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題名 投資人情緒及流動性與貝他套利交易策略之關聯性研究
Investor sentiments, market liquidity, and betting against beta trading strategies作者 黃聖哲 貢獻者 江彌修
黃聖哲關鍵詞 投資人情緒
流動性
貝他套利交易策略日期 2017 上傳時間 11-Jul-2017 11:30:42 (UTC+8) 摘要 近來許多學者指出股票市場不如效率市場假說所述，反而存在低風險異常報酬之現象，而Frazzini and Pedersen (2014)提出貝他套利交易策略，藉由該策略可增加獲取之超額報酬。故本研究將探討低風險異常報酬是否仍存於近年的美國股票市場，另外，亦將加入投資人情緒及流動性指標，研究其是否能改良貝他套利交易策略。實證結果顯示，低風險異常報酬仍然存在於美國股票市場，且執行貝他套利交易策略可增加所獲取之超額報酬。此外，於該策略加入成交量變動率及成交量，分別作為情緒及流動性指標後，發現兩種方式皆能改良貝他套利交易策略之獲利，其中又以加入流動性指標能獲取較多報酬，然而上述兩種策略於2007年至2008年金融危機時，皆無法有效提高貝他套利交易策略的獲利。 參考文獻 一、中文部分 周賓凰、張宇志、林美珍，2007，投資人情緒與股票報酬互動關係，證券市場發展季刊。 黃書安、江彌修、邱信瑜，2016，基於流動性風險衡量下之 Beta 套利交易策略，國立政治大學金融研究所未出版碩士論文。 二、英文部分 Amihud, Y. 2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5 (1):31-56. Amihud, Y., and H. Mendelson. 1986. Asset pricing and the bid-ask spread. Journal of Financial Economics 17 (2):223-249. Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang. 2006. The cross‐section of volatility and expected returns. The Journal of Finance 61 (1):259-299. ———. 2009. High idiosyncratic volatility and low returns: International and further US evidence. Journal of Financial Economics 91 (1):1-23. Baker, M., B. Bradley, and R. Taliaferro. 2014. The low-risk anomaly: A decomposition into micro and macro effects. Financial Analysts Journal 70 (2):43-58. Baker, M., B. Bradley, and J. Wurgler. 2011. Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. Financial Analysts Journal 67 (1):40-54. Baker, M., and J. C. Stein. 2004. Market liquidity as a sentiment indicator. Journal of Financial Markets 7 (3):271-299. Baker, M., and J. Wurgler. 2000. The equity share in new issues and aggregate stock returns. The Journal of Finance 55 (5):2219-2257. ———. 2006. Investor sentiment and the cross‐section of stock returns. The Journal of Finance 61 (4):1645-1680. Baker, M. P., J. Wurgler, and B. Bradley. 2010. A behavioral finance explanation for the success of low volatility portfolios. Banz, R. W. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9 (1):3-18. Barber, B. M., T. Odean, and N. Zhu. 2006. Do noise traders move markets? Barberis, N., and M. Huang. 2008. Stocks as lotteries: The implications of probability weighting for security prices. The American Economic Review 98 (5):2066-2100. Bergman, N. K., and S. Roychowdhury. 2008. Investor sentiment and corporate disclosure. Journal of Accounting Research 46 (5):1057-1083. Bernstein, P. L. 1987. Liquidity, stock markets, and market makers. Financial Management:54-62. Black, F. 1972. Capital market equilibrium with restricted borrowing. The Journal of Business 45 (3):444-455. Blitz, D. C., and P. Van Vliet. 2007. The volatility effect. The Journal of Portfolio Management 34 (1):102-113. Blume, L., D. Easley, and M. O`hara. 1994. Market statistics and technical analysis: The role of volume. The Journal of Finance 49 (1):153-181. Blume, M. E. 1975. Betas and their regression tendencies. The Journal of Finance 30 (3):785-795. Brown, G. W., and M. T. Cliff. 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance 11 (1):1-27. Brunnermeier, M. K., C. Gollier, and J. A. Parker. 2007. Optimal beliefs, asset prices, and the preference for skewed returns: National Bureau of Economic Research. Carhart, M. M. 1997. On persistence in mutual fund performance. The Journal of Finance 52 (1):57-82. Chordia, T., R. Roll, and A. Subrahmanyam. 2001. Market liquidity and trading activity. The Journal of Finance 56 (2):501-530. Clark, E., and K. Kassimatis. 2014. Exploiting stochastic dominance to generate abnormal stock returns. Journal of Financial Markets 20:20-38. Clarke, R. G., H. De Silva, and S. Thorley. 2006. Minimum-variance portfolios in the US equity market. The Journal of Portfolio Management 33 (1):10-24. Datar, V. T., N. Y. Naik, and R. Radcliffe. 1998. Liquidity and stock returns: An alternative test. Journal of Financial Markets 1 (2):203-219. De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann. 1990. Noise trader risk in financial markets. Journal of Political Economy 98 (4):703-738. Elton, E. J., M. J. Gruber, and J. A. Busse. 1998. Do Investors Care about Sentiment?*. The Journal of Business 71 (4):477-500. Fama, E. F., and K. R. French. 1992. The cross‐section of expected stock returns. The Journal of Finance 47 (2):427-465. ———. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1):3-56. Frazzini, A., and L. H. Pedersen. 2014. Betting against beta. Journal of Financial Economics 111 (1):1-25. Gendolla, G. H. 2000. On the impact of mood on behavior: An integrative theory and a review. Review of General Psychology 4 (4):378. Grossman, S. J., and M. H. Miller. 1988. Liquidity and market structure. the Journal of Finance 43 (3):617-633. Harvey, C. R., and A. Siddique. 2000. Conditional skewness in asset pricing tests. The Journal of Finance 55 (3):1263-1295. Haugen, R. A., and A. J. Heins. 1975. Risk and the rate of return on financial assets: Some old wine in new bottles. Journal of Financial and Quantitative Analysis:775-784. Hsu, J. C., H. Kudoh, and T. Yamada. 2012. When sell-side analysts meet high-volatility stocks: an alternative explanation for the low-volatility puzzle. Jegadeesh, N., and S. Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance 48 (1):65-91. Jensen, M. C., F. Black, and M. S. Scholes. 1972. The capital asset pricing model: Some empirical tests. Kahneman, D., and A. Tversky. 1979. Prospect theory: An analysis of decision under risk. Econometrica: Journal of the Econometric Society:263-291. Kamstra, M. J., L. A. Kramer, and M. D. Levi. 2000. Losing sleep at the market: The daylight saving anomaly. The American Economic Review 90 (4):1005-1011. Kothari, S. P., J. Shanken, and R. G. Sloan. 1995. Another look at the cross‐section of expected stock returns. The Journal of Finance 50 (1):185-224. Kumar, A. 2009. Who gambles in the stock market? The Journal of Finance 64 (4):1889-1933. Kumar, A., and C. Lee. 2006. Retail investor sentiment and return comovements. The Journal of Finance 61 (5):2451-2486. Lakonishok, J., A. Shleifer, and R. W. Vishny. 1994. Contrarian investment, extrapolation, and risk. The Journal of Finance 49 (5):1541-1578. Lee, C., A. Shleifer, and R. H. Thaler. 1991. Investor sentiment and the closed‐end fund puzzle. The Journal of Finance 46 (1):75-109. Lee, C., and B. Swaminathan. 2000. Price momentum and trading volume. The Journal of Finance 55 (5):2017-2069. Lewellen, J., and S. Nagel. 2006. The conditional CAPM does not explain asset-pricing anomalies. Journal of Financial Economics 82 (2):289-314. Ljungqvist, A., V. Nanda, and R. Singh. 2006. Hot markets, investor sentiment, and IPO pricing. The Journal of Business 79 (4):1667-1702. Massimb, M. N., and B. D. Phelps. 1994. Electronic trading, market structure and liquidity. Financial Analysts Journal:39-50. Merton, R. C. 1980. On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics 8 (4):323-361. Mossin, J. 1966. Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society:768-783. Roll, R., and S. A. Ross. 1994. On the cross‐sectional relation between expected returns and betas. The Journal of Finance 49 (1):101-121. Rosenberg, B., K. Reid, and R. Lanstein. 1985. Persuasive evidence of market inefficiency. The Journal of Portfolio Management 11 (3):9-16. Santis, G., and B. Gerard. 1997. International asset pricing and portfolio diversification with time‐varying risk. The Journal of Finance 52 (5):1881-1912. Schneider, P., C. Wagner and J. Zechner. 2016. Low Risk Anomalies? Working Paper. Schneider, P., C. Wagner, and J. Zechner. 2016. Low risk anomalies? Sharpe, W. F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance 19 (3):425-442. ———. 1994. The sharpe ratio. The Journal of Portfolio Management 21 (1):49-58. Shefrin, H. 2002. Beyond greed and fear: Understanding behavioral finance and the psychology of investing: Oxford University Press on Demand. Sheu, H.-J., S. Wu, and K.-P. Ku. 1998. Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan. International Review of Financial Analysis 7 (1):1-18. Shiller, R. J., S. Fischer, and B. M. Friedman. 1984. Stock prices and social dynamics. Brookings Papers on Economic Activity 1984 (2):457-510. Shiller, R. J., F. Kon-Ya, and Y. Tsutsui. 1996. Why did the Nikkei crash? Expanding the scope of expectations data collection. The Review of Economics and Statistics:156-164. Siegel, J. J. 1992. Equity risk premia, corporate profit forecasts, and investor sentiment around the stock crash of october 1987. Journal of Business:557-570. Stein, J. C. 1996. Rational capital budgeting in an irrational world: National bureau of economic research. Vasicek, O. A. 1973. A Note on Using Cross‐sectional Information in Bayesian Estimation of Security Betas. The Journal of Finance 28 (5):1233-1239. Whaley, R. E. 2000. The investor fear gauge. The Journal of Portfolio Management 26 (3):12-17. Zhou, C. 2014. Liquidity based momentum strategies on Dutch stock market. 描述 碩士
國立政治大學
金融學系
104352018資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104352018 資料類型 thesis dc.contributor.advisor 江彌修 zh_TW dc.contributor.author (Authors) 黃聖哲 zh_TW dc.creator (作者) 黃聖哲 zh_TW dc.date (日期) 2017 en_US dc.date.accessioned 11-Jul-2017 11:30:42 (UTC+8) - dc.date.available 11-Jul-2017 11:30:42 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2017 11:30:42 (UTC+8) - dc.identifier (Other Identifiers) G0104352018 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/110801 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 104352018 zh_TW dc.description.abstract (摘要) 近來許多學者指出股票市場不如效率市場假說所述，反而存在低風險異常報酬之現象，而Frazzini and Pedersen (2014)提出貝他套利交易策略，藉由該策略可增加獲取之超額報酬。故本研究將探討低風險異常報酬是否仍存於近年的美國股票市場，另外，亦將加入投資人情緒及流動性指標，研究其是否能改良貝他套利交易策略。實證結果顯示，低風險異常報酬仍然存在於美國股票市場，且執行貝他套利交易策略可增加所獲取之超額報酬。此外，於該策略加入成交量變動率及成交量，分別作為情緒及流動性指標後，發現兩種方式皆能改良貝他套利交易策略之獲利，其中又以加入流動性指標能獲取較多報酬，然而上述兩種策略於2007年至2008年金融危機時，皆無法有效提高貝他套利交易策略的獲利。 zh_TW dc.description.tableofcontents 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究問題及架構 3 第二章 文獻探討 5 第一節 投資人情緒 5 第二節 流動性 6 第三節 貝他套利交易策略 8 第四節 投資人情緒及流動性與貝他套利交易策略 10 第三章 研究方法 13 第一節 研究假說 13 第二節 變數及指標衡量方式 14 第三節 資料來源與處理 18 第四節 實證方法 20 第四章 實證結果及分析 22 第一節 驗證低風險異常報酬的存在 22 第二節 驗證情緒及流動性指標可解釋超額報酬 29 第三節 加入情緒及流動性指標改良貝他套利交易策略 32 第四節 金融危機下加入情緒及流動性指標改良貝他套利交易策略 39 第五章 結論與建議 44 第一節 研究結論 44 第二節 研究建議 45 參考文獻 47 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104352018 en_US dc.subject (關鍵詞) 投資人情緒 zh_TW dc.subject (關鍵詞) 流動性 zh_TW dc.subject (關鍵詞) 貝他套利交易策略 zh_TW dc.title (題名) 投資人情緒及流動性與貝他套利交易策略之關聯性研究 zh_TW dc.title (題名) Investor sentiments, market liquidity, and betting against beta trading strategies en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文部分 周賓凰、張宇志、林美珍，2007，投資人情緒與股票報酬互動關係，證券市場發展季刊。 黃書安、江彌修、邱信瑜，2016，基於流動性風險衡量下之 Beta 套利交易策略，國立政治大學金融研究所未出版碩士論文。 二、英文部分 Amihud, Y. 2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5 (1):31-56. Amihud, Y., and H. Mendelson. 1986. Asset pricing and the bid-ask spread. Journal of Financial Economics 17 (2):223-249. Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang. 2006. The cross‐section of volatility and expected returns. The Journal of Finance 61 (1):259-299. ———. 2009. High idiosyncratic volatility and low returns: International and further US evidence. Journal of Financial Economics 91 (1):1-23. Baker, M., B. Bradley, and R. Taliaferro. 2014. The low-risk anomaly: A decomposition into micro and macro effects. Financial Analysts Journal 70 (2):43-58. Baker, M., B. Bradley, and J. Wurgler. 2011. Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. Financial Analysts Journal 67 (1):40-54. Baker, M., and J. C. Stein. 2004. Market liquidity as a sentiment indicator. Journal of Financial Markets 7 (3):271-299. Baker, M., and J. Wurgler. 2000. The equity share in new issues and aggregate stock returns. The Journal of Finance 55 (5):2219-2257. ———. 2006. Investor sentiment and the cross‐section of stock returns. The Journal of Finance 61 (4):1645-1680. Baker, M. P., J. Wurgler, and B. Bradley. 2010. A behavioral finance explanation for the success of low volatility portfolios. Banz, R. W. 1981. The relationship between return and market value of common stocks. Journal of Financial Economics 9 (1):3-18. Barber, B. M., T. Odean, and N. Zhu. 2006. Do noise traders move markets? Barberis, N., and M. Huang. 2008. Stocks as lotteries: The implications of probability weighting for security prices. The American Economic Review 98 (5):2066-2100. Bergman, N. K., and S. Roychowdhury. 2008. Investor sentiment and corporate disclosure. Journal of Accounting Research 46 (5):1057-1083. Bernstein, P. L. 1987. Liquidity, stock markets, and market makers. Financial Management:54-62. Black, F. 1972. Capital market equilibrium with restricted borrowing. The Journal of Business 45 (3):444-455. Blitz, D. C., and P. Van Vliet. 2007. The volatility effect. The Journal of Portfolio Management 34 (1):102-113. Blume, L., D. Easley, and M. O`hara. 1994. Market statistics and technical analysis: The role of volume. The Journal of Finance 49 (1):153-181. Blume, M. E. 1975. Betas and their regression tendencies. The Journal of Finance 30 (3):785-795. Brown, G. W., and M. T. Cliff. 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance 11 (1):1-27. Brunnermeier, M. K., C. Gollier, and J. A. Parker. 2007. Optimal beliefs, asset prices, and the preference for skewed returns: National Bureau of Economic Research. Carhart, M. M. 1997. On persistence in mutual fund performance. The Journal of Finance 52 (1):57-82. Chordia, T., R. Roll, and A. Subrahmanyam. 2001. Market liquidity and trading activity. The Journal of Finance 56 (2):501-530. Clark, E., and K. Kassimatis. 2014. Exploiting stochastic dominance to generate abnormal stock returns. Journal of Financial Markets 20:20-38. Clarke, R. G., H. De Silva, and S. Thorley. 2006. Minimum-variance portfolios in the US equity market. The Journal of Portfolio Management 33 (1):10-24. Datar, V. T., N. Y. Naik, and R. Radcliffe. 1998. Liquidity and stock returns: An alternative test. Journal of Financial Markets 1 (2):203-219. De Long, J. B., A. Shleifer, L. H. Summers, and R. J. Waldmann. 1990. Noise trader risk in financial markets. Journal of Political Economy 98 (4):703-738. Elton, E. J., M. J. Gruber, and J. A. Busse. 1998. Do Investors Care about Sentiment?*. The Journal of Business 71 (4):477-500. Fama, E. F., and K. R. French. 1992. The cross‐section of expected stock returns. The Journal of Finance 47 (2):427-465. ———. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1):3-56. Frazzini, A., and L. H. Pedersen. 2014. Betting against beta. Journal of Financial Economics 111 (1):1-25. Gendolla, G. H. 2000. On the impact of mood on behavior: An integrative theory and a review. Review of General Psychology 4 (4):378. Grossman, S. J., and M. H. Miller. 1988. Liquidity and market structure. the Journal of Finance 43 (3):617-633. Harvey, C. R., and A. Siddique. 2000. Conditional skewness in asset pricing tests. The Journal of Finance 55 (3):1263-1295. Haugen, R. A., and A. J. Heins. 1975. Risk and the rate of return on financial assets: Some old wine in new bottles. Journal of Financial and Quantitative Analysis:775-784. Hsu, J. C., H. Kudoh, and T. Yamada. 2012. When sell-side analysts meet high-volatility stocks: an alternative explanation for the low-volatility puzzle. Jegadeesh, N., and S. Titman. 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance 48 (1):65-91. Jensen, M. C., F. Black, and M. S. Scholes. 1972. The capital asset pricing model: Some empirical tests. Kahneman, D., and A. Tversky. 1979. Prospect theory: An analysis of decision under risk. Econometrica: Journal of the Econometric Society:263-291. Kamstra, M. J., L. A. Kramer, and M. D. Levi. 2000. Losing sleep at the market: The daylight saving anomaly. The American Economic Review 90 (4):1005-1011. Kothari, S. P., J. Shanken, and R. G. Sloan. 1995. Another look at the cross‐section of expected stock returns. The Journal of Finance 50 (1):185-224. Kumar, A. 2009. Who gambles in the stock market? The Journal of Finance 64 (4):1889-1933. Kumar, A., and C. Lee. 2006. Retail investor sentiment and return comovements. The Journal of Finance 61 (5):2451-2486. Lakonishok, J., A. Shleifer, and R. W. Vishny. 1994. Contrarian investment, extrapolation, and risk. The Journal of Finance 49 (5):1541-1578. Lee, C., A. Shleifer, and R. H. Thaler. 1991. Investor sentiment and the closed‐end fund puzzle. The Journal of Finance 46 (1):75-109. Lee, C., and B. Swaminathan. 2000. Price momentum and trading volume. The Journal of Finance 55 (5):2017-2069. Lewellen, J., and S. Nagel. 2006. The conditional CAPM does not explain asset-pricing anomalies. Journal of Financial Economics 82 (2):289-314. Ljungqvist, A., V. Nanda, and R. Singh. 2006. Hot markets, investor sentiment, and IPO pricing. The Journal of Business 79 (4):1667-1702. Massimb, M. N., and B. D. Phelps. 1994. Electronic trading, market structure and liquidity. Financial Analysts Journal:39-50. Merton, R. C. 1980. On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics 8 (4):323-361. Mossin, J. 1966. Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society:768-783. Roll, R., and S. A. Ross. 1994. On the cross‐sectional relation between expected returns and betas. The Journal of Finance 49 (1):101-121. Rosenberg, B., K. Reid, and R. Lanstein. 1985. Persuasive evidence of market inefficiency. The Journal of Portfolio Management 11 (3):9-16. Santis, G., and B. Gerard. 1997. International asset pricing and portfolio diversification with time‐varying risk. The Journal of Finance 52 (5):1881-1912. Schneider, P., C. Wagner and J. Zechner. 2016. Low Risk Anomalies? Working Paper. Schneider, P., C. Wagner, and J. Zechner. 2016. Low risk anomalies? Sharpe, W. F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance 19 (3):425-442. ———. 1994. The sharpe ratio. The Journal of Portfolio Management 21 (1):49-58. Shefrin, H. 2002. Beyond greed and fear: Understanding behavioral finance and the psychology of investing: Oxford University Press on Demand. Sheu, H.-J., S. Wu, and K.-P. Ku. 1998. Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan. International Review of Financial Analysis 7 (1):1-18. Shiller, R. J., S. Fischer, and B. M. Friedman. 1984. Stock prices and social dynamics. Brookings Papers on Economic Activity 1984 (2):457-510. Shiller, R. J., F. Kon-Ya, and Y. Tsutsui. 1996. Why did the Nikkei crash? Expanding the scope of expectations data collection. The Review of Economics and Statistics:156-164. Siegel, J. J. 1992. Equity risk premia, corporate profit forecasts, and investor sentiment around the stock crash of october 1987. Journal of Business:557-570. Stein, J. C. 1996. Rational capital budgeting in an irrational world: National bureau of economic research. Vasicek, O. A. 1973. A Note on Using Cross‐sectional Information in Bayesian Estimation of Security Betas. The Journal of Finance 28 (5):1233-1239. Whaley, R. E. 2000. The investor fear gauge. The Journal of Portfolio Management 26 (3):12-17. Zhou, C. 2014. Liquidity based momentum strategies on Dutch stock market. zh_TW
