以不同條件風險值及高階動差重新檢視臺灣股市之動能策略

Reinvestigating the Momentum Strategy Based on Conditional Value at Risk and Higher Order Moments in Taiwan Stock Market

周泰成(Tai-Cheng Chou)

指導教授 ： 古永嘉

國立臺北大學/商學院/企業管理學系/碩士(2009年)

摘要

本研究之目的在提高動能策略自股票市場中賺取超額報酬的能力，此部分著重於股票排序準則及投資規模大小之設定，並以高階動差解釋動能報酬的來源。研究期間自2004年1月1日至2008年12月31日，共五年1241筆日資料，499支股票。
文中使用累積報酬率、夏普比率、穩定尾部調整報酬率及瑞秋比率等四個準則作為股票排序之依據，穩定尾部調整報酬比率與瑞秋比率是以條件風險值（CVaR）為基礎的新準則，較傳統的夏普比率更能捕捉股票報酬分配之非常態特性，且CVaR具有凸性（Convex）與一致性風險衡量指標之特質，是一個很好的風險衡量工具；文中同時將投資組合之規模大小分為10、20、…、170支股票，共17種規模，藉以探討在何種準則及規模下可獲得最高的動能利潤。研究發現，當投資規模為10支股票且選股準則為R-ratio（99%,99%）時，有最高的動能報酬，約每個月7.89％；而動能以及對報酬貢獻較高的投資組合有負偏之現象，因此動能報酬的產生可能是來自於對偏態風險的補償。

關鍵字

動能策略、選股準則、條件風險值、投資規模、高階動差

並列摘要

The goals of this paper are enhance the ability, which we focus on the stock selection criteria and the size of winner and loser portfolios, of momentum to earn excess return in Taiwan stock market and explain the momentum payoffs by higher order moments. The data sample consists of 499 include in Taiwan Stock Exchange in period January 1, 2004 to December 31, 2008.
We use cumulative return, Sharpe ratio, Stable-Tail Adjusted Return ratio（STARR）, and Rachev ratio（R-ratio） to rank the stocks. STARR and R-ratio are new criteria based on conditional value at risk（CVaR）. CVaR capture better the non-normality properties of individual stock returns than the traditional mean-variance measure of Sharpe ratio, and possessing the properties of convex and coherent risk measures. We also contain seventeen portfolio size, including 10, 20,…, and 170 shares. So that we could analyze on which criteria and size momentum can perform best. We find that the best performance is when the 10 top and button performing stock shares are employed and the stock criteria is R-ratio（99%,99%）. The highest return is 7.89％ per month. We also find the returns of momentum and high return portfolio are negative skewness. And we can conclude that momentum profit may be a compensation for skewness risk.

並列關鍵字

Momentum strategy, stock selection criteria, conditional value at risk, size, higher order moments

參考文獻

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