如何在價格與價值異常時進行套利交易

How to Arbitrage on the Recovery of Fundamental Value-to-Price Anomaly?

陳睦仁(Mu-Jen Chen)

指導教授 ： 沈仰斌

元智大學/管理學院/財務金融學系/碩士(2008年)

摘要

根據過去的文獻，我們可以知道價格與價值總是不會相等，而當這個差距顯著到有利可圖時就存在套利機會，過去有很多評估價值的方法，其中Frankel and Lee (1998)設計了一個未來價值折現的方法，而John Wei (2006)也根據這個方法做了一個套利交易策略，有顯著的報酬，不過這個策略有一些缺點，例如投資組合太大，持有期間太長；我們希望能夠改善這個交易策略，提高報酬，減少持股數，縮短持有期間以降低資金壓力，過去只要價值被低估的股票就會被買進，高估就賣出。但是我們希望能夠在價值被發現，價格開始吻合價值後才交易，並且在價格充分符合預期價值後結清，以縮短持有期間，而不是持有固定期間。

關鍵字

套利 ； 風險 ； 錯價

並列摘要

Shleifer and Vishny (1997) argue that arbitrage can be both costly and risky. As a result, arbitrageurs will not exploit arbitrage opportunities if the costs and risk of arbitrage exceed its benefits, thereby allow mispricing to survive for long periods of time. Frankel and Lee (1998) document that the fundamental value-to-price (Vf/P) ratio predicts future abnormal returns for up to three years, where Vf is an estimate of fundamental value based on a residual income model that uses analyst earnings forecasts. Ali, Hwang and Trombley (2003a) further show that their results seem consistent with the mispricing explanation rather than with the risk explanation of the Vf/P effect. Thus, the Vf /P effect provides a good means to examine the limits of arbitrage. Wei and Zhang (2006) find that the Vf /P effect shows that firm age, earnings quality, and divergence of opinion have incremental power beyond other measures of risk in explaining the cross-sectional variation in the Vf /P effect. The results appear to be consistent with the argument of the limits of arbitrage. But this strategy may take long time, we hope the strategy is effective in short-term. Akhigbe, Larson and Madura (2002) thought that 10% daily rise or fall is a signal of overreaction and underreaction. Wei and Zhang (2006) provide a strategy to arbitrage. But this strategy takes a long time, it needs three years to arbitrage. We want to find out the relation between high daily return and Vf /P. If the stock price match its fundamental value quickly after high daily return.

並列關鍵字

Arbitrage risk ； Fundamental value-to-price ； Mispricing

參考文獻

Francis, Jennifer, Ryan LaFond, Per Olsson, and Katherine Schipper, 2003, Accounting anomalies and information uncertainty, working paper, Duke University, Wisconsin University, and the Financial Accounting Standards Board

Ali, Ashiq, Lee-Seok Hwang, and Mark A. Trombley, 2003a, Residual-income-based valuation predicts future stock returns: evidence on mispricing vs. risk explanations, Accounting Review 78, 377-396.

Akhigbe,Aigbe, Larson, Stephen J. and Jeff Madura Market, Underreaction and Overreaction of Technology Stocks, Journal of Psychology and Financial Markets 2002, Vol. 3, No. 3, 141–151

Amihud, Yakov, 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets 5, 31–56.

Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid–ask spread, Journal of Financial Economics 17, 223–249.