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題名 何種Beta預測效果較佳？以台灣股市為例
Which Beta? The Case in Taiwan作者 李佳恩
Lee, Chia-En貢獻者 鍾令德
Chung, Ling-Tak
李佳恩
Lee, Chia-En關鍵詞 貝塔係數
系統性風險
避險投資組合
Beta coefficient
Systematic risk
Hedging portfolio日期 2022 上傳時間 1-Jun-2022 16:25:21 (UTC+8) 摘要 本文旨在探討在資本資產定價模型架構之中應用八種不同的β係數估計模型對於預測台灣個股系統性風險的能力以及對於台股投資者建立避險策略的有效性。研究樣本對象為1991年1月至2021年7月之所有台灣上市及上櫃共1,754檔股票。β係數的估計方法大致分別為最小平方法、貝葉斯收縮法、縮尾處理法以及衰減參數縮尾處理法，再利用前期估算的β係數對未來估算的β係數進行迴歸預測分析，從而篩選出預測性能優異的估計模型並將之用於建立市場避險投資組合，並回測模型成效。 實證結果顯示，已實際應用於其他已開發國家股市的β係數估計方法同樣可應用於台灣股市。而使用縮尾處理與衰減參數能有效提升β係數之預測準確度，至於使用貝葉斯收縮後所得出的預測準確度亦位於前列。在資料頻率使用方面，日報酬率在估算β係數上的實用性明顯高於月報酬率。最後，在建立市場避險投資組合的應用中，我們發現上述預測表現優異的β係數模型能有效降低投資組合報酬的波動率。總體而言，本研究驗證的β係數預測模型可供台股投資者作為評估系統性風險之指標，同時投資者應妥善衡量並考慮其它投資因子，以期達到更佳的投資組合風險管理成效。
This thesis studies the predicting performances of eight CAPM beta estimators and their effectiveness in hedging strategies for Taiwanese investors. Our sample ranges from 1991 to 2021, covering 1,754 listed companies. We use a combination of ordinary least squares, Bayesian shrinkage, slope winsorization, and decay parameter method to estimate CAPM betas of individual stocks. By running predictive regression, we test whether these ex-ante beta estimates can reliably predict their ex-post counterparts. Finally, we use these betas to form market-neutral stock portfolios and evaluate their hedging performances. Our analysis brings four major conclusions. First, the beta estimators applied in other stock markets of developed countries are also effective in the Taiwanese stock market. Second, slope winsorization and decay parameters can significantly improve the predictive accuracy of beta estimates, while Bayesian shrinkage estimators also perform well. Third,betas estimated from daily data are better than those estimated from monthly data in predicting future betas. Forth, beta estimates with good predictive performances can effectively reduce variances of beta-hedged portfolios. Overall, this thesis provides a general guideline for improving the measurement of stock-level systematic risk through the lens of CAPM betas in Taiwan. Taiwanese investors can better manage their portfolio risks by monitoring market betas and alternative investment factor exposures.參考文獻 Avramov, D., and Chordia, T. (2003). Asset Pricing Models and Financial Market Anomalies. Review of Financial Studies, 19, 1001-1040.Baur, D.G., and Schulze, N. (2010). The Risk of Beta – Investor Learning and Prospect Theory. Working Paper, 1-40.Bayes, T., and Price R. (2003). An Essay towards Solving a Problem in the Doctrine of Chances. Philosophical Transactions of the Royal Society of London, 53, 370-418.Beer, F.M. (1997). Estimation of Risk on the Brussels Stock Exchange: Methodological Issues and Empirical Results. Global Finance Journal, 8, 83-94.Blume, M.E. (1971). On the Assessment of Risk. Journal of Finance, 26, 1-10.Blume, M.E. (1975). Betas and Their Regression Tendencies. Journal of Finance, 30, 785-795.Brailsford, T.J., and Faff, R.W. (1997). Testing the Conditional CAPM and the Effect of Intervaling: A Note. Pacific-basin Finance Journal, 5, 527-537.Chen, L., Jiang, G.J., Guanzhong, P., and Zhu, X. (2016). Biases in CAPM Beta Estimation. Advances in Investment Analysis and Portfolio Management, 8, 83-103.Cohen, K.J., Hawawini, G.A., Maier, S.F., Schwartz, R.A., and Whitcomb, D.K. (1983). Friction in the Trading Process and the Estimation of Systematic Risk. Journal of Financial Economics, 12, 263-278.Diacogiannis, G., and Makri, P. (2008). Estimating Betas in Thinner Markets: The Case of the Athens Stock Exchange. International Research Journal of Finance and Economics, 13, 108-122.Dimson, E., and Marsh, P. (1983). The Stability of UK Risk Measures and The Problem of Thin Trading. Journal of Finance, 38, 753-783.Elton, E. J., Gruber, M. J., Brown, S. J., and Goetzmann, W. N. (2014). Modern Portfolio Theory and Investment Analysis (9th ed.). John Wiley & Sons.Estrada, J. (2000). The Temporal Dimension of Risk. The Quarterly Review of Economics and Finance, 40, 189-204.Fabozzi, F.J., and Francis, J.C. (1978). Beta as a Random Coefficient. The Journal of Financial and Quantitative Analysis, 13(1), 101-116.Fama, E.F., and MacBeth, J.D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607-636.Ferguson, R.A., and Simaan, Y. (1998). Estimating Beta When the CAPM Is True. The Journal of Performance Measurement, 2(4). 38-55.Frankfurter, G.M., Leung, W.K., and Brockman, P.D. (1994). Compounding Period Length and the Market Model. Journal of Economics and Business, 46, 179-193.Frazzini, A., and Pedersen, L.H. (2010). Betting Against Beta. Journal of Financial Economics, 111(1), 1-25.Genton, M.G., and Ronchetti, E. (2008). Robust Prediction of Beta. Computational methods in financial engineering: Essays in honour of Manfred Gilli (2008th ed.). Springer.Graham, J.R., and Harvey, C.R. (1999). The Theory and Practice of Corporate Finance: Evidence from the Field. Journal of Financial Economics, 60(2-3), 187-243.Gray, S., Hall, J., Klease, D., and McCrystal, A. (2009). Bias, Stability and Predictive Ability in the Measurement of Systematic Risk. Accounting Research Journal, 22(3), 220-236.Groenewald, N., and Fraser, P. (2000). Forecasting Beta: How Well Does the ‘Five‐Year Rule of Thumb’ Do? Journal of Business Finance & Accounting, 27, 953-982.Hakan, A., and Hakan, S. (2007). Is a Correction Necessary? for Beta Estimation? Akdeniz University Faculty of Economics & Administrative Sciences Faculty Journal, 7, 110-121.Harris, R.D., and Shen, J. (2003). Robust Estimation of the Optimal Hedge Ratio. Journal of Futures Markets, 23, 799-816.Hollstein, F. (2020). Estimating Beta: The International Evidence. Journal of Banking and Finance, 121, 105968.Hollstein, F., Prokopczuk, M., and Wese Simen, C. (2020). Beta Uncertainty. Journal of Banking and Finance, 116, 105834Isakov, D. (1997). Is Beta Still Alive? Conclusive Evidence from the Swiss Stock Market. European Journal of Finance. 5(3), 202-212.Karceski, J.J. (2002). Returns-Chasing Behavior, Mutual Funds, and Beta`s Death. Journal of Financial and Quantitative Analysis, 37, 559-594.Lee, J., and Jang, S. (2007). The Systematic-Risk Determinants of the US Airline Industry. Tourism Management, 28, 434-442.Levi, Y., and Welch, I. (2017). Best Practice for Cost-of-Capital Estimates. Journal of Financial and Quantitative Analysis, 52, 427-463.Marshall, B.R., Nguyen, N.H., and Visaltanachoti, N. (2021). Beta Estimation in New Zealand. Pacific-Basin Finance Journal, 70, 101671.Martin, R.D., and Simin, T.T. (2003). Outlier-Resistant Estimates of Beta. Financial Analysts Journal, 59, 56-69.Pettengill, G.N., Sundaram, S., and Mathur, I. (1995). The Conditional Relation between Beta and Returns. Journal of Financial and Quantitative Analysis, 30, 101-116.Ramazan Genay, Faruk Seļuk, and Brandon Whitcher (2002). Systematic Risk and Timescales. Quantitative Finance, 3(2), 108 - 116.Scholes, M.S., and Williams, J.T. (1977). Estimating Betas From Nonsynchronous Data. Journal of Financial Economics, 5, 309-327.Shi, W., and Xu, Y. (2016). Is Beta Still Useful over a Longer-Horizon?: An Implied Cost of Capital Approach. Working Paper, 1-33.Theodossiou, A., Theodossiou, P., and Yaari, U. (2014). Beta Estimation with Stock Return Outliers: The Case of U.S. Pharmaceutical Companies. Journal of International Financial Markets, Institutions and Money, 30, 153-171.Vasicek, O.A. (1973). A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas. Journal of Finance, 28, 1233-1239.Welch, I. (2021). Simply Better Market Betas. Critical Finance Review, 11(1), 37-64. 描述 碩士
國立政治大學
國際經營與貿易學系
110351014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110351014 資料類型 thesis dc.contributor.advisor 鍾令德 zh_TW dc.contributor.advisor Chung, Ling-Tak en_US dc.contributor.author (Authors) 李佳恩 zh_TW dc.contributor.author (Authors) Lee, Chia-En en_US dc.creator (作者) 李佳恩 zh_TW dc.creator (作者) Lee, Chia-En en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jun-2022 16:25:21 (UTC+8) - dc.date.available 1-Jun-2022 16:25:21 (UTC+8) - dc.date.issued (上傳時間) 1-Jun-2022 16:25:21 (UTC+8) - dc.identifier (Other Identifiers) G0110351014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140199 - 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) 110351014 zh_TW dc.description.abstract (摘要) 本文旨在探討在資本資產定價模型架構之中應用八種不同的β係數估計模型對於預測台灣個股系統性風險的能力以及對於台股投資者建立避險策略的有效性。研究樣本對象為1991年1月至2021年7月之所有台灣上市及上櫃共1,754檔股票。β係數的估計方法大致分別為最小平方法、貝葉斯收縮法、縮尾處理法以及衰減參數縮尾處理法，再利用前期估算的β係數對未來估算的β係數進行迴歸預測分析，從而篩選出預測性能優異的估計模型並將之用於建立市場避險投資組合，並回測模型成效。 實證結果顯示，已實際應用於其他已開發國家股市的β係數估計方法同樣可應用於台灣股市。而使用縮尾處理與衰減參數能有效提升β係數之預測準確度，至於使用貝葉斯收縮後所得出的預測準確度亦位於前列。在資料頻率使用方面，日報酬率在估算β係數上的實用性明顯高於月報酬率。最後，在建立市場避險投資組合的應用中，我們發現上述預測表現優異的β係數模型能有效降低投資組合報酬的波動率。總體而言，本研究驗證的β係數預測模型可供台股投資者作為評估系統性風險之指標，同時投資者應妥善衡量並考慮其它投資因子，以期達到更佳的投資組合風險管理成效。 zh_TW dc.description.abstract (摘要) This thesis studies the predicting performances of eight CAPM beta estimators and their effectiveness in hedging strategies for Taiwanese investors. Our sample ranges from 1991 to 2021, covering 1,754 listed companies. We use a combination of ordinary least squares, Bayesian shrinkage, slope winsorization, and decay parameter method to estimate CAPM betas of individual stocks. By running predictive regression, we test whether these ex-ante beta estimates can reliably predict their ex-post counterparts. Finally, we use these betas to form market-neutral stock portfolios and evaluate their hedging performances. Our analysis brings four major conclusions. First, the beta estimators applied in other stock markets of developed countries are also effective in the Taiwanese stock market. Second, slope winsorization and decay parameters can significantly improve the predictive accuracy of beta estimates, while Bayesian shrinkage estimators also perform well. Third,betas estimated from daily data are better than those estimated from monthly data in predicting future betas. Forth, beta estimates with good predictive performances can effectively reduce variances of beta-hedged portfolios. Overall, this thesis provides a general guideline for improving the measurement of stock-level systematic risk through the lens of CAPM betas in Taiwan. Taiwanese investors can better manage their portfolio risks by monitoring market betas and alternative investment factor exposures. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究動機與目的 3第二章 文獻回顧 4第一節 將β係數納入投資考量之原因 4第二節 傳統β係數預測的缺失 5第三節 常見的β係數預測模型 7第三章 研究資料與方法 10第一節 研究資料說明 10第二節 最小平方法 10第三節 貝葉斯收縮法 12第四節 縮尾處理法 13第五節 衰減參數法 14第四章 研究結果 15第一節 敘述統計量 15第二節 β預測模型觀察 16第三節 實證結果與分析 18第五章 結論 21參考文獻 22 zh_TW dc.format.extent 953015 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110351014 en_US dc.subject (關鍵詞) 貝塔係數 zh_TW dc.subject (關鍵詞) 系統性風險 zh_TW dc.subject (關鍵詞) 避險投資組合 zh_TW dc.subject (關鍵詞) Beta coefficient en_US dc.subject (關鍵詞) Systematic risk en_US dc.subject (關鍵詞) Hedging portfolio en_US dc.title (題名) 何種Beta預測效果較佳？以台灣股市為例 zh_TW dc.title (題名) Which Beta? The Case in Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Avramov, D., and Chordia, T. (2003). Asset Pricing Models and Financial Market Anomalies. Review of Financial Studies, 19, 1001-1040.Baur, D.G., and Schulze, N. (2010). The Risk of Beta – Investor Learning and Prospect Theory. Working Paper, 1-40.Bayes, T., and Price R. (2003). An Essay towards Solving a Problem in the Doctrine of Chances. Philosophical Transactions of the Royal Society of London, 53, 370-418.Beer, F.M. (1997). Estimation of Risk on the Brussels Stock Exchange: Methodological Issues and Empirical Results. Global Finance Journal, 8, 83-94.Blume, M.E. (1971). On the Assessment of Risk. Journal of Finance, 26, 1-10.Blume, M.E. (1975). Betas and Their Regression Tendencies. Journal of Finance, 30, 785-795.Brailsford, T.J., and Faff, R.W. (1997). Testing the Conditional CAPM and the Effect of Intervaling: A Note. Pacific-basin Finance Journal, 5, 527-537.Chen, L., Jiang, G.J., Guanzhong, P., and Zhu, X. (2016). Biases in CAPM Beta Estimation. Advances in Investment Analysis and Portfolio Management, 8, 83-103.Cohen, K.J., Hawawini, G.A., Maier, S.F., Schwartz, R.A., and Whitcomb, D.K. (1983). Friction in the Trading Process and the Estimation of Systematic Risk. Journal of Financial Economics, 12, 263-278.Diacogiannis, G., and Makri, P. (2008). Estimating Betas in Thinner Markets: The Case of the Athens Stock Exchange. International Research Journal of Finance and Economics, 13, 108-122.Dimson, E., and Marsh, P. (1983). The Stability of UK Risk Measures and The Problem of Thin Trading. Journal of Finance, 38, 753-783.Elton, E. J., Gruber, M. J., Brown, S. J., and Goetzmann, W. N. (2014). Modern Portfolio Theory and Investment Analysis (9th ed.). John Wiley & Sons.Estrada, J. (2000). The Temporal Dimension of Risk. The Quarterly Review of Economics and Finance, 40, 189-204.Fabozzi, F.J., and Francis, J.C. (1978). Beta as a Random Coefficient. The Journal of Financial and Quantitative Analysis, 13(1), 101-116.Fama, E.F., and MacBeth, J.D. (1973). Risk, Return, and Equilibrium: Empirical Tests. Journal of Political Economy, 81, 607-636.Ferguson, R.A., and Simaan, Y. (1998). Estimating Beta When the CAPM Is True. The Journal of Performance Measurement, 2(4). 38-55.Frankfurter, G.M., Leung, W.K., and Brockman, P.D. (1994). Compounding Period Length and the Market Model. Journal of Economics and Business, 46, 179-193.Frazzini, A., and Pedersen, L.H. (2010). Betting Against Beta. Journal of Financial Economics, 111(1), 1-25.Genton, M.G., and Ronchetti, E. (2008). Robust Prediction of Beta. Computational methods in financial engineering: Essays in honour of Manfred Gilli (2008th ed.). Springer.Graham, J.R., and Harvey, C.R. (1999). The Theory and Practice of Corporate Finance: Evidence from the Field. Journal of Financial Economics, 60(2-3), 187-243.Gray, S., Hall, J., Klease, D., and McCrystal, A. (2009). Bias, Stability and Predictive Ability in the Measurement of Systematic Risk. Accounting Research Journal, 22(3), 220-236.Groenewald, N., and Fraser, P. (2000). Forecasting Beta: How Well Does the ‘Five‐Year Rule of Thumb’ Do? Journal of Business Finance & Accounting, 27, 953-982.Hakan, A., and Hakan, S. (2007). Is a Correction Necessary? for Beta Estimation? Akdeniz University Faculty of Economics & Administrative Sciences Faculty Journal, 7, 110-121.Harris, R.D., and Shen, J. (2003). Robust Estimation of the Optimal Hedge Ratio. Journal of Futures Markets, 23, 799-816.Hollstein, F. (2020). Estimating Beta: The International Evidence. Journal of Banking and Finance, 121, 105968.Hollstein, F., Prokopczuk, M., and Wese Simen, C. (2020). Beta Uncertainty. Journal of Banking and Finance, 116, 105834Isakov, D. (1997). Is Beta Still Alive? Conclusive Evidence from the Swiss Stock Market. European Journal of Finance. 5(3), 202-212.Karceski, J.J. (2002). Returns-Chasing Behavior, Mutual Funds, and Beta`s Death. Journal of Financial and Quantitative Analysis, 37, 559-594.Lee, J., and Jang, S. (2007). The Systematic-Risk Determinants of the US Airline Industry. Tourism Management, 28, 434-442.Levi, Y., and Welch, I. (2017). Best Practice for Cost-of-Capital Estimates. Journal of Financial and Quantitative Analysis, 52, 427-463.Marshall, B.R., Nguyen, N.H., and Visaltanachoti, N. (2021). Beta Estimation in New Zealand. Pacific-Basin Finance Journal, 70, 101671.Martin, R.D., and Simin, T.T. (2003). Outlier-Resistant Estimates of Beta. Financial Analysts Journal, 59, 56-69.Pettengill, G.N., Sundaram, S., and Mathur, I. (1995). The Conditional Relation between Beta and Returns. Journal of Financial and Quantitative Analysis, 30, 101-116.Ramazan Genay, Faruk Seļuk, and Brandon Whitcher (2002). Systematic Risk and Timescales. Quantitative Finance, 3(2), 108 - 116.Scholes, M.S., and Williams, J.T. (1977). Estimating Betas From Nonsynchronous Data. Journal of Financial Economics, 5, 309-327.Shi, W., and Xu, Y. (2016). Is Beta Still Useful over a Longer-Horizon?: An Implied Cost of Capital Approach. Working Paper, 1-33.Theodossiou, A., Theodossiou, P., and Yaari, U. (2014). Beta Estimation with Stock Return Outliers: The Case of U.S. Pharmaceutical Companies. Journal of International Financial Markets, Institutions and Money, 30, 153-171.Vasicek, O.A. (1973). A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas. Journal of Finance, 28, 1233-1239.Welch, I. (2021). Simply Better Market Betas. Critical Finance Review, 11(1), 37-64. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200434 en_US
