Four Variables Regime-Switching Model 37 X. The Asset Allocation Out-Of-Sample Results Related To The Four Variables Regime-Switching Model 40 XI. Conclusion 43 Reference 47 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1023520151 en_US dc.subject (關鍵詞) 規模與價值溢酬 zh_TW dc.subject (關鍵詞) 歐元區 zh_TW dc.subject (關鍵詞) 狀態轉換 zh_TW dc.subject (關鍵詞) size and value portfolios en_US dc.subject (關鍵詞) European market en_US dc.subject (關鍵詞) regimes en_US dc.subject (關鍵詞) net capital flows en_US dc.subject (關鍵詞) style rotation strategy en_US dc.subject (關鍵詞) mean-variance approach en_US dc.title (題名) 探討特色反轉投資策略於歐洲市場規模與價值溢酬之有效性 zh_TW dc.title (題名) A study of the effectiveness of style rotation strategies with size and value effects in European market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Bauer, R., Derwall, J., & Molenaar, R. (2002). The real-time predictability of the size and value premium in Japan by Rob Bauer, Jeroen Derwall, Roderick Molenaar: SSRN. . doi:10.2139/ssrn.341020 Bekaert, G., & Harvey, C. (1998). Capital flows and the behavior of emerging market equity returns. Retrieved from http://www.nber.org/chapters/c6168.pdf Borensztein, E., De Gregorio, J., & Lee, J.-W. (1998). How does foreign direct investment affect economic growth? Journal of International Economics, 45(1), 115–135. doi:10.1016/S0022-1996(97)00033-0 Choong, C.-K., Baharumshah, A. Z., Yusop, Z., & Habibullah, M. S. (2010). Private capital flows, stock market and economic growth in developed and developing countries: A comparative analysis. Japan and the World Economy, 22(2), 107–117. doi:10.1016/j.japwor.2009.07.001 Dupleich Ulloa, M. R., Giamouridis, D., & Montagu, C. (2012). Risk reduction in style rotation. The Journal of Portfolio Management, 38(2), 44–55. doi:10.3905/jpm.2012.38.2.044 Guidolin, M., & Timmermann, A. (2008). Size and value anomalies under regime shifts. Journal of Financial Econometrics, 6(1), 1–48. doi:10.1093/jjfinec/nbm021 Hamilton, J. D. (1989). A new approach to the economic analysis of Nonstationary time series and the business cycle. Econometrica, 57(2), 357–384. doi:10.2307/1912559 Levis, M., & Liodakis, M. (1999). The profitability of style rotation strategies in the United Kingdom. The Journal of Portfolio Management, 26(1), 73–86. doi:10.3905/jpm.1999.319770 Perez-Quiros, G., & Timmermann, A. (2000). Firm size and cyclical variations in stock returns. The Journal of Finance, 55(3), 1229–1262. doi:10.1111/0022-1082.00246 Reinhart, C. M., & Reinhart, V. R. (2008, September 10). Capital flow bonanzas: An encompassing view of the past and present. Retrieved June 3, 2016, from http://www.nber.org/papers/w14321 Reisen, H., & Soto, M. (2001). Which types of capital inflows foster developing-country growth? International Finance, 4(1), 1–14. doi:10.1111/1468-2362.00063 Tillmann, P. (2013). Capital inflows and asset prices: Evidence from emerging Asia. Journal of Banking & Finance, 37(3), 717–729. doi:10.1016/j.jbankfin.2012.10.017 zh_TW
