隱含波動與匯率風險對股票報酬影響之研究-運用分量迴歸模型

The Impact of Implied Volatility and Exchange Rate Risk on Stock Returns - Employing Quintile Regression Model

曾永瑋(Yung-Wei Tzeng)

指導教授 ： 胡為善

中原大學/商學院/企業管理研究所/碩士(2012年)

https://doi.org/10.6840/cycu201200308

摘要

本研究探討美國製造業股票投資組合(Portofolio)的超額報酬，研究期間自2005年1月到2011年12月並使用月資料。本研究採用OLS模型及分量回歸法來探討Carhart(1997)的四因子模型(市場投資組合報酬、規模因子、淨值市價比因子及動能因子)，對股票投資組合超額報酬的影響，並查驗四因子變數是否能夠提升CAPM-因子模型的解釋力?本研究並進一步驗證在控制變數中加入隱含波動風險因子(以VIX當作代理變數)，或匯率風險因子後，對於超額報酬有何影響？
本研究證實隱含波動風險因子或匯率風險因子在美國製造業的股票市場中確為投資人考量之風險因素。實證顯示這兩因子確實能有效降低平均訂價誤差以及提升模型之解釋能力。本研究發現：(1)當採用公司規模作為投資組合的選股策略時，在同樣帳面對市價比率之下，投資人若選擇規模小的公司，其報酬率會大於規模大的公司之報酬率。(2)當採用帳面對市價比率作為投資組合選股策略時，在公司規模相同時，投資人若選擇高帳面對市價比的公司能賺取較多之報酬。本研究也發現規模效應會大於帳面對市價比之效應。
當投資人納入隱含波動或匯率風險因子作為投資組合選股策略時，本研究發現：(1)在同樣之公司規模下，投資人應選擇帳面對市價比高的組合，但在同樣帳面對市價比之公司，投資人不會選擇中等規模公司之股票，反而會選擇規模小的公司與規模大的公司之股票，此項結果表示規模大與小及淨值市價比高之公司，在控制隱含波動風險因子或匯率風險因子後能賺取比其他公司較高之超額報酬。此外，本研究發現，對美國製造業而言，動能因子並未產生顯著性的效應。
最後，本研究在比較QR和OLS模型後，發現OLS係採用平均值估計出來的各因子之係數，成為一條直線。但由於QR是採用不同分位點描述出的各因子迴歸參數值，因而成為一條曲線。

關鍵字

外匯曝險 ； 隱含波動 ； 分量回歸 ； 四因子模型

並列摘要

This study examines the excess returns of the stock portfolio which was formed by the monthly ordinary shares data of the U.S. manufacturing companies. The sample period is from January 2005 to December 2011. This investigation employs the OLS model and Quantile regression (QR) to examine the impact of Carhart(1997)’s four factors parameters (market portfolio returns, size, book-to-market equity ratio, and momentum factors) on the excess returns of the stock portfolio. This study also investigates whether the four-factor model improves the explanatory power provided with the CAPM model. This work also includes the implied volatility risk factor (VIX as a proxy variable) or the exchange rate risk factor as the control variable using both the OLS and QR.
Empirical results indicate that both the implied volatility and the exchange rate risk factors indeed reduce the average pricing error and improve the explanatory power of the model. This investigation finds that: (1) when investors use the size of the company as a portfolio stock-picking strategy, the returns of small-sized company are greater than those of the large-sized company. (2) When the book-to-market equity ratio is used as a portfolio of stock-picking strategy, the returns of the large-sized companies with high book-to-market equity ratio are greater than the companies with low book-to-market equity ratio. Empirical results also show that the size effect outperforms the book-to-market effect.
When the investor includes the implied volatility and exchange rate risk factors as a portfolio of stock-picking strategy, this study finds that: (1) if companies have same size, the investor should select the company with high book-to-market equity ratio. (2) When the book-to-market equity ratio is fixed, the investor should select the company with small and large size rather than the company with middle size. These findings suggest that when the implied volatility risk factor or the exchange rate risk factor is controlled, the investor may earn excess return by selecting the company with high book-to-market equity ratio and that with both large and small size. This study finds that no momentum effect exists in this U.S. manufacturing company section.
Compared with the QR and OLS model, this work finds that, when the OLS model is used, the coefficient of each factor is plotted as a straight line. When the QR method is used, the connection of each factor is depicted as a curve because the coefficient of each factor is calculated by different quantity.

並列關鍵字

Implied volatility ； Foreign exchange exposure ； OLS model ； Quantile regression ； Four-factor model

參考文獻

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