1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 外匯超額報酬之六因子與高階動差定價研究
Six-Factor and Higher-Order Moment Models for Pricing Currency Excess Returns
作者 郭佳恩
Kuo, Chia-En
貢獻者 林建秀
Lin, Chien-Hsiu
郭佳恩
Kuo, Chia-En
關鍵詞 外匯交易
資產定價
高階動差因子
Fama–MacBeth回歸
廣義動差估計
波動度因子
偏度因子
FX trading
asset pricing
high-order moment factor
Fama–MacBeth
GMM
realized volatility factor
realized skewness factor
日期 2025
上傳時間 1-Jul-2025 15:16:24 (UTC+8)
摘要 本研究比較多種外匯超額報酬的資產定價模型，採用自1985年1月至2024 年8月37個國家的匯率月資料。我們建構市場、利差、動能、價值之四因子模型，並新增產出缺口和通膨因子，形成五、六因子模型，透過時間序列與橫斷面資產定價分析，檢驗因子模型對外匯超額報酬的影響。實證結果顯示五因子模型能有效捕捉到外匯超額報酬的變化，加入通膨因子能提升模型的解釋能力。基於異質性投資人的假設，我們進一步探討市場、波動度與偏度因子構成之高階動差模型，發現其解釋能力較弱，且存在系統性誤差。然而對極端值進行平滑處理後，調整後之高階動差模型解釋能力提升，顯示極端事件對高階動差因子定價之影響力。
Using monthly exchange‐rate data for 37 countries from January 1985 to August 2024, we compare several asset‐pricing models for currency excess returns. We construct a four‐factor model including market, carry, momentum, and value factors, then extend it to five- and six-factor models by adding the output‐gap and inflation factors. Through time‐series and cross‐sectional asset‐pricing analyses, we assess each model’s ability to explain currency excess returns. Empirical results show that the five‐factor specification effectively captures return variation and that the inclusion of the inflation factor enhances explanatory power. We further explore a higher‐order moment model composed of market, realized volatility, and skewness factors, finding that it initially exhibits relatively low explanatory power and systematic pricing errors. After smoothing extreme observations, both goodness-of-fit and pricing-error measures improve significantly, highlighting extreme events’ impact on higher‐order moment pricing.
參考文獻 郭秀樺(2018)。外匯報酬之利差、動能及價值交易策略成因分析，未出版碩士論文，國立政治大學金融研究所，臺北市。 Ackermann, C., McEnally, R., & Ravenscraft, D. (1999). The performance of hedge funds: Risk, return, and incentives. Journal of Finance, 54, 833–874. Andrews, D. W. K. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, 59, 817–858. Ang, A., Chen, J., & Xing, Y. (2006). Downside risk. Review of Financial Studies, 19, 1191–1239. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. Journal of Finance, 68, 929–985. Bekaert, G., & Hodrick, R. J. (1993). On biases in the measurement of foreign exchange risk premiums. Journal of International Money and Finance, 12(2), 115–138. Brav, A., Constantinides, G. M., & Geczy, C. C. (2002). Asset pricing with heterogeneous consumers and limited participation: Empirical evidence. Journal of Political Economy, 110(4), 793–824. Burnside, C. (2011). Carry trades and risk (NBER Working Paper No. 17278). National Bureau of Economic Research. Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets. Annual Review of Financial Economics, 3, 511–535. Chaboud, A. P., & Wright, J. H. (2005). Uncovered interest parity: It works, but not for long. Journal of International Economics, 66(2), 349–362. Chen, C., & Lin, C. (2020). The sources of pricing factors underlying the cross-section of currency returns. Quarterly Review of Economics and Finance, 77, 250–265. Christie-David, R., & Chaudhary, M. (2001). Co-skewness and co-kurtosis in future markets. Journal of Empirical Finance, 8, 55–81. Cochrane, J. (2005). Asset pricing (2nd ed.). Princeton, NJ:Princeton University Press. Copeland, L., & Lu, W. (2016). Dodging the steamroller: Fundamentals versus the carry trade. Journal of International Financial Markets, Institutions and Money, 42, 115–131. Colacito, R., Riddiough, S. J., & Sarno, L. (2020). Business cycles and currency returns. Journal of Financial Economics, 137(3), 659–678. Cooper, I., Ma, L., & Maio, P. (2021). What does the cross-section tell about itself? Explaining equity risk premia with stock return moments. Journal of Money, Credit and Banking, 54(1), 73–118. Della Corte, P., Riddiough, S. J., & Sarno, L. (2016). Currency premia and global imbalances. Review of Financial Studies, 29, 2161–2193. Dahlquist, M., & Hasseltoft, H. (2020). Economic momentum and currency returns. Journal of Financial Economics, 136(2), 518–541. Dumas, B., & Solnik, B. (1995). The world price of foreign exchange risk. Journal of Finance, 50(2), 445–479. Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14, 319–338. Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427–465. Fama, E. F., & MacBeth, J. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy, 81, 607–636. Filippou, I., & Taylor, M. P. (2023). Forward-looking policy rules and currency premia. Journal of Financial and Quantitative Analysis, 58(1), 449–483. Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50, 1029–1054. Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. Journal of Finance, 55, 1263–1295. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65–91. Kraus, A., & Litzenberger, R. (1976). Skewness preference and the valuation of risky assets. Journal of Finance, 31, 1085–1094. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance, 49(5), 1541–1578. Levy, H. (1969). A utility function depending on the first three moments: Comment. Journal of Finance, 24, 715–721. Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currency markets. Review of Financial Studies, 24, 3731–3777. Lustig, H., & Verdelhan, A. (2007). The cross-section of foreign currency risk premia and US consumption growth risk. American Economic Review, 97(1), 89–117. Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012a). Carry trades and global FX volatility. Journal of Finance, 64, 681–718. Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012b). Currency momentum strategies. Journal of Financial Economics, 106, 660–684. Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2017). Currency value. Review of Financial Studies, 30, 416–441. Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703–708. Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign currency markets? Journal of Financial and Quantitative Analysis, 38, 425–447. Raza, A., Marshall, B. R., & Visaltanachoti, N. (2014). Is there momentum or reversal in weekly currency returns? Journal of International Money and Finance, 45, 38–60. Rubinstein, M. (1973). The fundamental theorem of parameter preference security valuation. Journal of Financial and Quantitative Analysis, 8, 61–69. Rafferty, B. (2012). Currency returns, skewness and crash risk. SSRN Electronic Journal.
描述 碩士
國立政治大學
金融學系
112352007
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112352007
資料類型 thesis
dc.contributor.advisor 林建秀zh_TW
dc.contributor.advisor Lin, Chien-Hsiuen_US
dc.contributor.author (Authors) 郭佳恩zh_TW
dc.contributor.author (Authors) Kuo, Chia-Enen_US
dc.creator (作者) 郭佳恩zh_TW
dc.creator (作者) Kuo, Chia-Enen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 15:16:24 (UTC+8)-
dc.date.available 1-Jul-2025 15:16:24 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 15:16:24 (UTC+8)-
dc.identifier (Other Identifiers) G0112352007en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157830-
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) 112352007zh_TW
dc.description.abstract (摘要) 本研究比較多種外匯超額報酬的資產定價模型，採用自1985年1月至2024 年8月37個國家的匯率月資料。我們建構市場、利差、動能、價值之四因子模型，並新增產出缺口和通膨因子，形成五、六因子模型，透過時間序列與橫斷面資產定價分析，檢驗因子模型對外匯超額報酬的影響。實證結果顯示五因子模型能有效捕捉到外匯超額報酬的變化，加入通膨因子能提升模型的解釋能力。基於異質性投資人的假設，我們進一步探討市場、波動度與偏度因子構成之高階動差模型，發現其解釋能力較弱，且存在系統性誤差。然而對極端值進行平滑處理後，調整後之高階動差模型解釋能力提升，顯示極端事件對高階動差因子定價之影響力。zh_TW
dc.description.abstract (摘要) Using monthly exchange‐rate data for 37 countries from January 1985 to August 2024, we compare several asset‐pricing models for currency excess returns. We construct a four‐factor model including market, carry, momentum, and value factors, then extend it to five- and six-factor models by adding the output‐gap and inflation factors. Through time‐series and cross‐sectional asset‐pricing analyses, we assess each model’s ability to explain currency excess returns. Empirical results show that the five‐factor specification effectively captures return variation and that the inclusion of the inflation factor enhances explanatory power. We further explore a higher‐order moment model composed of market, realized volatility, and skewness factors, finding that it initially exhibits relatively low explanatory power and systematic pricing errors. After smoothing extreme observations, both goodness-of-fit and pricing-error measures improve significantly, highlighting extreme events’ impact on higher‐order moment pricing.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 2 第二章 文獻回顧 3 第一節 外匯交易策略文獻回顧 3 第二節 高階動差定價文獻回顧 6 第三章 研究方法 9 第一節 樣本選擇 9 第二節 策略因子建構 12 第三節 高階動差模型推導 18 第四節 估計方法 22 第四章 實證結果 25 第一節 傳統因子模型 25 第二節 高階動差因子模型 36 第五章 結論與建議 45 參考文獻 46 附錄 49zh_TW
dc.format.extent 3748879 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112352007en_US
dc.subject (關鍵詞) 外匯交易zh_TW
dc.subject (關鍵詞) 資產定價zh_TW
dc.subject (關鍵詞) 高階動差因子zh_TW
dc.subject (關鍵詞) Fama–MacBeth回歸zh_TW
dc.subject (關鍵詞) 廣義動差估計zh_TW
dc.subject (關鍵詞) 波動度因子zh_TW
dc.subject (關鍵詞) 偏度因子zh_TW
dc.subject (關鍵詞) FX tradingen_US
dc.subject (關鍵詞) asset pricingen_US
dc.subject (關鍵詞) high-order moment factoren_US
dc.subject (關鍵詞) Fama–MacBethen_US
dc.subject (關鍵詞) GMMen_US
dc.subject (關鍵詞) realized volatility factoren_US
dc.subject (關鍵詞) realized skewness factoren_US
dc.title (題名) 外匯超額報酬之六因子與高階動差定價研究zh_TW
dc.title (題名) Six-Factor and Higher-Order Moment Models for Pricing Currency Excess Returnsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 郭秀樺(2018)。外匯報酬之利差、動能及價值交易策略成因分析，未出版碩士論文，國立政治大學金融研究所，臺北市。 Ackermann, C., McEnally, R., & Ravenscraft, D. (1999). The performance of hedge funds: Risk, return, and incentives. Journal of Finance, 54, 833–874. Andrews, D. W. K. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, 59, 817–858. Ang, A., Chen, J., & Xing, Y. (2006). Downside risk. Review of Financial Studies, 19, 1191–1239. Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. Journal of Finance, 68, 929–985. Bekaert, G., & Hodrick, R. J. (1993). On biases in the measurement of foreign exchange risk premiums. Journal of International Money and Finance, 12(2), 115–138. Brav, A., Constantinides, G. M., & Geczy, C. C. (2002). Asset pricing with heterogeneous consumers and limited participation: Empirical evidence. Journal of Political Economy, 110(4), 793–824. Burnside, C. (2011). Carry trades and risk (NBER Working Paper No. 17278). National Bureau of Economic Research. Burnside, C., Eichenbaum, M., & Rebelo, S. (2011). Carry trade and momentum in currency markets. Annual Review of Financial Economics, 3, 511–535. Chaboud, A. P., & Wright, J. H. (2005). Uncovered interest parity: It works, but not for long. Journal of International Economics, 66(2), 349–362. Chen, C., & Lin, C. (2020). The sources of pricing factors underlying the cross-section of currency returns. Quarterly Review of Economics and Finance, 77, 250–265. Christie-David, R., & Chaudhary, M. (2001). Co-skewness and co-kurtosis in future markets. Journal of Empirical Finance, 8, 55–81. Cochrane, J. (2005). Asset pricing (2nd ed.). Princeton, NJ:Princeton University Press. Copeland, L., & Lu, W. (2016). Dodging the steamroller: Fundamentals versus the carry trade. Journal of International Financial Markets, Institutions and Money, 42, 115–131. Colacito, R., Riddiough, S. J., & Sarno, L. (2020). Business cycles and currency returns. Journal of Financial Economics, 137(3), 659–678. Cooper, I., Ma, L., & Maio, P. (2021). What does the cross-section tell about itself? Explaining equity risk premia with stock return moments. Journal of Money, Credit and Banking, 54(1), 73–118. Della Corte, P., Riddiough, S. J., & Sarno, L. (2016). Currency premia and global imbalances. Review of Financial Studies, 29, 2161–2193. Dahlquist, M., & Hasseltoft, H. (2020). Economic momentum and currency returns. Journal of Financial Economics, 136(2), 518–541. Dumas, B., & Solnik, B. (1995). The world price of foreign exchange risk. Journal of Finance, 50(2), 445–479. Fama, E. F. (1984). Forward and spot exchange rates. Journal of Monetary Economics, 14, 319–338. Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47(2), 427–465. Fama, E. F., & MacBeth, J. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy, 81, 607–636. Filippou, I., & Taylor, M. P. (2023). Forward-looking policy rules and currency premia. Journal of Financial and Quantitative Analysis, 58(1), 449–483. Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50, 1029–1054. Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. Journal of Finance, 55, 1263–1295. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48, 65–91. Kraus, A., & Litzenberger, R. (1976). Skewness preference and the valuation of risky assets. Journal of Finance, 31, 1085–1094. Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance, 49(5), 1541–1578. Levy, H. (1969). A utility function depending on the first three moments: Comment. Journal of Finance, 24, 715–721. Lustig, H., Roussanov, N., & Verdelhan, A. (2011). Common risk factors in currency markets. Review of Financial Studies, 24, 3731–3777. Lustig, H., & Verdelhan, A. (2007). The cross-section of foreign currency risk premia and US consumption growth risk. American Economic Review, 97(1), 89–117. Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012a). Carry trades and global FX volatility. Journal of Finance, 64, 681–718. Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2012b). Currency momentum strategies. Journal of Financial Economics, 106, 660–684. Menkhoff, L., Sarno, L., Schmeling, M., & Schrimpf, A. (2017). Currency value. Review of Financial Studies, 30, 416–441. Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55, 703–708. Okunev, J., & White, D. (2003). Do momentum-based strategies still work in foreign currency markets? Journal of Financial and Quantitative Analysis, 38, 425–447. Raza, A., Marshall, B. R., & Visaltanachoti, N. (2014). Is there momentum or reversal in weekly currency returns? Journal of International Money and Finance, 45, 38–60. Rubinstein, M. (1973). The fundamental theorem of parameter preference security valuation. Journal of Financial and Quantitative Analysis, 8, 61–69. Rafferty, B. (2012). Currency returns, skewness and crash risk. SSRN Electronic Journal.zh_TW