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題名 Capturing Risk Premia in the Taiwanese Market: A Characteristic-Free Approach
作者 羅秉政
Vincent, Kendro;Lin, Ching-Ting;Tsai, Kuei-Feng;Wu, Shun-Fa
貢獻者 金融系
關鍵詞 Factor portfolios; Market risk premium; Short-selling constraints; Statistical factor analysis
日期 2026-06
上傳時間 18-May-2026 13:24:57 (UTC+8)
摘要 This study uncovers a characteristic-free approach to capturing risk premia in the Taiwanese market. We find that, even without relying on predefined firm characteristics, purely statistical factors can effectively identify systematic risk premia. By using the most liquid Taiwanese companies each week from 2007 to 2023, our empirical results show that the Risk Premium-Principal Component Analysis (RP-PCA) method could effectively capture market risk premia with annualized Sharpe ratios as high as 0.82; in comparison, the equal-weighted benchmark in the same period has only a Sharpe ratio of 0.54. We also consider two approaches to imposing short-selling constraints: direct enforcement of non-negativity on RP-PCA weights and convex non-negative matrix factorization (convex-NMF). The direct method still delivers a Sharpe ratio of 0.78, whereas the convex-NMF approach reduces it to 0.49. The factor regression results indicate that RP-PCA factors are positively associated with momentum and negatively associated with short-term reversal, suggesting that RP-PCA captures price dynamics across different time horizons.
關聯 Pacific-Basin Finance Journal, Vol.99, Article:103199, pp.1-16
資料類型 article
DOI https://doi.org/10.1016/j.pacfin.2026.103199
dc.contributor 金融系
dc.creator (作者) 羅秉政
dc.creator (作者) Vincent, Kendro;Lin, Ching-Ting;Tsai, Kuei-Feng;Wu, Shun-Fa
dc.date (日期) 2026-06
dc.date.accessioned 18-May-2026 13:24:57 (UTC+8)-
dc.date.available 18-May-2026 13:24:57 (UTC+8)-
dc.date.issued (上傳時間) 18-May-2026 13:24:57 (UTC+8)-
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=182643-
dc.description.abstract (摘要) This study uncovers a characteristic-free approach to capturing risk premia in the Taiwanese market. We find that, even without relying on predefined firm characteristics, purely statistical factors can effectively identify systematic risk premia. By using the most liquid Taiwanese companies each week from 2007 to 2023, our empirical results show that the Risk Premium-Principal Component Analysis (RP-PCA) method could effectively capture market risk premia with annualized Sharpe ratios as high as 0.82; in comparison, the equal-weighted benchmark in the same period has only a Sharpe ratio of 0.54. We also consider two approaches to imposing short-selling constraints: direct enforcement of non-negativity on RP-PCA weights and convex non-negative matrix factorization (convex-NMF). The direct method still delivers a Sharpe ratio of 0.78, whereas the convex-NMF approach reduces it to 0.49. The factor regression results indicate that RP-PCA factors are positively associated with momentum and negatively associated with short-term reversal, suggesting that RP-PCA captures price dynamics across different time horizons.
dc.format.extent 108 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Pacific-Basin Finance Journal, Vol.99, Article:103199, pp.1-16
dc.subject (關鍵詞) Factor portfolios; Market risk premium; Short-selling constraints; Statistical factor analysis
dc.title (題名) Capturing Risk Premia in the Taiwanese Market: A Characteristic-Free Approach
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1016/j.pacfin.2026.103199
dc.doi.uri (DOI) https://doi.org/10.1016/j.pacfin.2026.103199