風險值與指數型基金橫斷面報酬

本文想要探究指數型基金的風險值（VaR）和其報酬的橫斷面關係。本文的研究對象為在2011年1月至2012年12月，所有在美國交易的存活的指數型基金（ETF），首先我們做了由單變量排序形成的組合分析，結果顯示指數型基金的風險值與其預期的報酬有著強烈的負相關關係。更進一步，我們控制了市值和年齡的變數，形成了雙變數的組合，先前的結果依然存在。最後我們做了指數型基金的預期報酬對於其風險值的橫斷面回歸分析，風險值的平均斜率為負並且至少在5%的水平上顯著,這不僅驗證了前面的結論也預示著風險值對於指數型基金的預期報酬有解釋能力。

關鍵字

指數型基金；風險值；橫斷面報酬

並列摘要

In this study, I attempt to explore the relation between the Value at Risk (VaR) and the cross-section expected return for the exchange traded fund (ETF). My sample consists of the all active ETFs traded in United State market during January 2011 to December 2012. First I do the analyses of univariate sorted portfolios, the results indicate the strong negative relation between VaR and expected return. Furthermore, I control the market value and age of ETFs to form the bivariate sorted portfolios, the negative relation is still existing. Finally I make the cross-section regression of ETFs’ returns on VaR, the average slopes of VaR show negative and am statistic significant in at least 5% level. It not only demonstrates the former claim is still held but also indicates the VaR has power to explain the expected return for ETFs.

並列關鍵字

Exchange traded fund ； Value at risk ； Cross-section return

參考文獻

Alexander, C., Barbosa, A., 2008. Hedging index exchange traded funds. Journal of Banking and Finance 32 ,326–337.

Google Scholar

Gerasimos G., Rompotis, 2009. A Cost-Performance Analysis of Exchange Traded Funds: Evidence from iShares. International Research Journal of Finance and Economics 24, 138-152.