基於流動性風險衡量下之beta套利交易策略

A Liquidity-based Betting-against-beta Strategy

邱信瑜(Hsin-Yu Chiu) ； 黃書安(Shu-An Huang) ； 江彌修(Mi-Hsiu Chiang)

《證券市場發展季刊》 30卷3期 (2018/09) Pp. 41-74

https://doi.org/10.6529/RSFM.201809_30(3).0002

摘要

Frazzini and Pedersen (2014)的貝塔套利交易策略(betting against beta, BAB)雖然利用了低風險高報酬異常現象來獲取異常報酬，然而卻忽略了低貝塔係數的股票與其平均流動性的連帶關係(Li, Sullivan 與Garcia-Feijóo, 2014)。本文提出考量流動性下之貝塔套利交易策略(liquidity-based betting against beta, LBAB)。我們發現相較於貝塔套利交易策略，考量流動性之貝塔套利交易策略更能有效地增加超額報酬率。兩階段排序(double sorting)下的實證結果顯示：流動性排序後所形成的股票群組中，執行貝塔套利交易策略仍能獲取顯著異常報酬。另一方面，貝塔係數排序後所形成的股票群組中，藉由買賣流動性高低之套利交易策略亦可產生異常報酬。這顯示貝塔係數與流動性之於股票報酬率的解釋能力並無法彼此取代，在考量不同主流文獻之流動性指標所建立的投資組合之下，我們進一步發現除卻零報酬率天數比率之外，LBAB均能產生顯著異常報酬。

關鍵字

低風險高報酬異常現象 ； 貝塔套利交易策略 ； 流動性指標

並列摘要

The betting-against-beta (BAB) strategy of Frazzini and Pedersen (2014), though exploits the low risk anomaly by buying the portfolio of low beta stocks and selling those with high beta, neglects the liquid issue often associated with low risk stocks (Li, Sullivan and Garcia-Feijóo, 2014). In this study, we show that a liquidity-based BAB outperforms the traditional BAB. Using a double sorting technique, we find that BAB strategies generate abnormal returns within each liquidity-sorted portfolio. On the other hand, a long/short strategy of buying those stocks with low liquidity and selling those with high liquidity generates abnormal returns within each beta-sorted portfolio. These results suggest that, over the predictability of stock returns, stock beta and liquidity are not substitutes for one another. We find that the abnormal returns generated by LBAB sustain across different liquidity measures that are commonly used in mainstream literature, except for the proportion of days with zero returns.

並列關鍵字

Low Risk Anomalies ； Betting Against Beta ； Liquidity Indicator

參考文獻

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