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題名 外匯報酬之利差、動能及價值交易策略成因分析
The Exchange Rate Return Pricing Models Including Factors of Carry Trade, Momentum and Value Strategy作者 郭秀樺
Kuo, Hsiu-Hua貢獻者 林建秀
Lin, Chien Hsiu
郭秀樺
Kuo, Hsiu-Hua關鍵詞 外匯交易
利差交易策略
動能交易策略
價值交易策略
全球性總體經濟因子
波動性因子
Fama-MacBeth兩步驟迴歸
FX trading
Carry trade
Momentum strategy
Value strategy
Global macro-economical factors
Liquidity factors
Fama-MacBeth regression日期 2018 上傳時間 3-Jul-2018 17:26:09 (UTC+8) 摘要 本研究主要是以外匯報酬四因子模型為基礎，故先在樣本期間內(1985/2至2017/08) ，透過HML投組法、Linear權重法及Rank權重法將37國匯率資料分別建構出利差、動能及價值交易策略因子；另一方面則利用前期遠期貼水、前期超額報酬、前期RERC(實質匯率累積五年變化)之測度各建構出4個投組。接著檢視因加入價值策略因子所形成之四因子模型對於外匯超額報酬的解釋力是否較兩因子模型(市場因子及利差策略因子)及三因子模型(市場因子、利差及動能策略交易因子)來的強？最終發現四因子模型在判斷係數及定價誤差檢定等適切度皆表現較佳。 接著利用主成分分析將所有12種成因因子(股價指數波動因子、投機活動因子、市場流動性因子、資金流動性因子、貨幣波動因子、落後短期利率因子、落後股利率因子、落後期限利差因子、落後違約因子、落後避險基金套利資本因子、工業生產量因子及通膨率因子)中顯著與策略因子相關之變數的第一主成分來檢測可否解釋四因子模型之利差、動能及價值策略因子，並利用Fama-MacBeth兩步驟橫斷面迴歸法評估模型定價能力。結果發現定價能力顯著，第一主成分則主要與股價指數波動度因子及資金流動性因子具有較大的相關性。股價指數波動度因子有可能具有較高解釋力的原因是匯率的利差交易者通常會借入低利率貨幣，再將資金投入高利率貨幣國家的貨幣或股票市場以求得高報酬，故若全球的股市有大波動時，亦有可能因而連動的影響匯率市場利差、動能及價值交易策略的表現。另外，流動性因子與利差交易的關聯在於利差交易報酬也許能彌補流動性螺旋；而在流動性好的時候通常動能交易策略表現較好、價值交易則表現較差。
This paper is based on the four-factors model of excess returns of foreign exchange. Firstly, we constructed CAR, MS and VALUE factors using HML(high minus low), linear weighted and rank weighted methods and also constructed 4 portfolios for each FX trade strategy based on different measures with 37 kinds of currencies during the sample period of February 1985 to August 2017.Next we tested whether four-factors FX model which adds VALUE factor have stronger ability to explain currency excess returns than two- and three-factors FX model. Finally, no matter the coefficient of determination or the test of pricing error, four-factors FX model performed well indeed. Further, we used PCA (Principal Component Analysis) to find the first component of factors which strongly related to the CAR, MS and VALUE factor respectively, and then using Fama-MacBeth two-step regression to estimate the pricing ability. The results showed that the first component is significant. The first component is mainly correlated with the ∆〖VOL〗_t^equity and ΔFunding Liq.. The reason ∆〖VOL〗_t^equity have the explanatory ability is that as the global stock market is struggling for the high volatility it may affect the return of FX trades. And the reason ΔFunding Liq. have the explanatory ability to carry trade is because that the excess return of carry trade may somehow compensate the liquidity spiral. On the other hand, the link between liquidity and momentum strategy and value strategy is that when the liquidity is good then the momentum strategy usually performs well and the value strategy is in contrast.參考文獻 [1] 黃祺真(2016)。匯率報酬的三因子。國立政治大學金融研究所碩士論文，台北市。 [2] Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The Cross-Section of Volatility and Expected Returns. Journal of Finance, 61(1), 259-299. [3] Asness, C.S., Moskowitz, T.J., & Pedersen, L. (2013). Value and Momentum Everywhere. Journal of Finance, 68(3), 929-985. [4] Baberies, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Finance, 49(3), 307-343. [5] Barroso, P., & Santa-Clara, P. (2014). Beyond the carry trade: Optimal currency portfolios. Journal of Financial and Quantitative Analysis, 50(5), 1037-1056. [6] Bakshi, G., Gao, X., & Rossi, A. (2017). Understanding the Source of Risk Underlying the Cross-Section of Commodity Returns. Management Science, in press.S [7] Bilson, J.F.O. (1981). The "Speculative Efficiency" Hypothesis. Journal of Business, 54(3), 435-451. [8] Brunnermeier, M.K., Nagel, S., & Pedersen, L.H. (2009). Carry Trades and Currency Crashes. NBER Macroeconomics Annual, 23, 313-347. [9] Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry Trade and Momentum in Currency Markets. Annual Review of Financial Economics, 3(1), 511-535. [10] Chaboud, A.P., & Wright, J.H. (2005). Uncovered interest parity: it works, but not for long. Journal of International Economics, 66(2), 349-362. [11] Chordia, T., & Shivakumar, L. (2002). Momentum, Business Cycle, and Time-varying Expected Returns. Journal of Finance, 57(2), 985-1019. [12] Cochrane, J.H. (2005). Asset Pricing (Revised Edition). Princeton University Press. [13] Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor Psychology and Security Market Under- and Overreactions. Journal of Finance, 53(6), 1839-1885. [14] Fama, E.F. (1970). Efficient Capital Market: A Review of Theory and Empirical Work. Journal of Finance, 25(2), 383-417. [15] Fama, E.F. (1984). Forward and Spot Exchange Rates. Journal of Monetary Economics, 14(3), 319-338. [16] Fama, E.F., & French, K.R. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22(1), 3-25. [17] Fama, E.F., & French, K.R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-465. [18] Fama, E.F., & French, K.R. (1993). Common risk factors in the return on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. [19] Fama, E.F., & French, K.R. (1996). Multifactor Explanation of Asset Pricing Anomalies. Journal of Finance, 51(1), 55-84. [20] Fama, E.F., & MacBeth, J.D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607–636. [21] Filippou, I., & Taylor, M. P. (2017). Common Macro Factors and Currency Premia. Journal of Financial and Quantitative Analysis, 52(4), 1731-1763. [22] Flood, M.D. (1994). Market structure and inefficiency in the foreign exchange market. Journal of International Money and Finance, 13(2), 131-158. [23] Galati, G., & Melvin, M. (2004). Why has FX trading surged?. BIS Quarterly Review, Dec. 2004, 67-74. [24] Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311-339. [25] Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91. [26] Jegadeesh, N., & Titman, S. (2002). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. Journal of Finance, 56(2), 699-720. [27] Jylhä, P., & Suominen, M. (2011). Speculative capital and currency carry trades. Journal of Financial Economics, 99(1), 60-75. [28] Jylhä, P., Rinne, K., & Suominen, M. (2014). Do Hedge Funds Supply or Demand Liquidity?. Review of Finance, 18(4), 1259-1298. [29] Kroencke, T. A., Schindler, F., & Schrimpf, A. (2014). International diversification benefits with foreign exchange investment styles. Review of Finance, 18(5),1847-1883 [30] Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian Investment, Extrapolation, and Risk. Journal of Finance, 49(5), 1541-1578. [31] Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47(1), 13-37. [32] Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common Risk Factor in Currency Markets. Review of Financial Studies, 24(11), 3731-3777. [33] Lustig, H., Roussanov, N., & Verdelhan, A. (2014). Countercyclical currency risk premia. Journal of Financial Economics, 111(3), 527-553. [34] Menkhoff, L., Sarno, L., Shmeling, M., & Schrimpf, A. (2012a). Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67(2), 681-718. [35] Menkhoff, L., Sarno, L., Shmeling, M., & Schrimpf, A. (2012b). Currency Momentum Strategies. Journal of Financial Economics, 106(3), 660-684. [36] Menkhoff, L., Sarno, L., Shmeling, M., & Schrimpf, A. (2016). Currency value. Review of Financial Studies, 30(2), 416-441. [37] Moosa, I. A. (2010). The Profitability of Carry Trade - La redditività del carry trade. Economia Internazionale / International Economics, 63(3), 361-380. [38] Okunev ,J., & White, D. (2003). Do Momentum-Based Strategies Still Work in Foreign Currency Markets?. Journal of Financial and Quantitative Analysis, 38(2), 425-447. [39] Paster ,L., & Stambaugh, R. F. (2001). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3), 642-685. [40] Plantin, G., & Shin, H. S. (2011). Carry Trades, Monetary Policy and Speculative Dynamics. CEPR Discussion Paper (February 2011), DP8224. [41] Raza, A. (2015). Are Value Strategies Profitable in the Foreign Exchange Market. [42] Rouwenhorst, K.G. (1998). International momentum strategies. Journal of Finance, 53(1), 267-284. [43] Rouwenhorst, K.G. (1999). Local return factors and turnover in emerging stock markets. Journal of Finance, 54(4), 1439-1464. [44] Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 19(3), 425-442. 描述 碩士
國立政治大學
金融學系
105352008資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105352008 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.advisor Lin, Chien Hsiu en_US dc.contributor.author (Authors) 郭秀樺 zh_TW dc.contributor.author (Authors) Kuo, Hsiu-Hua en_US dc.creator (作者) 郭秀樺 zh_TW dc.creator (作者) Kuo, Hsiu-Hua en_US dc.date (日期) 2018 en_US dc.date.accessioned 3-Jul-2018 17:26:09 (UTC+8) - dc.date.available 3-Jul-2018 17:26:09 (UTC+8) - dc.date.issued (上傳時間) 3-Jul-2018 17:26:09 (UTC+8) - dc.identifier (Other Identifiers) G0105352008 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118235 - 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) 105352008 zh_TW dc.description.abstract (摘要) 本研究主要是以外匯報酬四因子模型為基礎，故先在樣本期間內(1985/2至2017/08) ，透過HML投組法、Linear權重法及Rank權重法將37國匯率資料分別建構出利差、動能及價值交易策略因子；另一方面則利用前期遠期貼水、前期超額報酬、前期RERC(實質匯率累積五年變化)之測度各建構出4個投組。接著檢視因加入價值策略因子所形成之四因子模型對於外匯超額報酬的解釋力是否較兩因子模型(市場因子及利差策略因子)及三因子模型(市場因子、利差及動能策略交易因子)來的強？最終發現四因子模型在判斷係數及定價誤差檢定等適切度皆表現較佳。 接著利用主成分分析將所有12種成因因子(股價指數波動因子、投機活動因子、市場流動性因子、資金流動性因子、貨幣波動因子、落後短期利率因子、落後股利率因子、落後期限利差因子、落後違約因子、落後避險基金套利資本因子、工業生產量因子及通膨率因子)中顯著與策略因子相關之變數的第一主成分來檢測可否解釋四因子模型之利差、動能及價值策略因子，並利用Fama-MacBeth兩步驟橫斷面迴歸法評估模型定價能力。結果發現定價能力顯著，第一主成分則主要與股價指數波動度因子及資金流動性因子具有較大的相關性。股價指數波動度因子有可能具有較高解釋力的原因是匯率的利差交易者通常會借入低利率貨幣，再將資金投入高利率貨幣國家的貨幣或股票市場以求得高報酬，故若全球的股市有大波動時，亦有可能因而連動的影響匯率市場利差、動能及價值交易策略的表現。另外，流動性因子與利差交易的關聯在於利差交易報酬也許能彌補流動性螺旋；而在流動性好的時候通常動能交易策略表現較好、價值交易則表現較差。 zh_TW dc.description.abstract (摘要) This paper is based on the four-factors model of excess returns of foreign exchange. Firstly, we constructed CAR, MS and VALUE factors using HML(high minus low), linear weighted and rank weighted methods and also constructed 4 portfolios for each FX trade strategy based on different measures with 37 kinds of currencies during the sample period of February 1985 to August 2017.Next we tested whether four-factors FX model which adds VALUE factor have stronger ability to explain currency excess returns than two- and three-factors FX model. Finally, no matter the coefficient of determination or the test of pricing error, four-factors FX model performed well indeed. Further, we used PCA (Principal Component Analysis) to find the first component of factors which strongly related to the CAR, MS and VALUE factor respectively, and then using Fama-MacBeth two-step regression to estimate the pricing ability. The results showed that the first component is significant. The first component is mainly correlated with the ∆〖VOL〗_t^equity and ΔFunding Liq.. The reason ∆〖VOL〗_t^equity have the explanatory ability is that as the global stock market is struggling for the high volatility it may affect the return of FX trades. And the reason ΔFunding Liq. have the explanatory ability to carry trade is because that the excess return of carry trade may somehow compensate the liquidity spiral. On the other hand, the link between liquidity and momentum strategy and value strategy is that when the liquidity is good then the momentum strategy usually performs well and the value strategy is in contrast. en_US dc.description.tableofcontents 第一章 緒論 1 第一節 研究背景及動機 1 第二節 研究目的 2 第三節 論文架構及章節介紹 2 第二章 文獻回顧 3 第一節 利差交易(Carry Trade)文獻探討 3 第二節 動能交易(Momentum Strategy)文獻探討 5 第三節 價值交易(Value Strategy)文獻探討 7 第四節 影響利差、動能及交易策略之因子 9 第三章 樣本選擇與研究方法 10 第一節 樣本選擇 10 第二節 策略因子建構 15 第三節 成因因子選取與定義 22 第四節 研究方法 29 第四章 實證結果與分析 33 第一節 匯率報酬兩因子、三因子及四因子模型之比較 33 第二節 利差、動能、價值交易策略成因檢測及定價能力 39 第五章 結論與建議 48 參考文獻 50 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105352008 en_US dc.subject (關鍵詞) 外匯交易 zh_TW dc.subject (關鍵詞) 利差交易策略 zh_TW dc.subject (關鍵詞) 動能交易策略 zh_TW dc.subject (關鍵詞) 價值交易策略 zh_TW dc.subject (關鍵詞) 全球性總體經濟因子 zh_TW dc.subject (關鍵詞) 波動性因子 zh_TW dc.subject (關鍵詞) Fama-MacBeth兩步驟迴歸 zh_TW dc.subject (關鍵詞) FX trading en_US dc.subject (關鍵詞) Carry trade en_US dc.subject (關鍵詞) Momentum strategy en_US dc.subject (關鍵詞) Value strategy en_US dc.subject (關鍵詞) Global macro-economical factors en_US dc.subject (關鍵詞) Liquidity factors en_US dc.subject (關鍵詞) Fama-MacBeth regression en_US dc.title (題名) 外匯報酬之利差、動能及價值交易策略成因分析 zh_TW dc.title (題名) The Exchange Rate Return Pricing Models Including Factors of Carry Trade, Momentum and Value Strategy en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] 黃祺真(2016)。匯率報酬的三因子。國立政治大學金融研究所碩士論文，台北市。 [2] Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The Cross-Section of Volatility and Expected Returns. Journal of Finance, 61(1), 259-299. [3] Asness, C.S., Moskowitz, T.J., & Pedersen, L. (2013). Value and Momentum Everywhere. Journal of Finance, 68(3), 929-985. [4] Baberies, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Finance, 49(3), 307-343. [5] Barroso, P., & Santa-Clara, P. (2014). Beyond the carry trade: Optimal currency portfolios. Journal of Financial and Quantitative Analysis, 50(5), 1037-1056. [6] Bakshi, G., Gao, X., & Rossi, A. (2017). Understanding the Source of Risk Underlying the Cross-Section of Commodity Returns. Management Science, in press.S [7] Bilson, J.F.O. (1981). The "Speculative Efficiency" Hypothesis. Journal of Business, 54(3), 435-451. [8] Brunnermeier, M.K., Nagel, S., & Pedersen, L.H. (2009). Carry Trades and Currency Crashes. NBER Macroeconomics Annual, 23, 313-347. [9] Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry Trade and Momentum in Currency Markets. Annual Review of Financial Economics, 3(1), 511-535. [10] Chaboud, A.P., & Wright, J.H. (2005). Uncovered interest parity: it works, but not for long. Journal of International Economics, 66(2), 349-362. [11] Chordia, T., & Shivakumar, L. (2002). Momentum, Business Cycle, and Time-varying Expected Returns. Journal of Finance, 57(2), 985-1019. [12] Cochrane, J.H. (2005). Asset Pricing (Revised Edition). Princeton University Press. [13] Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor Psychology and Security Market Under- and Overreactions. Journal of Finance, 53(6), 1839-1885. [14] Fama, E.F. (1970). Efficient Capital Market: A Review of Theory and Empirical Work. Journal of Finance, 25(2), 383-417. [15] Fama, E.F. (1984). Forward and Spot Exchange Rates. Journal of Monetary Economics, 14(3), 319-338. [16] Fama, E.F., & French, K.R. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22(1), 3-25. [17] Fama, E.F., & French, K.R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-465. [18] Fama, E.F., & French, K.R. (1993). Common risk factors in the return on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. [19] Fama, E.F., & French, K.R. (1996). Multifactor Explanation of Asset Pricing Anomalies. Journal of Finance, 51(1), 55-84. [20] Fama, E.F., & MacBeth, J.D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607–636. [21] Filippou, I., & Taylor, M. P. (2017). Common Macro Factors and Currency Premia. Journal of Financial and Quantitative Analysis, 52(4), 1731-1763. [22] Flood, M.D. (1994). Market structure and inefficiency in the foreign exchange market. Journal of International Money and Finance, 13(2), 131-158. [23] Galati, G., & Melvin, M. (2004). Why has FX trading surged?. BIS Quarterly Review, Dec. 2004, 67-74. [24] Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311-339. [25] Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91. [26] Jegadeesh, N., & Titman, S. (2002). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. Journal of Finance, 56(2), 699-720. [27] Jylhä, P., & Suominen, M. (2011). Speculative capital and currency carry trades. Journal of Financial Economics, 99(1), 60-75. [28] Jylhä, P., Rinne, K., & Suominen, M. (2014). Do Hedge Funds Supply or Demand Liquidity?. Review of Finance, 18(4), 1259-1298. [29] Kroencke, T. A., Schindler, F., & Schrimpf, A. (2014). International diversification benefits with foreign exchange investment styles. Review of Finance, 18(5),1847-1883 [30] Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian Investment, Extrapolation, and Risk. Journal of Finance, 49(5), 1541-1578. [31] Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47(1), 13-37. [32] Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common Risk Factor in Currency Markets. Review of Financial Studies, 24(11), 3731-3777. [33] Lustig, H., Roussanov, N., & Verdelhan, A. (2014). Countercyclical currency risk premia. Journal of Financial Economics, 111(3), 527-553. [34] Menkhoff, L., Sarno, L., Shmeling, M., & Schrimpf, A. (2012a). Carry Trades and Global Foreign Exchange Volatility. Journal of Finance, 67(2), 681-718. [35] Menkhoff, L., Sarno, L., Shmeling, M., & Schrimpf, A. (2012b). Currency Momentum Strategies. Journal of Financial Economics, 106(3), 660-684. [36] Menkhoff, L., Sarno, L., Shmeling, M., & Schrimpf, A. (2016). Currency value. Review of Financial Studies, 30(2), 416-441. [37] Moosa, I. A. (2010). The Profitability of Carry Trade - La redditività del carry trade. Economia Internazionale / International Economics, 63(3), 361-380. [38] Okunev ,J., & White, D. (2003). Do Momentum-Based Strategies Still Work in Foreign Currency Markets?. Journal of Financial and Quantitative Analysis, 38(2), 425-447. [39] Paster ,L., & Stambaugh, R. F. (2001). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3), 642-685. [40] Plantin, G., & Shin, H. S. (2011). Carry Trades, Monetary Policy and Speculative Dynamics. CEPR Discussion Paper (February 2011), DP8224. [41] Raza, A. (2015). Are Value Strategies Profitable in the Foreign Exchange Market. [42] Rouwenhorst, K.G. (1998). International momentum strategies. Journal of Finance, 53(1), 267-284. [43] Rouwenhorst, K.G. (1999). Local return factors and turnover in emerging stock markets. Journal of Finance, 54(4), 1439-1464. [44] Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 19(3), 425-442. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.MB.012.2018.F06 -
