特有風險異常現象 - 衡量方式與投資組合建構穩定性測驗

Idiosyncratic Risk Anomaly - Robustness analysis of Measurement and Portfolio Construction

彭俊隆(Jun-Long Peng)

指導教授 ： 謝文良

國立交通大學/管理學院/財務金融研究所/碩士(2020年)

摘要

Ang et al. (2006)發現了美國市場中存有低特有風險高報酬之異常現象，本文使用特有風險投資策略與特有風險衝擊策略，以橫斷面角度及縱斷面角度檢驗台灣市場中是否存有此異常現象。此外在建立投資策略時，檢驗投資組合構成方法是否對異常現象具有顯著的影響力。而本文發現投資策略所使用的構成方式不明顯影響台灣市場中特有風險異常現象所造成的整體趨勢，亦即策略中所使用的迴歸期間長度、個股在投資組合內權值、自身比較期間長度並不會改變報酬與風險間負向相關，此外，隨持有期間增加，透過特有風險異常現象所獲取的超額報酬會逐漸下降。最後，本文得知構成方式雖不影響整體趨勢，但策略的超額報酬可以透過選定特定的構成方式來改善。

關鍵字

特有風險 ； 特有風險異常現象 ； 投資組合建構

並列摘要

Ang et al. (2006)found that low stocks with high return in American markets. In this paper, we establish two different trading strategies, idiosyncratic risk investment strategy and idiosyncratic risk shock investment strategy, which used to analysis the idiosyncratic risk anomaly in Taiwan markets from cross-section and time series perspective. Furthermore, we examine the influence of strategy composition to low risk anomaly. We find that the composition do not affect the trend of stock returns, in other words, the period of regression, the calculation of return, and the time length which used to compare for idiosyncratic risk shock investment strategy do not affect the negative correlation of idiosyncratic risk and returns. Moreover, abnormal returns will increase with holding period. Finally, we know that the strategies composition do not influence the trend of stock returns, but it can improve the portfolio performance by choose the specific strategies composition.

並列關鍵字

idiosyncratic risk ； low risk anomaly ； Portfolio construction

參考文獻

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

2. 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

3. Baker, N., & Haugen, R. (2012). Low Risk Stocks Outperform within All Observable Markets of the World. SSRN Electronic Journal

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