考量流動性風險下的貝塔策略交易

Beta trading strategies with consideration of liquidity risk

戴廷恩(Ting-En Dai)

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

本研究探討台灣股市是否有低風險高報酬異常現象，以1999年至2019年台灣之上市櫃股市資料進行分析，對不同貝塔的股票組別進行橫斷面分析，發現在台灣市場中確實存在低風險高報酬異常現象，並且觀察不同持有期間(短期1個月與3個月，長期6個月與12個月)的投資組合報酬率，結果顯示低貝塔高報酬現象不論在短期或長期依舊顯著，且三因子異常報酬與持有期間呈現正向關係。此外，透過多空對沖的交易策略發現能夠顯著降低投資組合波動度，並且獲得更好的夏普比率。

本研究透過兩種流動性指標採取雙排序法(Double Sorting)的方式，先控制流動性再依據貝塔大小分組排序，發現低流動性分組不論在短期或長期下其投資組合異常報酬與貝塔值呈現正向關係，意味著低風險異常現象在控制流動性後消失。此外，隨著流動性的降低相同貝塔排序分組會有額外的流動性風險溢酬。最後，針對控制流動性下建構多空對沖交易策略發現無法獲取正異常報酬

關鍵字

低風險高報酬異常現象 ； 流動性指標 ； 貝塔策略交易

並列摘要

This study explores whether there is an abnormal phenomenon of low risk and high reward in Taiwan's stock market. By analyzing the data of Taiwan's listed stock market from 1999 to 2019 and using cross-sectional analysis of different beta groups, it is found that there is indeed a low-risk anomaly in Taiwan's market. For different holding period is divided into short-term 1 month and 3 months, 6 months and 12 months for a long time, the results show that the phenomenon of low beta and high return is still significant in the short or long term, and the three-factor abnormal return has a positive relationship with the holding period. In addition, the discovery of long-short portfolio can significantly reduce portfolio volatility and achieve better performance.

This study conducted a Double Sorting method among two liquidity indexes, first controlling liquidity and then Sorting according to beta. It was found that the abnormal returns of the portfolio with low liquidity showed a positive relationship with the beta value no matter in the short or long term, which meant that the low-risk anomaly disappeared after controlling the liquidity. In addition, with the decrease of liquidity, the same beta ranking sub-group will have additional liquidity risk premium. Finally, it is found that the strategy of constructing long-short portfolio under the control of liquidity cannot obtain positive abnormal returns

並列關鍵字

Low-volatility anomaly ； Liquidity index ； Beta strategis

參考文獻

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