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題名 低波動策略的條件績效分析 - 以美國為例
The Conditional Performance of Low Volatility Strategies in the US作者 黃曼如
Huang, Man-Ru貢獻者 鍾令德
黃曼如
Huang, Man-Ru關鍵詞 低波動策略
低波動度異常現象
Low Volatility Strategies
Low Volatility Anomaly日期 2021 上傳時間 1-Jul-2021 16:18:45 (UTC+8) 摘要 由於中美貿易戰持續加劇、英國脫歐和全球央行利率變化的不確定性,2019年起全球經濟成長放緩。而 2020 年初開始新型冠狀病毒肆虐,進而影響全球經濟走勢,投資者開始關注於低風險的投資標的。根據資本資產定價模型(CAPM),低波動策略的報酬率應低於其他高風險投資商品,但在市場風險變高時,低波動策略應可當作避險的投資工具。因此,本文將探討低波動策略在高市場風險下的表現,並與同期的高波動策略作比較。研究對象為 CRSP 資料庫,包含美國證券交易所(American Stock Exchange, AMEX)、紐約證券交易所(New York Stock Exchange, NYSE)及那斯達克證券交易所(Nasdap Stock Exchange, NASDAQ)之上市股票。根據研究樣本中的數據,高風險時期包括亞洲金融風暴(1997)、網路泡沫(2000)、次貸金融海嘯(2008)、新冠肺炎(2020)。本文將利用回測及迴歸進行檢定與分析,從而探討在經濟不景氣期間是否存在低波動度異常現象(Low Volatility Anomaly),並會透過與市場波動度比較,檢視低波動度投資組合是否有避險功能。
Since 2019, the global economic growth has slowed down, because of the international trade dispute, Brexit, and the uncertainty of global monetary policies. To make matters worse, the outbreak of the COVID-19 in early 2020 has severely disrupted the global economy. According to the capital asset pricing model, investors should receive higher expected return for bearing more systematic risk. Therefore, low volatility strategies should have lower expected returns than their high-risk counterparts. But in periods of market turbulences, low volatility strategies may be more resilience and thus offer better risk-adjusted returns to investors. In this article, I form low volatility strategies using stocks traded on the NYSE, AMEX and NASDAQ and study their conditonal performance versus their high volatility counterparts amid four volatile periods including the Asian financial crisis (1997), the Internet bubble (2000), theSubprime mortgage crisis (2008), and the COVID-19 (2020). Specifically, I conduct back-testing and regression analysis to study whether low volatility strategies outperform relative to other factors during high volatility periods.參考文獻 [1] Alighanbari, M., Doole, S., and Shankar, D. (2016). Designing Low-Volatility Strategies. The Journal of Index Investing, 7(3), 21-33.[2] Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2009). High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Journal of Financial Economics, 91(1), 1–23.[3] Baker, M., Bradley, B., and Wurgler J. (2011). Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly. Financial Analysts Journal, 67(1), 40-54.[4] Blitz, D., and van Vliet, P. (2011). Benchmarking Low-Volatility Strategies. The Journal of Index Investing, 2(1), 44-49.[5] Blitz, D., and Vidojevic, M. (2017). The profitability of low-volatility. Journal of Empirical Finance, vol. 43(C), 33-42.[6] Brzenk, P. and Soe, A. M. (2017). A Tale of Two Low Volatility Indexes. The Journal of Index Investing, 8(2), 95-107.[7] Carhart, M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82.[8] Fama, E. F., and French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.[9] Fama, E. F., and French, K. R. (2016). Dissecting anomalies with a five-factor model. The Review of Financial Studies, 29(1), 69–103.[10] Garcia-Feijóo, L., Kochard, L., Sullivan, R. N., and Wang, P. (2015) Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios. Financial Analysts Journal, 71(3), 47-60.[11] Li, Xi, Sullivan, R. N., and Garcia-Feijóo, L. (2014). The Limits to Arbitrage and the Low-Volatility Anomaly. Financial Analysts Journal, 70(1), 52–63.[12] Li, Xi, Sullivan, R. N., and Garcia-Feijóo, L. (2016). The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing. Financial Analysts Journal, 72(1), 36–47.[13] Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37.[14] Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.[15] Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-783.[16] Muijsson, C., Fishwick E., and Satchell S. (2015). The Low Beta Anomaly and Interest Rates. In E. Jurczenko, ed., Risk-Based and Factor Investing, 1st edition, ISTE Press and Elsevier, 305-328.[17] Sharpe, W. F. (1964). Capital asset prices : a theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425-422.[18] Shiller, R. J. (2000). Irrational Exuberance. Princeton, NJ:Princeton University Press.[19] Treynor, J. L. (1962). Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics. London, Risk Books. p15-22.網際網路[20] CBOE Staff. (2019). Whitepaper : Cboe Volatility Index. Retrieved from https://www.cboe.com/tradable_products/ (March 26, 2021).[21] Kenneth R. French Data Library. Retrieved from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ (March 12, 2020). 描述 碩士
國立政治大學
國際經營與貿易學系
108351032資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108351032 資料類型 thesis dc.contributor.advisor 鍾令德 zh_TW dc.contributor.author (Authors) 黃曼如 zh_TW dc.contributor.author (Authors) Huang, Man-Ru en_US dc.creator (作者) 黃曼如 zh_TW dc.creator (作者) Huang, Man-Ru en_US dc.date (日期) 2021 en_US dc.date.accessioned 1-Jul-2021 16:18:45 (UTC+8) - dc.date.available 1-Jul-2021 16:18:45 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2021 16:18:45 (UTC+8) - dc.identifier (Other Identifiers) G0108351032 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/135903 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 108351032 zh_TW dc.description.abstract (摘要) 由於中美貿易戰持續加劇、英國脫歐和全球央行利率變化的不確定性,2019年起全球經濟成長放緩。而 2020 年初開始新型冠狀病毒肆虐,進而影響全球經濟走勢,投資者開始關注於低風險的投資標的。根據資本資產定價模型(CAPM),低波動策略的報酬率應低於其他高風險投資商品,但在市場風險變高時,低波動策略應可當作避險的投資工具。因此,本文將探討低波動策略在高市場風險下的表現,並與同期的高波動策略作比較。研究對象為 CRSP 資料庫,包含美國證券交易所(American Stock Exchange, AMEX)、紐約證券交易所(New York Stock Exchange, NYSE)及那斯達克證券交易所(Nasdap Stock Exchange, NASDAQ)之上市股票。根據研究樣本中的數據,高風險時期包括亞洲金融風暴(1997)、網路泡沫(2000)、次貸金融海嘯(2008)、新冠肺炎(2020)。本文將利用回測及迴歸進行檢定與分析,從而探討在經濟不景氣期間是否存在低波動度異常現象(Low Volatility Anomaly),並會透過與市場波動度比較,檢視低波動度投資組合是否有避險功能。 zh_TW dc.description.abstract (摘要) Since 2019, the global economic growth has slowed down, because of the international trade dispute, Brexit, and the uncertainty of global monetary policies. To make matters worse, the outbreak of the COVID-19 in early 2020 has severely disrupted the global economy. According to the capital asset pricing model, investors should receive higher expected return for bearing more systematic risk. Therefore, low volatility strategies should have lower expected returns than their high-risk counterparts. But in periods of market turbulences, low volatility strategies may be more resilience and thus offer better risk-adjusted returns to investors. In this article, I form low volatility strategies using stocks traded on the NYSE, AMEX and NASDAQ and study their conditonal performance versus their high volatility counterparts amid four volatile periods including the Asian financial crisis (1997), the Internet bubble (2000), theSubprime mortgage crisis (2008), and the COVID-19 (2020). Specifically, I conduct back-testing and regression analysis to study whether low volatility strategies outperform relative to other factors during high volatility periods. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 研究目的 3第三節 研究架構 5第二章 文獻探討 6第一節 低波動策略 7第二節 低波動度異常現象 8第三章 研究方法 10第一節 研究對象 10第二節 變數說明 11第三節 投資組合建立方式 15第四節 VIX指數月資料處理方式 19第五節 指數加權移動平均法計算市場波動度 20第四章 研究結果 22第一節 低波動度投資組合報酬率在高VIX指數時期的表現 22第二節 低波動度投資組合報酬率與多因子模型迴歸分析結果 24第三節 低波動度投資組合報酬率與EWMA市場波動度迴歸分析結果 27第五章 結論與建議 29參考文獻 31 zh_TW dc.format.extent 2019135 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108351032 en_US dc.subject (關鍵詞) 低波動策略 zh_TW dc.subject (關鍵詞) 低波動度異常現象 zh_TW dc.subject (關鍵詞) Low Volatility Strategies en_US dc.subject (關鍵詞) Low Volatility Anomaly en_US dc.title (題名) 低波動策略的條件績效分析 - 以美國為例 zh_TW dc.title (題名) The Conditional Performance of Low Volatility Strategies in the US en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) [1] Alighanbari, M., Doole, S., and Shankar, D. (2016). Designing Low-Volatility Strategies. The Journal of Index Investing, 7(3), 21-33.[2] Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2009). High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. Journal of Financial Economics, 91(1), 1–23.[3] Baker, M., Bradley, B., and Wurgler J. (2011). Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly. Financial Analysts Journal, 67(1), 40-54.[4] Blitz, D., and van Vliet, P. (2011). Benchmarking Low-Volatility Strategies. The Journal of Index Investing, 2(1), 44-49.[5] Blitz, D., and Vidojevic, M. (2017). The profitability of low-volatility. Journal of Empirical Finance, vol. 43(C), 33-42.[6] Brzenk, P. and Soe, A. M. (2017). A Tale of Two Low Volatility Indexes. The Journal of Index Investing, 8(2), 95-107.[7] Carhart, M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82.[8] Fama, E. F., and French, K. R. (1992). The cross‐section of expected stock returns. The Journal of Finance, 47(2), 427-465.[9] Fama, E. F., and French, K. R. (2016). Dissecting anomalies with a five-factor model. The Review of Financial Studies, 29(1), 69–103.[10] Garcia-Feijóo, L., Kochard, L., Sullivan, R. N., and Wang, P. (2015) Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios. Financial Analysts Journal, 71(3), 47-60.[11] Li, Xi, Sullivan, R. N., and Garcia-Feijóo, L. (2014). The Limits to Arbitrage and the Low-Volatility Anomaly. Financial Analysts Journal, 70(1), 52–63.[12] Li, Xi, Sullivan, R. N., and Garcia-Feijóo, L. (2016). The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing. Financial Analysts Journal, 72(1), 36–47.[13] Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37.[14] Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.[15] Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4), 768-783.[16] Muijsson, C., Fishwick E., and Satchell S. (2015). The Low Beta Anomaly and Interest Rates. In E. Jurczenko, ed., Risk-Based and Factor Investing, 1st edition, ISTE Press and Elsevier, 305-328.[17] Sharpe, W. F. (1964). Capital asset prices : a theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425-422.[18] Shiller, R. J. (2000). Irrational Exuberance. Princeton, NJ:Princeton University Press.[19] Treynor, J. L. (1962). Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics. London, Risk Books. p15-22.網際網路[20] CBOE Staff. (2019). Whitepaper : Cboe Volatility Index. Retrieved from https://www.cboe.com/tradable_products/ (March 26, 2021).[21] Kenneth R. French Data Library. Retrieved from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ (March 12, 2020). zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100536 en_US