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題名 外匯報酬之流動性、動能及價值交易策略分析
The Exchange Rate Return Pricing Models Including Factors of Liquidity, Momentum and Value Strategy作者 黃子桓
Huang, Tzu-Huan貢獻者 林建秀
Lin, Chien-Hsiu
黃子桓
Huang, Tzu-Huan關鍵詞 外匯交易
流動性交易策略
動能交易策略
價值交易策略
Fama-MacBeth兩步驟迴歸
FX trading
Liquidity strategy
Momentum strategy
Value strategy
Fama-MacBeth Regressions日期 2020 上傳時間 1-Jul-2020 13:40:48 (UTC+8) 摘要 本研究以探討流動性因子是否可解釋外匯報酬為主軸，比較兩種衡量流動性之指標Bid-Ask Spread與Corwin and Schultz (2012) 所建構之流動性因子，何者解釋外匯報酬能力較強。透過OLS迴歸及Fama-MacBeth兩步驟迴歸與定價誤差檢定，發現利用Corwin and Schultz(2012) 所建構之因子模型通過卡方聯合定價模型測試，其模型不存在定價誤差，故Corwin and Schultz (2012)所建構之因子模型較Bid-Ask Spread所建構之四因子模型更為適切。另一方面利用HML投組法將37國匯率資料透過貨幣高低價倍數(CS流動性指標)、貨幣前期超額報酬、貨幣五年累積實質匯率變化量(FXV值)之測度進行分類，分別建構出流動性、動能及價值交易策略因子。透過OLS迴歸及Fama-MacBeth兩步驟迴歸與定價誤差檢定，分別檢視二因子(市場因子及流動性因子)、三因子(市場、動能及價值因子)及四因子(市場因子、流動性、動能及價值因子)模型之外匯報酬定價能力。根據實證分析結果，三因子模型在變數解釋能力、調整後判定係數以及定價誤差為零之聯合卡方檢定皆表現的較二因子及四因子模型適切。
This paper is mainly discussed whether the liquidity factor can explain the excess returns of foreign exchange, and compare the two liquidity factors constructed by Bid-Ask Spread and Corwin and Schultz (2012), which factors can explain the excess returns of foreign exchange properly. By using the OLS regression, Fama-MacBeth two-step regression and the test of pricing error, we found that only the factor model constructed by Corwin and Schultz (2012) passed the test of pricing error, which means that there was no pricing error in factor model constructed by Corwin and Schultz (2012) and is more suitable than the factor model constructed by Bid-Ask Spread.Further, we used the exchange rate data of 37 countries to construct the LIQ, MS, VALUE factors via HML (high minus low) methodology. Using the FX of high and low price multiples (CS index), last month of the FX excess return, and the FX five-year cumulative real exchange rate change (FXV) as the measurements. By the OLS regression and Fama-MacBeth two-step regression and test of pricing error, we respectively examined the pricing ability of two-factor model (market and liquidity factor), three-factor model (market, momentum and value factor) and four-factor model (market, liquidity, momentum and value factor). According to the empirical analysis, the three-factor model is the best model to explain the FX excess return, comparing with the two-factor and four-factor models. No matter the adjusted coefficient of determination, and the test of pricing error, three-factor model perform well indeed.參考文獻 [1] 詹場、胡星陽（2001），「流動性衡量方法之綜合評論」，國家科學委員會研究彙刊: 人文及社科學，11 卷三期，205-221。[2] Acharya, V.V., & Pedersen, L. H. (2005) Asset Pricing with Liquidity Risk. Journal of financial Econmics, 77(2), 375-410[3] Amihud, Y. (2002)Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets 5(1):31-56.[4] Asness, C.S., Moskowitz, T.J., and Pedersen, L. (2013). Value and MomentumEverywhere. Journal of Finance, 68(3), 929-985.[5] Banti, C., Phylaktis K., and Sarno L., (2012) Global liquidity risk in the foreign exchange market, Journal of International Money and Finance, 2012, vol. 31, issue 2, 267-291[6] Barroso, P., & Santa-Clara, P. (2014). Beyond the carry trade: Optimal currencyportfolios. Journal of Financial and Quantitative Analysis, 50(5), 1037-1056.[7] Chih-Nan Chen, Chien-Hsiu Lin. (2019). The sources of pricing factors underlying the cross-section of currency returns, The Quarterly Review of Economics and Finance[8] Datar, V. T., Naik, N. Y., and Radcliffe, R. (1998) Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets, 1(2), 203-219.[9] Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor Psychology and Security Market Under- and Overreactions. Journal of Finance, 53(6), 1839-1885.[10] Fama, E.F. (1970). Efficient Capital Market: A Review of Theory and EmpiricalWork. Journal of Finance, 25(2), 383-417.[11] Fama, E.F. (1984). Forward and Spot Exchange Rates. Journal of MonetaryEconomics, 14(3), 319-338. .[12] Fama, E.F., and French, K.R. (1993). Common risk factors in the return on stocksand bonds. Journal of Financial Economics, 33(1), 3-56.[13] Fama, E.F., and French, K.R. (1996). Multifactor Explanation of Asset PricingAnomalies. Journal of Finance, 51(1), 55-84.[14] Fama, E.F., and MacBeth, J.D. (1973). Risk, Return, and Equilibrium: EmpiricalTests. Journal of Political Economy, 81(3), 607–636.[15] Flood, M.D. (1994). Market structure and inefficiency in the foreign exchangemarket. Journal of International Money and Finance, 13(2), 131-158. \\[16] Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311-339.[17] Jegadeesh, N., and Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91.[18] Jegadeesh, N., and Titman, S. (2002). Profitability of Momentum Strategies: AnEvaluation of Alternative Explanations. Journal of Finance, 56(2), 699-720.[19] Kroencke, T. A., Schindler, F., & Schrimpf, A. (2014). International diversification benefits with foreign exchange investment styles. Review of Finance, 18(5),1847- 1883[20] Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian Investment,Extrapolation, and Risk. Journal of Finance, 49(5), 1541-1578.[21] Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common Risk Factor in Currency Markets. Review of Financial Studies, 24(11), 3731-3777.[22] Menkhoff, L., Sarno, L., Shmeling, M., and Schrimpf, A. (2012b). CurrencyMomentum Strategies. Journal of Financial Economics, 106(3), 660-684.[23] Menkhoff, L., Sarno, L., Shmeling, M., and Schrimpf, A. (2016). Currency value.Review of Financial Studies, 30(2), 416-441.[24] Nina Karnaukh, Angelo Ranaldo and Paul Söderlind (2015) No 1315, Working Papers on Finance.[25] Okunev ,J., and White, D. (2003). Do Momentum-Based Strategies Still Work inForeign Currency Markets?. Journal of Financial and Quantitative Analysis, 38(2), 425-447.[26] Paster ,L., and Stambaugh, R. F. (2001). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3), 642-685.[27] Raza, A. (2015). Are Value Strategies Profitable in the Foreign Exchange Market.[28] Rouwenhorst, K.G. (1998). International momentum strategies. Journal ofFinance, 53(1), 267-284.[29] Shane A. Corwin and Paul Schultz (2012) A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices, The Journal of Finance 描述 碩士
國立政治大學
金融學系
107352005資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107352005 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) 黃子桓 zh_TW dc.contributor.author (Authors) Huang, Tzu-Huan en_US dc.creator (作者) 黃子桓 zh_TW dc.creator (作者) Huang, Tzu-Huan en_US dc.date (日期) 2020 en_US dc.date.accessioned 1-Jul-2020 13:40:48 (UTC+8) - dc.date.available 1-Jul-2020 13:40:48 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2020 13:40:48 (UTC+8) - dc.identifier (Other Identifiers) G0107352005 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130540 - 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) 107352005 zh_TW dc.description.abstract (摘要) 本研究以探討流動性因子是否可解釋外匯報酬為主軸，比較兩種衡量流動性之指標Bid-Ask Spread與Corwin and Schultz (2012) 所建構之流動性因子，何者解釋外匯報酬能力較強。透過OLS迴歸及Fama-MacBeth兩步驟迴歸與定價誤差檢定，發現利用Corwin and Schultz(2012) 所建構之因子模型通過卡方聯合定價模型測試，其模型不存在定價誤差，故Corwin and Schultz (2012)所建構之因子模型較Bid-Ask Spread所建構之四因子模型更為適切。另一方面利用HML投組法將37國匯率資料透過貨幣高低價倍數(CS流動性指標)、貨幣前期超額報酬、貨幣五年累積實質匯率變化量(FXV值)之測度進行分類，分別建構出流動性、動能及價值交易策略因子。透過OLS迴歸及Fama-MacBeth兩步驟迴歸與定價誤差檢定，分別檢視二因子(市場因子及流動性因子)、三因子(市場、動能及價值因子)及四因子(市場因子、流動性、動能及價值因子)模型之外匯報酬定價能力。根據實證分析結果，三因子模型在變數解釋能力、調整後判定係數以及定價誤差為零之聯合卡方檢定皆表現的較二因子及四因子模型適切。 zh_TW dc.description.abstract (摘要) This paper is mainly discussed whether the liquidity factor can explain the excess returns of foreign exchange, and compare the two liquidity factors constructed by Bid-Ask Spread and Corwin and Schultz (2012), which factors can explain the excess returns of foreign exchange properly. By using the OLS regression, Fama-MacBeth two-step regression and the test of pricing error, we found that only the factor model constructed by Corwin and Schultz (2012) passed the test of pricing error, which means that there was no pricing error in factor model constructed by Corwin and Schultz (2012) and is more suitable than the factor model constructed by Bid-Ask Spread.Further, we used the exchange rate data of 37 countries to construct the LIQ, MS, VALUE factors via HML (high minus low) methodology. Using the FX of high and low price multiples (CS index), last month of the FX excess return, and the FX five-year cumulative real exchange rate change (FXV) as the measurements. By the OLS regression and Fama-MacBeth two-step regression and test of pricing error, we respectively examined the pricing ability of two-factor model (market and liquidity factor), three-factor model (market, momentum and value factor) and four-factor model (market, liquidity, momentum and value factor). According to the empirical analysis, the three-factor model is the best model to explain the FX excess return, comparing with the two-factor and four-factor models. No matter the adjusted coefficient of determination, and the test of pricing error, three-factor model perform well indeed. 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 流動性(Liquidity)文獻探討:3第二節 動能交易(Momentum) 文獻探討:6第三節 價值交易(Value) 文獻探討:8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:14第三節 研究方法:27第四章 實證結果分析:30第一節 外匯二因子、三因子及四因子模型之比較:30第五章 結論與建議:36參考文獻:38附錄:41 zh_TW dc.format.extent 3008577 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107352005 en_US dc.subject (關鍵詞) 外匯交易 zh_TW dc.subject (關鍵詞) 流動性交易策略 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) Fama-MacBeth兩步驟迴歸 zh_TW dc.subject (關鍵詞) FX trading en_US dc.subject (關鍵詞) Liquidity strategy 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) Fama-MacBeth Regressions en_US dc.title (題名) 外匯報酬之流動性、動能及價值交易策略分析 zh_TW dc.title (題名) The Exchange Rate Return Pricing Models Including Factors of Liquidity, Momentum and Value Strategy en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] 詹場、胡星陽（2001），「流動性衡量方法之綜合評論」，國家科學委員會研究彙刊: 人文及社科學，11 卷三期，205-221。[2] Acharya, V.V., & Pedersen, L. H. (2005) Asset Pricing with Liquidity Risk. Journal of financial Econmics, 77(2), 375-410[3] Amihud, Y. (2002)Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets 5(1):31-56.[4] Asness, C.S., Moskowitz, T.J., and Pedersen, L. (2013). Value and MomentumEverywhere. Journal of Finance, 68(3), 929-985.[5] Banti, C., Phylaktis K., and Sarno L., (2012) Global liquidity risk in the foreign exchange market, Journal of International Money and Finance, 2012, vol. 31, issue 2, 267-291[6] Barroso, P., & Santa-Clara, P. (2014). Beyond the carry trade: Optimal currencyportfolios. Journal of Financial and Quantitative Analysis, 50(5), 1037-1056.[7] Chih-Nan Chen, Chien-Hsiu Lin. (2019). The sources of pricing factors underlying the cross-section of currency returns, The Quarterly Review of Economics and Finance[8] Datar, V. T., Naik, N. Y., and Radcliffe, R. (1998) Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets, 1(2), 203-219.[9] Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor Psychology and Security Market Under- and Overreactions. Journal of Finance, 53(6), 1839-1885.[10] Fama, E.F. (1970). Efficient Capital Market: A Review of Theory and EmpiricalWork. Journal of Finance, 25(2), 383-417.[11] Fama, E.F. (1984). Forward and Spot Exchange Rates. Journal of MonetaryEconomics, 14(3), 319-338. .[12] Fama, E.F., and French, K.R. (1993). Common risk factors in the return on stocksand bonds. Journal of Financial Economics, 33(1), 3-56.[13] Fama, E.F., and French, K.R. (1996). Multifactor Explanation of Asset PricingAnomalies. Journal of Finance, 51(1), 55-84.[14] Fama, E.F., and MacBeth, J.D. (1973). Risk, Return, and Equilibrium: EmpiricalTests. Journal of Political Economy, 81(3), 607–636.[15] Flood, M.D. (1994). Market structure and inefficiency in the foreign exchangemarket. Journal of International Money and Finance, 13(2), 131-158. \\[16] Grinblatt, M., & Han, B. (2005). Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 78(2), 311-339.[17] Jegadeesh, N., and Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91.[18] Jegadeesh, N., and Titman, S. (2002). Profitability of Momentum Strategies: AnEvaluation of Alternative Explanations. Journal of Finance, 56(2), 699-720.[19] Kroencke, T. A., Schindler, F., & Schrimpf, A. (2014). International diversification benefits with foreign exchange investment styles. Review of Finance, 18(5),1847- 1883[20] Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian Investment,Extrapolation, and Risk. Journal of Finance, 49(5), 1541-1578.[21] Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common Risk Factor in Currency Markets. Review of Financial Studies, 24(11), 3731-3777.[22] Menkhoff, L., Sarno, L., Shmeling, M., and Schrimpf, A. (2012b). CurrencyMomentum Strategies. Journal of Financial Economics, 106(3), 660-684.[23] Menkhoff, L., Sarno, L., Shmeling, M., and Schrimpf, A. (2016). Currency value.Review of Financial Studies, 30(2), 416-441.[24] Nina Karnaukh, Angelo Ranaldo and Paul Söderlind (2015) No 1315, Working Papers on Finance.[25] Okunev ,J., and White, D. (2003). Do Momentum-Based Strategies Still Work inForeign Currency Markets?. Journal of Financial and Quantitative Analysis, 38(2), 425-447.[26] Paster ,L., and Stambaugh, R. F. (2001). Liquidity Risk and Expected Stock Returns. Journal of Political Economy, 111(3), 642-685.[27] Raza, A. (2015). Are Value Strategies Profitable in the Foreign Exchange Market.[28] Rouwenhorst, K.G. (1998). International momentum strategies. Journal ofFinance, 53(1), 267-284.[29] Shane A. Corwin and Paul Schultz (2012) A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices, The Journal of Finance zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000600 en_US
