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題名 極端報酬與BETA因子之研究－以法國市場為例
Extreme positive return and BETA anomaly in French stock market作者 盛寶陞
Sheng, Bao-Sheng貢獻者 林靖庭
Lin, Ching-Ting
盛寶陞
Sheng, Bao-Sheng關鍵詞 樂透性質
極端正報酬
極端報酬
MAX效應
市場風險
異質波動度
MAX
MAX effect
Lottery feature
BETA anomaly
Idiosyncratic volatility
Extreme positive return日期 2022 上傳時間 1-Jul-2022 16:10:26 (UTC+8) 摘要 本篇研究探討法國股票市場中，具有樂透性質的股票與其未來預期報酬的關聯，是否存在所謂的「MAX 效應」，並探討法國股票市場中「Beta Anomaly」現象存在與否以及其與「MAX 效應」之關聯及交互作用。結果顯示，法國市場於1990年至2019年間的確存在「MAX 效應」，且在經過控制公司規模大小、股票淨值市價比及流動性的影響後「MAX 效應」依舊存在。不僅如此，本研究亦證明法國市場中異質波動度與預期報酬之間的反向關係導因於「MAX 效應」，而「MAX 效應」則在控制異質波動度後依然顯著。除此之外，本研究發現在法國市場中「MAX 效應」並非如美國市場般為導致「Beta Anomaly」現象的成因，相反的，在控制股票貝它係數後，「MAX 效應」便不復存在。
This paper will investigate the relationship between lottery-like feature of stocks and its’ expected return in the French stock market. In other words , we will examine whether the MAX effect exists in French market. Moreover, this paper will explore the existence of the Beta Anomaly phenomenon in the French stock market and its relationship and interaction with MAX effect .The result shows that MAX effect does exist between 1990 and 2019 , and the phenomenon still significant after controlling variables such as size , book-to-market ratio and liquidity. Moreover, this study also proves that the inverse relationship between idiosyncratic volatility and expected returns in the French market is due to the MAX effect, which remains significant after controlling for idiosyncratic volatility. In addition, this study found that the MAX effect in the French market is not cause by the Beta Anomaly phenomenon as in the US market. On the contrary, after controlling for the stock beta , the MAX effect no longer exists.參考文獻 Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets,Volume 5, Issue 1, pp. 31-56.Ang,A., Hodrick,RJ., Xing,Y., Zhang,X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, pp. 259-299.Ang,A., Hodrick,RJ., Xing,Y., Zhang,X. (2009). High idiosyncratic volatility and low returns: International and further US evidence. Journal of Financial Economic, pp. 1-23.Bali,TG.,Brown,SJ.,Murray,S.,Tang,Y. (2017). A lottery-demand-based explanation of the beta anomaly. Journal of Financial and Quantitative Analysis, Volume 52 , Issue 6, pp. 2369-2397.Bali,TG.,Cakici,N.,Whitelaw,RF. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, pp. 427-446.Banz, R. (1981). The relationship between return and market value of common stocks. Journal of financial economics 9, pp. 3-18.Chan,KC., Chen,NF. (1991). Structural and return characteristics of small and large firms. The Journal of Finance,Volume46, Issue4, pp. 1467-1484.Cheon, Y., Lee, K. (2014). Maxing out globally: MAX-premium, uncertainty avoidance,and the cross-section of expected stock returns. Seoul National University Business School.Fama,EF., French,KR. (1998). Value versus growth: The international evidence. The Journal of Finance,Volume53, Issue6, pp. 1975-1999.Fama,EF., French,KR. (1992). The cross‐section of expected stock returns. the Journal of Finance,Volume47, Issue2, pp. 427-465.Frazzini,A.,Pedersen,LH. (2014). Betting against beta. Journal of Financial Economics 111, pp. 1-25.Jensen,MC., Black,F., Scholes,MS. (1972). The capital asset pricing model: Some empirical tests. Praeger Publishers Inc.Walkshäusl, C. (2014). The MAX effect: European evidence. Journal of Banking & Finance 42, pp. 1-10.Zhong,A., Gray,P. (2016). The MAX effect: An exploration of risk and mispricing explanations. Journal of Banking & Finance, pp. 76-90. 描述 碩士
國立政治大學
金融學系
109352018資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109352018 資料類型 thesis dc.contributor.advisor 林靖庭 zh_TW dc.contributor.advisor Lin, Ching-Ting en_US dc.contributor.author (Authors) 盛寶陞 zh_TW dc.contributor.author (Authors) Sheng, Bao-Sheng en_US dc.creator (作者) 盛寶陞 zh_TW dc.creator (作者) Sheng, Bao-Sheng en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jul-2022 16:10:26 (UTC+8) - dc.date.available 1-Jul-2022 16:10:26 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2022 16:10:26 (UTC+8) - dc.identifier (Other Identifiers) G0109352018 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140603 - 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) 109352018 zh_TW dc.description.abstract (摘要) 本篇研究探討法國股票市場中，具有樂透性質的股票與其未來預期報酬的關聯，是否存在所謂的「MAX 效應」，並探討法國股票市場中「Beta Anomaly」現象存在與否以及其與「MAX 效應」之關聯及交互作用。結果顯示，法國市場於1990年至2019年間的確存在「MAX 效應」，且在經過控制公司規模大小、股票淨值市價比及流動性的影響後「MAX 效應」依舊存在。不僅如此，本研究亦證明法國市場中異質波動度與預期報酬之間的反向關係導因於「MAX 效應」，而「MAX 效應」則在控制異質波動度後依然顯著。除此之外，本研究發現在法國市場中「MAX 效應」並非如美國市場般為導致「Beta Anomaly」現象的成因，相反的，在控制股票貝它係數後，「MAX 效應」便不復存在。 zh_TW dc.description.abstract (摘要) This paper will investigate the relationship between lottery-like feature of stocks and its’ expected return in the French stock market. In other words , we will examine whether the MAX effect exists in French market. Moreover, this paper will explore the existence of the Beta Anomaly phenomenon in the French stock market and its relationship and interaction with MAX effect .The result shows that MAX effect does exist between 1990 and 2019 , and the phenomenon still significant after controlling variables such as size , book-to-market ratio and liquidity. Moreover, this study also proves that the inverse relationship between idiosyncratic volatility and expected returns in the French market is due to the MAX effect, which remains significant after controlling for idiosyncratic volatility. In addition, this study found that the MAX effect in the French market is not cause by the Beta Anomaly phenomenon as in the US market. On the contrary, after controlling for the stock beta , the MAX effect no longer exists. en_US dc.description.tableofcontents 目錄第 1 章 介紹與文獻探討 1第 2 章 資料與樣本 3第 3 章 實證研究 64.1 法國股票市場的「MAX 效應」 64.2 極端正報酬與公司規模對股價的交互作用 84.3 極端正報酬與淨值市價比對股價的交互作用 104.4 極端正報酬與流動性對股價的交互作用 114.5 極端正報酬與異質波動度對股價的交互作用 124.6 「MAX 效應」與「Beta Anomaly」 14第 4 章 穩定性測試 17第 5 章 結論 20第 6 章 附表 22表 一 22表 二 22表 三 23表 四 23表 五 24表 六 24表 七 25表 八 25表 九 26表 十 26表 十一 27表 十二 27表 十三 28表 十四 29表 十五 30表 十六 30表 十七 31表 十八 31第 7 章 參考資料 32 zh_TW dc.format.extent 1212075 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109352018 en_US dc.subject (關鍵詞) 樂透性質 zh_TW dc.subject (關鍵詞) 極端正報酬 zh_TW dc.subject (關鍵詞) 極端報酬 zh_TW dc.subject (關鍵詞) MAX效應 zh_TW dc.subject (關鍵詞) 市場風險 zh_TW dc.subject (關鍵詞) 異質波動度 zh_TW dc.subject (關鍵詞) MAX en_US dc.subject (關鍵詞) MAX effect en_US dc.subject (關鍵詞) Lottery feature en_US dc.subject (關鍵詞) BETA anomaly en_US dc.subject (關鍵詞) Idiosyncratic volatility en_US dc.subject (關鍵詞) Extreme positive return en_US dc.title (題名) 極端報酬與BETA因子之研究－以法國市場為例 zh_TW dc.title (題名) Extreme positive return and BETA anomaly in French stock market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets,Volume 5, Issue 1, pp. 31-56.Ang,A., Hodrick,RJ., Xing,Y., Zhang,X. (2006). The cross‐section of volatility and expected returns. The Journal of Finance, pp. 259-299.Ang,A., Hodrick,RJ., Xing,Y., Zhang,X. (2009). High idiosyncratic volatility and low returns: International and further US evidence. Journal of Financial Economic, pp. 1-23.Bali,TG.,Brown,SJ.,Murray,S.,Tang,Y. (2017). A lottery-demand-based explanation of the beta anomaly. Journal of Financial and Quantitative Analysis, Volume 52 , Issue 6, pp. 2369-2397.Bali,TG.,Cakici,N.,Whitelaw,RF. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, pp. 427-446.Banz, R. (1981). The relationship between return and market value of common stocks. Journal of financial economics 9, pp. 3-18.Chan,KC., Chen,NF. (1991). Structural and return characteristics of small and large firms. The Journal of Finance,Volume46, Issue4, pp. 1467-1484.Cheon, Y., Lee, K. (2014). Maxing out globally: MAX-premium, uncertainty avoidance,and the cross-section of expected stock returns. Seoul National University Business School.Fama,EF., French,KR. (1998). Value versus growth: The international evidence. The Journal of Finance,Volume53, Issue6, pp. 1975-1999.Fama,EF., French,KR. (1992). The cross‐section of expected stock returns. the Journal of Finance,Volume47, Issue2, pp. 427-465.Frazzini,A.,Pedersen,LH. (2014). Betting against beta. Journal of Financial Economics 111, pp. 1-25.Jensen,MC., Black,F., Scholes,MS. (1972). The capital asset pricing model: Some empirical tests. Praeger Publishers Inc.Walkshäusl, C. (2014). The MAX effect: European evidence. Journal of Banking & Finance 42, pp. 1-10.Zhong,A., Gray,P. (2016). The MAX effect: An exploration of risk and mispricing explanations. Journal of Banking & Finance, pp. 76-90. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200569 en_US
