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題名 納入價值策略因子之匯率報酬訂價模型比較
Comparison with exchange rate return pricing models including factor of value strategy作者 張明源
Chang, Ming Yuan貢獻者 林建秀
張明源
Chang, Ming Yuan關鍵詞 市場報酬
利差交易
價值策略
匯率報酬
Market excess return
Carry trade
Value strategy
Exchange rate return日期 2017 上傳時間 24-Jul-2017 12:03:18 (UTC+8) 摘要 探討決定匯率報酬的因子模型，對於貨幣市場上交易、避險，以及套利活動都有其幫助。本文使用市場報酬、利差交易策略，以及價值策略形成匯率報酬模型的三因子，研究該模型是否更能夠解釋貨幣的超額報酬，意即三因子是否是較適切的模型。 本文針對無交易成本以及考慮交易成本兩種情形先進行因子相關性分析，再進行Fama-Macbeth兩步驟橫斷面迴歸分析。結果發現無論是第一步驟的OLS迴歸分析、或是第二步驟橫斷面迴歸，以及最後的統計檢定中，相較於Lustig, Roussanov, and Verdelhan (2011)的二因子模型，加入價值策略的三因子模型皆有好的改善，具有比較好的解釋力，表示三因子應該為比較適切的模型。
Discussing the determinants of exchange rate return model is helpful when talking about currency trading, hedging, and arbitrage activities in currency markets. This paper use the market excess return, carry trade, value strategy, to build a three-factor model of exchange rate return. The purpose is to investigate whether this model is more explainable exchange rate return model, that means the three-factor model is better and suitable. In this paper, we use the factor correlation analysis and the Fama-Macbeth two-step regression to analyze the data based on both conditions excluding transact cost and including transact cost. In whichever OLS or second step cross-section regression, even in the statistical tests at the last, we find that three-factor model is better than two-factor model from Lustig, Roussanov, and Verdelhan (2011). It shows that three-factor model should be the better model compared with the two-factor model.參考文獻 Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.Barroso, P., & Santa-Clara, P. (2015). Beyond the carry trade: Optimal currency portfolios. Journal of Financial and Quantitative Analysis, 50(5), 1037-1056.Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry trades and currency crashes. NBER macroeconomics annual, 23(1), 313-348.Burnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2006). The returns to currency speculation (No. w12489). National Bureau of Economic Research.Burnside, C., Eichenbaum, M., & Rebelo, S. (2007). The returns to currency speculation in emerging markets (No. w12916). National Bureau of Economic Research.Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets. Annu. Rev. Financ. Econ., 3(1), 511-535.Burnside, C. (2011). Carry trades and risk (No. w17278). National Bureau of Economic Research.Chan, L. K., & Lakonishok, J. (2004). Value and growth investing: Review and update. Financial Analysts Journal, 60(1), 71-86.Cheung, Y. W., Chinn, M. D., & Pascual, A. G. (2005). Empirical exchange rate models of the nineties: Are any fit to survive?. Journal of international money and finance, 24(7), 1150-1175.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.Fama, E. F., & French, K. R. (1998). Value versus growth: The international evidence. The journal of finance, 53(6), 1975-1999.Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of financial economics, 105(3), 457-472.Kroencke, T. A., Schindler, F., & Schrimpf, A. (2014). International diversification benefits with foreign exchange investment styles. Review of Finance, 18(5), 1847-1883.Lustig, H., & Verdelhan, A. (2007). The cross section of foreign currency risk premia and consumption growth risk. The American economic review, 97(1), 89-117.Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currency markets. Review of Financial Studies, 24(11), 3731-3777.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Carry trades and global foreign exchange volatility. The Journal of Finance, 67(2), 681-718.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2017). Currency value. Review of Financial Studies, 30(2), 416-441.Ong, L. L. (1997). Burgernomics: the economics of the Big Mac standard. Journal of International Money and Finance, 16(6), 865-878.Pakko, M. R., & Pollard, P. S. (2003). Burgernomics: a Big Mac™ guide to purchasing power parity. Federal Reserve Bank of St. Louis Review, 85(November/December 2003).Raza, A. (2015). Are Value Strategies Profitable in the Foreign Exchange Market?.Sweeney, R. J. (1986). Beating the foreign exchange market. The Journal of Finance, 41(1), 163-182. 描述 碩士
國立政治大學
金融學系
104352019資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104352019 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 張明源 zh_TW dc.contributor.author (Authors) Chang, Ming Yuan en_US dc.creator (作者) 張明源 zh_TW dc.creator (作者) Chang, Ming Yuan en_US dc.date (日期) 2017 en_US dc.date.accessioned 24-Jul-2017 12:03:18 (UTC+8) - dc.date.available 24-Jul-2017 12:03:18 (UTC+8) - dc.date.issued (上傳時間) 24-Jul-2017 12:03:18 (UTC+8) - dc.identifier (Other Identifiers) G0104352019 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111323 - 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) 104352019 zh_TW dc.description.abstract (摘要) 探討決定匯率報酬的因子模型，對於貨幣市場上交易、避險，以及套利活動都有其幫助。本文使用市場報酬、利差交易策略，以及價值策略形成匯率報酬模型的三因子，研究該模型是否更能夠解釋貨幣的超額報酬，意即三因子是否是較適切的模型。 本文針對無交易成本以及考慮交易成本兩種情形先進行因子相關性分析，再進行Fama-Macbeth兩步驟橫斷面迴歸分析。結果發現無論是第一步驟的OLS迴歸分析、或是第二步驟橫斷面迴歸，以及最後的統計檢定中，相較於Lustig, Roussanov, and Verdelhan (2011)的二因子模型，加入價值策略的三因子模型皆有好的改善，具有比較好的解釋力，表示三因子應該為比較適切的模型。 zh_TW dc.description.abstract (摘要) Discussing the determinants of exchange rate return model is helpful when talking about currency trading, hedging, and arbitrage activities in currency markets. This paper use the market excess return, carry trade, value strategy, to build a three-factor model of exchange rate return. The purpose is to investigate whether this model is more explainable exchange rate return model, that means the three-factor model is better and suitable. In this paper, we use the factor correlation analysis and the Fama-Macbeth two-step regression to analyze the data based on both conditions excluding transact cost and including transact cost. In whichever OLS or second step cross-section regression, even in the statistical tests at the last, we find that three-factor model is better than two-factor model from Lustig, Roussanov, and Verdelhan (2011). It shows that three-factor model should be the better model compared with the two-factor model. en_US dc.description.tableofcontents 第一章 緒論 6第一節 研究背景與動機 6第二節 研究目的 7第三節 論文架構與研究流程 7第二章 文獻回顧 8第一節 利差交易相關文獻 8第二節 價值策略相關文獻 10第三章 研究方法 12第一節 資料使用以及建構投資組合 12第二節 因子相關性分析 24第三節 Fama-Macbeth兩步驟橫斷面迴歸 25第四節 統計檢定 27第四章 實證分析 30第一節 因子相關性分析 30第二節 Fama-Macbeth兩步驟橫斷面迴歸 35 第三節 統計檢定 47第五章 結論與建議 49參考文獻 51 zh_TW dc.format.extent 1035614 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104352019 en_US 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) 價值策略 zh_TW dc.subject (關鍵詞) 匯率報酬 zh_TW dc.subject (關鍵詞) Market excess return en_US dc.subject (關鍵詞) Carry trade en_US dc.subject (關鍵詞) Value strategy en_US dc.subject (關鍵詞) Exchange rate return en_US dc.title (題名) 納入價值策略因子之匯率報酬訂價模型比較 zh_TW dc.title (題名) Comparison with exchange rate return pricing models including factor of value strategy en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.Barroso, P., & Santa-Clara, P. (2015). Beyond the carry trade: Optimal currency portfolios. Journal of Financial and Quantitative Analysis, 50(5), 1037-1056.Brunnermeier, M. K., Nagel, S., & Pedersen, L. H. (2008). Carry trades and currency crashes. NBER macroeconomics annual, 23(1), 313-348.Burnside, C., Eichenbaum, M., Kleshchelski, I., & Rebelo, S. (2006). The returns to currency speculation (No. w12489). National Bureau of Economic Research.Burnside, C., Eichenbaum, M., & Rebelo, S. (2007). The returns to currency speculation in emerging markets (No. w12916). National Bureau of Economic Research.Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets. Annu. Rev. Financ. Econ., 3(1), 511-535.Burnside, C. (2011). Carry trades and risk (No. w17278). National Bureau of Economic Research.Chan, L. K., & Lakonishok, J. (2004). Value and growth investing: Review and update. Financial Analysts Journal, 60(1), 71-86.Cheung, Y. W., Chinn, M. D., & Pascual, A. G. (2005). Empirical exchange rate models of the nineties: Are any fit to survive?. Journal of international money and finance, 24(7), 1150-1175.Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.Fama, E. F., & French, K. R. (1998). Value versus growth: The international evidence. The journal of finance, 53(6), 1975-1999.Fama, E. F., & French, K. R. (2012). Size, value, and momentum in international stock returns. Journal of financial economics, 105(3), 457-472.Kroencke, T. A., Schindler, F., & Schrimpf, A. (2014). International diversification benefits with foreign exchange investment styles. Review of Finance, 18(5), 1847-1883.Lustig, H., & Verdelhan, A. (2007). The cross section of foreign currency risk premia and consumption growth risk. The American economic review, 97(1), 89-117.Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currency markets. Review of Financial Studies, 24(11), 3731-3777.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012). Carry trades and global foreign exchange volatility. The Journal of Finance, 67(2), 681-718.Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2017). Currency value. Review of Financial Studies, 30(2), 416-441.Ong, L. L. (1997). Burgernomics: the economics of the Big Mac standard. Journal of International Money and Finance, 16(6), 865-878.Pakko, M. R., & Pollard, P. S. (2003). Burgernomics: a Big Mac™ guide to purchasing power parity. Federal Reserve Bank of St. Louis Review, 85(November/December 2003).Raza, A. (2015). Are Value Strategies Profitable in the Foreign Exchange Market?.Sweeney, R. J. (1986). Beating the foreign exchange market. The Journal of Finance, 41(1), 163-182. zh_TW
