學術產出-學位論文
| 題名 | 總體經濟因子模擬投資組合是否存在超額報酬 ? 以美國市場為例 Do Macro Factor-Mimicking Portfolios Generate Risk Premia?Evidence from the U.S. Market |
| 作者 | 陳雯芯 Chen, Wen-Hsin |
| 貢獻者 | 羅秉政 Vincent, Kendro 陳雯芯 Chen, Wen-Hsin |
| 關鍵詞 | 因子模型 模擬投資組合 總體經濟風險 Factor Model Mimicking Portfolio Macroeconomic Risks |
| 日期 | 2024 |
| 上傳時間 | 1-七月-2024 12:33:56 (UTC+8) |
| 摘要 | 由於2020年新冠疫情爆發及地緣政治議題的惡化可能使得總體經濟相較以往的環境有顯著的改變，因此，投資人在進行資產配置時可能將總體經濟作為一個重要的風險考量因素。儘管投資人意識到其重要性，但這些總體經濟變數在目前市場仍是不可交易，因此本文透過總體經濟因子模擬投資組合建構出可經市場交易之股票型及多元資產型投資組合，其7大總體經濟因子指標主要由2個預期通膨、長短天期利差、信用利差、美國工業生產年增率、實質利率、全球盈利修正指數所構成。
我們發現前瞻性的總體變數在樣本外穩健性具有不錯的表現，除此之外，本文深入探討投資組合的報酬歸因，可以發現當某個總體經濟變數實現時，可能受到特定的基礎資產驅動報酬，並同時對總體經濟有特定信念的投資人，提供避險及獲取超額報酬的機會。 The outbreak of COVID-19 in 2020 and the escalation of geopolitical issues have led to a macroeconomic environment that significantly differs from previous condition. Consequently, investors may consider macroeconomic exposure as a crucial risk factor in asset allocation. Despite investors' awareness of its importance, these macroeconomic variables remain non-tradable in the current market. Therefore, our paper employs the factor mimicking portfolios approach for macroeconomic variables to create equity and multi-asset portfolios that can be traded on the market. The seven key macroeconomic variables utilized include two measures of expected inflation, the term spread, the credit spread, the annual growth rate of U.S. industrial production, the real interest rate, and the global earnings revision index. Our findings indicate that forward-looking macroeconomic variables exhibit robust out-of-sample performance. Furthermore, this paper delves into the return attribution of portfolios, revealing that the realization of specific macroeconomic variables may be driven by certain basis assets. And it also provides investors with specific macroeconomic beliefs opportunities for hedging and obtaining excess returns. |
| 參考文獻 | Adrian, T., Etula, E., & Muir, T. (2014). Financial intermediaries and the cross‐section of asset returns. The Journal of Finance, 69(6), 2557-2596. Amenc, N., Esakia, M., Goltz, F., & Luyten, B. (2019). Macroeconomic risks in equity factor investing. The Journal of Portfolio Management. Balduzzi, P., & Robotti, C. (2008). Mimicking portfolios, economic risk premia, and tests of multi-beta models. Journal of Business & Economic Statistics, 26(3), 354-368. Barillas, F., Kan, R., Robotti, C., & Shanken, J. (2020). Model comparison with Sharpe ratios. Journal of Financial and Quantitative Analysis, 55(6), 1840-1874 Bekaert, G., & Engstrom, E. (2010). Inflation and the stock market: Understanding the “Fed Model”. Journal of Monetary Economics, 57(3), 278-294. Boons, M. (2016). State variables, macroeconomic activity, and the cross section of individual stocks. Journal of Financial Economics, 119(3), 489-511. Breeden, D. T., Gibbons, M. R., & Litzenberger, R. H. (1989). Empirical tests of the consumption‐oriented CAPM. The Journal of Finance, 44(2), 231-262. Campbell, J. Y. (1996). Understanding risk and return. Journal of Political economy, 104(2), 298-345. Cederburg, S., & O'DOHERTY, M. S. (2016). Does it pay to bet against beta? On the conditional performance of the beta anomaly. The Journal of finance, 71(2), 737-774. Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403. Cochrane, J. H. (2005). Financial markets and the real economy. Foundations and Trends® in Finance, 1(1), 1-101. Cooper, I., & Priestley, R. (2011). Real investment and risk dynamics. Journal of Financial Economics, 101(1), 182-205. De Nard, G., Engle, R. F., & Kelly, B. (2024). Factor-Mimicking Portfolios for Climate Risk. Financial Analysts Journal, 1-22. 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. Estrella, A., & Trubin, M. (2006). The yield curve as a leading indicator: Some practical issues. Current issues in Economics and Finance, 12(5). Eugene, F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of Financial Economics, 5, 115-146 Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American economic review, 71(4), 545-565. Fama, E. F., & French, K. R. (1988). Dividend yields and expected stock returns. Journal of financial economics, 22(1), 3-25. Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of financial economics, 25(1), 23-49. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. Fama, E. F., & French, K. R. (1997). Industry costs of equity. Journal of financial economics, 43(2), 153-193. Fama, E. F., & French, K. R. (2016). Dissecting anomalies with a five-factor model. The Review of Financial Studies, 29(1), 69-103. Fama, E. F., & French, K. R. (2018). Choosing factors. Journal of financial economics, 128(2), 234-252. Fama, E. F., & Gibbons, M. R. (1984). A comparison of inflation forecasts. Journal of monetary Economics, 13(3), 327-348. Ferson, W., Siegel, A. F., & Xu, P. T. (2006). Mimicking portfolios with conditioning information. Journal of Financial and Quantitative Analysis, 41(3), 607-635. Franz, R. (2018). Macro-Based Parametric Asset Allocation. Journal of Investment Management, 16(3). Greenberg, D., Babu, A., & Ang, A. (2016). Factors to assets: mapping factor exposures to asset allocations. The Journal of Portfolio Management, 42(5), 18-27. Harvey, C. R., Liu, Y., & Zhu, H. (2016). … and the cross-section of expected returns. The Review of Financial Studies, 29(1), 5-68. Herskovic, B., Moreira, A., & Muir, T. (2019). Hedging risk factors. Available at SSRN 3148693. Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. The Review of Financial Studies, 28(3), 650-705. Huberman, G., Kandel, S., & Stambaugh, R. F. (1987). Mimicking portfolios and exact arbitrage pricing. The Journal of Finance, 42(1), 1-9. Jurczenko, E., & Teiletche, J. (2023). Macro Factor-Mimicking Portfolios 1. Bankers, Markets & Investors, (3), 44-53. Kang, J., Kim, T. S., Lee, C., & Min, B. K. (2011). Macroeconomic risk and the cross-section of stock returns. Journal of Banking & Finance, 35(12), 3158-3173. Keim, D. B., & Stambaugh, R. F. (1986). Predicting returns in the stock and bond markets. Journal of financial Economics, 17(2), 357-390. Lehmann, B. N., & Modest, D. M. (1988). The empirical foundations of the arbitrage pricing theory. Journal of financial economics, 21(2), 213-254. Lo, A. (1994). Data-snooping biases in financial analysis. Blending Quantitative and Traditional Equity Analysis. Charlottesville, VA: Association for Investment Management and Research, 59-66. Longstaff, F. A. (2002). The flight-to-liquidity premium in US Treasury bond prices. Naik, V., Devarajan, M., Nowobilski, A., Sébastien Page, C. F. A., & Pedersen, N. (2016). Factor investing and asset allocation: A business cycle perspective. CFA Institute Research Foundation. Parker, J. A., & Julliard, C. (2005). Consumption risk and the cross section of expected returns. Journal of Political Economy, 113(1), 185-222. Petkova, R. (2006). Do the Fama–French factors proxy for innovations in predictive variables?. The Journal of Finance, 61(2), 581-612. Petkova, R., & Zhang, L. (2005). Is value riskier than growth?. Journal of Financial Economics, 78(1), 187-202. Pukthuanthong, K., Roll, R., & Subrahmanyam, A. (2019). A protocol for factor identification. The Review of Financial Studies, 32(4), 1573-1607 Pukthuanthong, K., Roll, R., Wang, J. L., & Zhang, T. (2019). A New Method for Factor-Mimicking Portfolio Construction. Available at SSRN 3341604. Roll, R., & Srivastava, A. (2018). Mimicking portfolios. The Journal of Portfolio Management, 44(5), 21-35. Smith, S. C., & Timmermann, A. (2022). Have risk premia vanished?. Journal of Financial Economics, 145(2), 553-576. Swade, A., Lohre, H., Shackleton, M., Nolte, S., Hixon, S., & Raol, J. (2021). Macro Factor Investing with Style. The Journal of Portfolio Management. |
| 描述 | 碩士 國立政治大學 金融學系 111352024 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0111352024 |
| 資料類型 | thesis |
| dc.contributor.advisor | 羅秉政 | zh_TW |
| dc.contributor.advisor | Vincent, Kendro | en_US |
| dc.contributor.author (作者) | 陳雯芯 | zh_TW |
| dc.contributor.author (作者) | Chen, Wen-Hsin | en_US |
| dc.creator (作者) | 陳雯芯 | zh_TW |
| dc.creator (作者) | Chen, Wen-Hsin | en_US |
| dc.date (日期) | 2024 | en_US |
| dc.date.accessioned | 1-七月-2024 12:33:56 (UTC+8) | - |
| dc.date.available | 1-七月-2024 12:33:56 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-七月-2024 12:33:56 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0111352024 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/152049 | - |
| 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) | 111352024 | zh_TW |
| dc.description.abstract (摘要) | 由於2020年新冠疫情爆發及地緣政治議題的惡化可能使得總體經濟相較以往的環境有顯著的改變，因此，投資人在進行資產配置時可能將總體經濟作為一個重要的風險考量因素。儘管投資人意識到其重要性，但這些總體經濟變數在目前市場仍是不可交易，因此本文透過總體經濟因子模擬投資組合建構出可經市場交易之股票型及多元資產型投資組合，其7大總體經濟因子指標主要由2個預期通膨、長短天期利差、信用利差、美國工業生產年增率、實質利率、全球盈利修正指數所構成。 我們發現前瞻性的總體變數在樣本外穩健性具有不錯的表現，除此之外，本文深入探討投資組合的報酬歸因，可以發現當某個總體經濟變數實現時，可能受到特定的基礎資產驅動報酬，並同時對總體經濟有特定信念的投資人，提供避險及獲取超額報酬的機會。 | zh_TW |
| dc.description.abstract (摘要) | The outbreak of COVID-19 in 2020 and the escalation of geopolitical issues have led to a macroeconomic environment that significantly differs from previous condition. Consequently, investors may consider macroeconomic exposure as a crucial risk factor in asset allocation. Despite investors' awareness of its importance, these macroeconomic variables remain non-tradable in the current market. Therefore, our paper employs the factor mimicking portfolios approach for macroeconomic variables to create equity and multi-asset portfolios that can be traded on the market. The seven key macroeconomic variables utilized include two measures of expected inflation, the term spread, the credit spread, the annual growth rate of U.S. industrial production, the real interest rate, and the global earnings revision index. Our findings indicate that forward-looking macroeconomic variables exhibit robust out-of-sample performance. Furthermore, this paper delves into the return attribution of portfolios, revealing that the realization of specific macroeconomic variables may be driven by certain basis assets. And it also provides investors with specific macroeconomic beliefs opportunities for hedging and obtaining excess returns. | en_US |
| dc.description.tableofcontents | 摘要 I ABSTRACT II 目次 III 表次 IV 圖次 V 第一章 緒論 1 第一節、研究背景 1 第二節、研究動機與目的 1 第二章 文獻回顧 3 第一節、FMP方法之文獻回顧 4 第二節、總體經濟變數之文獻回顧 4 第三節、FMP應用之文獻回顧 6 第三章 研究方法與樣本 7 第一節、研究方法 7 第二節、研究樣本 12 第四章 實證結果分析 15 第一節、敘述統計量 15 第二節、實證結果分析 19 第五章 結論及限制與建議 40 第一節、結論 40 第二節、限制與建議 41 參考文獻 42 附錄 46 | zh_TW |
| dc.format.extent | 3466271 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0111352024 | en_US |
| dc.subject (關鍵詞) | 因子模型 | zh_TW |
| dc.subject (關鍵詞) | 模擬投資組合 | zh_TW |
| dc.subject (關鍵詞) | 總體經濟風險 | zh_TW |
| dc.subject (關鍵詞) | Factor Model | en_US |
| dc.subject (關鍵詞) | Mimicking Portfolio | en_US |
| dc.subject (關鍵詞) | Macroeconomic Risks | en_US |
| dc.title (題名) | 總體經濟因子模擬投資組合是否存在超額報酬 ? 以美國市場為例 | zh_TW |
| dc.title (題名) | Do Macro Factor-Mimicking Portfolios Generate Risk Premia?Evidence from the U.S. Market | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | Adrian, T., Etula, E., & Muir, T. (2014). Financial intermediaries and the cross‐section of asset returns. The Journal of Finance, 69(6), 2557-2596. Amenc, N., Esakia, M., Goltz, F., & Luyten, B. (2019). Macroeconomic risks in equity factor investing. The Journal of Portfolio Management. Balduzzi, P., & Robotti, C. (2008). Mimicking portfolios, economic risk premia, and tests of multi-beta models. Journal of Business & Economic Statistics, 26(3), 354-368. Barillas, F., Kan, R., Robotti, C., & Shanken, J. (2020). Model comparison with Sharpe ratios. Journal of Financial and Quantitative Analysis, 55(6), 1840-1874 Bekaert, G., & Engstrom, E. (2010). Inflation and the stock market: Understanding the “Fed Model”. Journal of Monetary Economics, 57(3), 278-294. Boons, M. (2016). State variables, macroeconomic activity, and the cross section of individual stocks. Journal of Financial Economics, 119(3), 489-511. Breeden, D. T., Gibbons, M. R., & Litzenberger, R. H. (1989). Empirical tests of the consumption‐oriented CAPM. The Journal of Finance, 44(2), 231-262. Campbell, J. Y. (1996). Understanding risk and return. Journal of Political economy, 104(2), 298-345. Cederburg, S., & O'DOHERTY, M. S. (2016). Does it pay to bet against beta? On the conditional performance of the beta anomaly. The Journal of finance, 71(2), 737-774. Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403. Cochrane, J. H. (2005). Financial markets and the real economy. Foundations and Trends® in Finance, 1(1), 1-101. Cooper, I., & Priestley, R. (2011). Real investment and risk dynamics. Journal of Financial Economics, 101(1), 182-205. De Nard, G., Engle, R. F., & Kelly, B. (2024). Factor-Mimicking Portfolios for Climate Risk. Financial Analysts Journal, 1-22. 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. Estrella, A., & Trubin, M. (2006). The yield curve as a leading indicator: Some practical issues. Current issues in Economics and Finance, 12(5). Eugene, F., & Schwert, G. W. (1977). Asset returns and inflation. Journal of Financial Economics, 5, 115-146 Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American economic review, 71(4), 545-565. Fama, E. F., & French, K. R. (1988). Dividend yields and expected stock returns. Journal of financial economics, 22(1), 3-25. Fama, E. F., & French, K. R. (1989). Business conditions and expected returns on stocks and bonds. Journal of financial economics, 25(1), 23-49. Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. Fama, E. F., & French, K. R. (1997). Industry costs of equity. Journal of financial economics, 43(2), 153-193. Fama, E. F., & French, K. R. (2016). Dissecting anomalies with a five-factor model. The Review of Financial Studies, 29(1), 69-103. Fama, E. F., & French, K. R. (2018). Choosing factors. Journal of financial economics, 128(2), 234-252. Fama, E. F., & Gibbons, M. R. (1984). A comparison of inflation forecasts. Journal of monetary Economics, 13(3), 327-348. Ferson, W., Siegel, A. F., & Xu, P. T. (2006). Mimicking portfolios with conditioning information. Journal of Financial and Quantitative Analysis, 41(3), 607-635. Franz, R. (2018). Macro-Based Parametric Asset Allocation. Journal of Investment Management, 16(3). Greenberg, D., Babu, A., & Ang, A. (2016). Factors to assets: mapping factor exposures to asset allocations. The Journal of Portfolio Management, 42(5), 18-27. Harvey, C. R., Liu, Y., & Zhu, H. (2016). … and the cross-section of expected returns. The Review of Financial Studies, 29(1), 5-68. Herskovic, B., Moreira, A., & Muir, T. (2019). Hedging risk factors. Available at SSRN 3148693. Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. The Review of Financial Studies, 28(3), 650-705. Huberman, G., Kandel, S., & Stambaugh, R. F. (1987). Mimicking portfolios and exact arbitrage pricing. The Journal of Finance, 42(1), 1-9. Jurczenko, E., & Teiletche, J. (2023). Macro Factor-Mimicking Portfolios 1. Bankers, Markets & Investors, (3), 44-53. Kang, J., Kim, T. S., Lee, C., & Min, B. K. (2011). Macroeconomic risk and the cross-section of stock returns. Journal of Banking & Finance, 35(12), 3158-3173. Keim, D. B., & Stambaugh, R. F. (1986). Predicting returns in the stock and bond markets. Journal of financial Economics, 17(2), 357-390. Lehmann, B. N., & Modest, D. M. (1988). The empirical foundations of the arbitrage pricing theory. Journal of financial economics, 21(2), 213-254. Lo, A. (1994). Data-snooping biases in financial analysis. Blending Quantitative and Traditional Equity Analysis. Charlottesville, VA: Association for Investment Management and Research, 59-66. Longstaff, F. A. (2002). The flight-to-liquidity premium in US Treasury bond prices. Naik, V., Devarajan, M., Nowobilski, A., Sébastien Page, C. F. A., & Pedersen, N. (2016). Factor investing and asset allocation: A business cycle perspective. CFA Institute Research Foundation. Parker, J. A., & Julliard, C. (2005). Consumption risk and the cross section of expected returns. Journal of Political Economy, 113(1), 185-222. Petkova, R. (2006). Do the Fama–French factors proxy for innovations in predictive variables?. The Journal of Finance, 61(2), 581-612. Petkova, R., & Zhang, L. (2005). Is value riskier than growth?. Journal of Financial Economics, 78(1), 187-202. Pukthuanthong, K., Roll, R., & Subrahmanyam, A. (2019). A protocol for factor identification. The Review of Financial Studies, 32(4), 1573-1607 Pukthuanthong, K., Roll, R., Wang, J. L., & Zhang, T. (2019). A New Method for Factor-Mimicking Portfolio Construction. Available at SSRN 3341604. Roll, R., & Srivastava, A. (2018). Mimicking portfolios. The Journal of Portfolio Management, 44(5), 21-35. Smith, S. C., & Timmermann, A. (2022). Have risk premia vanished?. Journal of Financial Economics, 145(2), 553-576. Swade, A., Lohre, H., Shackleton, M., Nolte, S., Hixon, S., & Raol, J. (2021). Macro Factor Investing with Style. The Journal of Portfolio Management. | zh_TW |