台股低系統風險投資組合之低波動異常現象

低波動異常現象(Low Volatility Anomaly)違反我們過往對風險與報酬的認知，在近年來也有許多學者對此現象進行研究，試圖驗證低波動異常現象的存在及其背後的成因。本文以台灣市場為研究對象，使用市場風險(Beta)作為風險的指標，在驗證台灣市場存在低波動異常現象後，透過橫斷面以及時間序列上的分析，找出造成低波動異常現象背後可能的成因。本文主要有以下幾點發現: 1. 台灣證券市場存在低波動異常現象。 2. 以不同Beta形成期所分類的風險投資組合，會有不同的報酬率型態。 3. 價值型股票、小型股票以及高、低風險性資產之間的錯誤定價是造成低波動異常現象的原因。 4. 系統性風險投組中的低波動異常現象會隨著不同的時空以及景氣條件而消失或存在。

關鍵字

台灣證券市場；低波動異常現象；系統性風險；錯誤定價；景氣對策信號

並列摘要

Low volatility anomaly violates the traditional financial theory which suggest that there is a positive relationship between risk and return. As a result, low volatility anomaly becomes a popular issue in recent years. Ang, Hodrick, Xing, and Zhang(2009) suggested that low volatility anomaly is a worldwide phenomenon. Since then, there are many researchers try to find out the possible reasons behind this anomaly. In this article, we used market beta as a proxy of the risk and tried to examine whether low volatility anomaly exists in Taiwan stock market. Subsequently, using cross-section and time-series analysis try to figure out the possible reasons behind this anomaly. The following are main findings of this article: 1. Taiwan stock market indeed has the low volatility anomaly phenomenon. 2. Using different formation periods beta as a proxy of the risk will cause different types of return in risk portfolios. 3. Value stocks, small firms and the mispricing between high and low risk assets drive the low volatility anomaly. 4. The existence of low volatility anomaly is time-varying and depends on the economic business cycle condition.

並列關鍵字

Taiwan stock market ； Low volatility anomaly ； Systematic risk ； Mispricing ； Monitoring indicator

參考文獻

1. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X., 2006. The cross‐section of volatility and expected returns. The Journal of Finance, 61(1), 259-299.

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2. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X., 2009. High idiosyncratic volatility and low returns International and further US evidence. Journal of Financial Economics, 91(1), 1-23.