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題名 以多重資產投資組合探討通貨膨脹風險溢酬之實證研究
An empirical study on inflation risk premium: Evidence from multi-asset class portfolios作者 謝渼筠
Hsieh, Mei-Yun貢獻者 羅秉政<br>林修葳
Vincent, Kendro<br>Lin, Hsiou-Wei
謝渼筠
Hsieh, Mei-Yun關鍵詞 通膨風險溢酬
因子投資
移動窗格法
Inflation risk premium
Factor investing
Moving window method日期 2023 上傳時間 1-Dec-2023 10:45:42 (UTC+8) 摘要 本文以機構投資人的立場出發，以全球主要各類型資產為樣本範圍，篩選最具影響力的通膨指標，並建立簡易依循的投資操作模式，以期在通膨環境下獲取風險溢酬。研究方法是按資產對各項通膨相關指標的曝險大小，作為投資組合排序因子，逐項檢視各通膨指標哪一項的變動最適合建構通膨模擬投資組合，從而獲得通膨風險溢酬。 本研究發現以未來5年之5年期預期通膨率為排序因子所建立的通膨模擬投資組合於2019/9~2022/2的報酬率顯著高於所有樣本資產的平均，且以加入通膨指標後的CAPM模型研究結果顯示，通膨指標係數顯著大於0，不排除通膨風險溢酬的存在。惟投資組合的平均曝險係數大小與平均報酬率之間沒有一致的對應關係，故本文未能推定通膨因子策略能獲取顯著的風險溢酬。
This article attempts to establish a quantitative investment model to capture inflation risk premium for institutional investors by screening the most influential inflation indicators and taking the main types of global assets as the sample range. The research method is to use the beta size of asset returns to each inflation-related indicators as the portfolio sorting variable, and examine the explanation ability of the changes of each inflation indicator to the risk premium of the investment portfolio. This study finds that the return of the inflation mimicking portfolio constructed based on the5-year, 5-year forward inflation expectation rate is significantly higher than the average of all sample assets from 2019/9 to 2022/2, and by introducing the inflation indicator into the CAPM model the result shows that the coefficient of the inflation indicator is significantly greater than 0, which does not rule out the existence of inflation risk premium. However, there is no consistent correspondence between the average beta of the portfolio and the average rate of return, so this study doesn’t find an evidence supporting that the inflation factor strategy can obtain significant risk premiums.參考文獻 Bender, J., Sun, J. L., & Thomas, R. (2019). Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? The Journal of Portfolio Management, 45(2), 9–22. https://doi.org/10.3905/jpm.2018.45.2.009 Campbell, J. Y., & Shiller, R. J. (1988). The Dividend/Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies 1: 195–228. Chen, N., Roll, R. & Ross, S. (1986). Economic Forces and the Stock Market. Journal of Business 59, 383-403. Esakia, M., & Goltz, F. (2023) Targeting Macroeconomic Exposures in Equity Portfolios: A Firm-Level Measurement Approach for Out-of-Sample Robustness. Financial Analysts Journal, 79:1, 37-57. https://doi.org/10.1080/0015198X.2022.2150500 Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 71(4), 545–565. http://www.jstor.org/stable/1806180 Fama, E. F. & French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427–465. https://doi.org/10.2307/2329112 Fama, E. & MacBeth, J. (1973). Risk, Return, and Equilibrium: Empirical Test. Journal of Political Economy 81, 607-636. Fisher, Irving (1931). The Theory of Interest. The Economic Journal, 41(161), 84-87. https://doi.org/10.2307/2224140 Friedman, M. (1963). Inflation: Causes and Consequences. Asia Publishing House, 24. Ivanov, S. I. (2017). A Study of Perfect Hedges. International Journal of Financial Studies, 5(4), 28. https://doi.org/10.3390/ijfs5040028 Jensen, M. C. (1968). The Performance of Mutual Funds in the Period 1945-1964. Jurczenko, E., and Teiletche, J. (2020). Macro Factor-Mimicking Portfolios (Working paper). https://doi.org/10.2139/ssrn.3363598 Levi, Y., and I. Welch. 2017. “Best Practice for Cost-of-Capital Estimates.” Journal of Financial and Quantitative Analysis 52 (2): 427–463. https:// doi.org/10.1017/S0022109017000114. 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. McMillan, D. G. (2022). The Time-Varying Relation between Stock Returns and Monetary Variables. Journal of Risk and Financial Management, 15(1), 9. https://doi.org/10.3390/jrfm15010009 Mehra, Y.P. (2006). Inflation Uncertainty and the Recent Low Level of the Long Bond Rate. FRB Richmond Economic Quarterly, 92(3), 225-253. https://ssrn.com/abstract=2186141 Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x Tobin, J. (1958) Liquidity Preference as Behavior toward Risk. Review of Economic Studies, 25, 65-86. https://doi.org/10.2307/2296205 中央銀行（2021）。近期美國通膨預期上揚現象之分析。110年3月18日央行理監事會後記者會參考資料。https://www.cbc.gov.tw/tw/cp-432-132478-df984-1.html 連欣儀(2020)。Fed 對貨幣政策架構檢視情形之分析—從2%通膨目標論起。國際金融參考資料第71輯。 描述 碩士
國立政治大學
國際金融碩士學位學程
111zb1022資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111ZB1022 資料類型 thesis dc.contributor.advisor 羅秉政<br>林修葳 zh_TW dc.contributor.advisor Vincent, Kendro<br>Lin, Hsiou-Wei en_US dc.contributor.author (Authors) 謝渼筠 zh_TW dc.contributor.author (Authors) Hsieh, Mei-Yun en_US dc.creator (作者) 謝渼筠 zh_TW dc.creator (作者) Hsieh, Mei-Yun en_US dc.date (日期) 2023 en_US dc.date.accessioned 1-Dec-2023 10:45:42 (UTC+8) - dc.date.available 1-Dec-2023 10:45:42 (UTC+8) - dc.date.issued (上傳時間) 1-Dec-2023 10:45:42 (UTC+8) - dc.identifier (Other Identifiers) G0111ZB1022 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/148498 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際金融碩士學位學程 zh_TW dc.description (描述) 111zb1022 zh_TW dc.description.abstract (摘要) 本文以機構投資人的立場出發，以全球主要各類型資產為樣本範圍，篩選最具影響力的通膨指標，並建立簡易依循的投資操作模式，以期在通膨環境下獲取風險溢酬。研究方法是按資產對各項通膨相關指標的曝險大小，作為投資組合排序因子，逐項檢視各通膨指標哪一項的變動最適合建構通膨模擬投資組合，從而獲得通膨風險溢酬。 本研究發現以未來5年之5年期預期通膨率為排序因子所建立的通膨模擬投資組合於2019/9~2022/2的報酬率顯著高於所有樣本資產的平均，且以加入通膨指標後的CAPM模型研究結果顯示，通膨指標係數顯著大於0，不排除通膨風險溢酬的存在。惟投資組合的平均曝險係數大小與平均報酬率之間沒有一致的對應關係，故本文未能推定通膨因子策略能獲取顯著的風險溢酬。 zh_TW dc.description.abstract (摘要) This article attempts to establish a quantitative investment model to capture inflation risk premium for institutional investors by screening the most influential inflation indicators and taking the main types of global assets as the sample range. The research method is to use the beta size of asset returns to each inflation-related indicators as the portfolio sorting variable, and examine the explanation ability of the changes of each inflation indicator to the risk premium of the investment portfolio. This study finds that the return of the inflation mimicking portfolio constructed based on the5-year, 5-year forward inflation expectation rate is significantly higher than the average of all sample assets from 2019/9 to 2022/2, and by introducing the inflation indicator into the CAPM model the result shows that the coefficient of the inflation indicator is significantly greater than 0, which does not rule out the existence of inflation risk premium. However, there is no consistent correspondence between the average beta of the portfolio and the average rate of return, so this study doesn’t find an evidence supporting that the inflation factor strategy can obtain significant risk premiums. 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 第二章 文獻回顧 4 第一節 資產定價與因子投資相關文獻 4 第二節 通貨膨脹的成因與貨幣政策之相關文獻 6 第三節 通貨膨脹與股市、債市及原物料價格之相關文獻 7 第三章 研究資料與方法 9 第一節 研究範圍 9 第二節 資料分析方法 15 第四章 實證結果分析 19 第一節 敘述性統計 19 第二節 投資組合報酬 23 第五章 研究結論與建議 35 第一節 結論 35 第二節 限制與建議 36 參考文獻 38 zh_TW dc.format.extent 2349800 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111ZB1022 en_US dc.subject (關鍵詞) 通膨風險溢酬 zh_TW dc.subject (關鍵詞) 因子投資 zh_TW dc.subject (關鍵詞) 移動窗格法 zh_TW dc.subject (關鍵詞) Inflation risk premium en_US dc.subject (關鍵詞) Factor investing en_US dc.subject (關鍵詞) Moving window method en_US dc.title (題名) 以多重資產投資組合探討通貨膨脹風險溢酬之實證研究 zh_TW dc.title (題名) An empirical study on inflation risk premium: Evidence from multi-asset class portfolios en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Bender, J., Sun, J. L., & Thomas, R. (2019). Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? The Journal of Portfolio Management, 45(2), 9–22. https://doi.org/10.3905/jpm.2018.45.2.009 Campbell, J. Y., & Shiller, R. J. (1988). The Dividend/Price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies 1: 195–228. Chen, N., Roll, R. & Ross, S. (1986). Economic Forces and the Stock Market. Journal of Business 59, 383-403. Esakia, M., & Goltz, F. (2023) Targeting Macroeconomic Exposures in Equity Portfolios: A Firm-Level Measurement Approach for Out-of-Sample Robustness. Financial Analysts Journal, 79:1, 37-57. https://doi.org/10.1080/0015198X.2022.2150500 Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 71(4), 545–565. http://www.jstor.org/stable/1806180 Fama, E. F. & French, K. R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, 47(2), 427–465. https://doi.org/10.2307/2329112 Fama, E. & MacBeth, J. (1973). Risk, Return, and Equilibrium: Empirical Test. Journal of Political Economy 81, 607-636. Fisher, Irving (1931). The Theory of Interest. The Economic Journal, 41(161), 84-87. https://doi.org/10.2307/2224140 Friedman, M. (1963). Inflation: Causes and Consequences. Asia Publishing House, 24. Ivanov, S. I. (2017). A Study of Perfect Hedges. International Journal of Financial Studies, 5(4), 28. https://doi.org/10.3390/ijfs5040028 Jensen, M. C. (1968). The Performance of Mutual Funds in the Period 1945-1964. Jurczenko, E., and Teiletche, J. (2020). Macro Factor-Mimicking Portfolios (Working paper). https://doi.org/10.2139/ssrn.3363598 Levi, Y., and I. Welch. 2017. “Best Practice for Cost-of-Capital Estimates.” Journal of Financial and Quantitative Analysis 52 (2): 427–463. https:// doi.org/10.1017/S0022109017000114. 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. McMillan, D. G. (2022). The Time-Varying Relation between Stock Returns and Monetary Variables. Journal of Risk and Financial Management, 15(1), 9. https://doi.org/10.3390/jrfm15010009 Mehra, Y.P. (2006). Inflation Uncertainty and the Recent Low Level of the Long Bond Rate. FRB Richmond Economic Quarterly, 92(3), 225-253. https://ssrn.com/abstract=2186141 Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x Tobin, J. (1958) Liquidity Preference as Behavior toward Risk. Review of Economic Studies, 25, 65-86. https://doi.org/10.2307/2296205 中央銀行（2021）。近期美國通膨預期上揚現象之分析。110年3月18日央行理監事會後記者會參考資料。https://www.cbc.gov.tw/tw/cp-432-132478-df984-1.html 連欣儀(2020)。Fed 對貨幣政策架構檢視情形之分析—從2%通膨目標論起。國際金融參考資料第71輯。 zh_TW
