隱含波動與匯率風險對股票報酬影響之研究-運用分量迴歸模型

曾永瑋

doi:10.6840/CYCU.2012.00179、10.6840/cycu201200308

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隱含波動與匯率風險對股票報酬影響之研究-運用分量迴歸模型

The Impact of Implied Volatility and Exchange Rate Risk on Stock Returns - Employing Quintile Regression Model

曾永瑋 , Masters　　Advisor：胡為善　　

繁體中文 DOI： 10.6840/CYCU.2012.00179、10.6840/cycu201200308

外匯曝險；隱含波動；分量回歸；四因子模型； Implied volatility ； Foreign exchange exposure ； OLS model ； Quantile regression ； Four-factor model

Abstract │ Reference (37) │ Times Cited (3) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

This study examines the excess returns of the stock portfolio which was formed by the monthly ordinary shares data of the U.S. manufacturing companies. The sample period is from January 2005 to December 2011. This investigation employs the OLS model and Quantile regression (QR) to examine the impact of Carhart(1997)’s four factors parameters (market portfolio returns, size, book-to-market equity ratio, and momentum factors) on the excess returns of the stock portfolio. This study also investigates whether the four-factor model improves the explanatory power provided with the CAPM model. This work also includes the implied volatility risk factor (VIX as a proxy variable) or the exchange rate risk factor as the control variable using both the OLS and QR.
	Empirical results indicate that both the implied volatility and the exchange rate risk factors indeed reduce the average pricing error and improve the explanatory power of the model. This investigation finds that: (1) when investors use the size of the company as a portfolio stock-picking strategy, the returns of small-sized company are greater than those of the large-sized company. (2) When the book-to-market equity ratio is used as a portfolio of stock-picking strategy, the returns of the large-sized companies with high book-to-market equity ratio are greater than the companies with low book-to-market equity ratio. Empirical results also show that the size effect outperforms the book-to-market effect. 
When the investor includes the implied volatility and exchange rate risk factors as a portfolio of stock-picking strategy, this study finds that: (1) if companies have same size, the investor should select the company with high book-to-market equity ratio. (2) When the book-to-market equity ratio is fixed, the investor should select the company with small and large size rather than the company with middle size. These findings suggest that when the implied volatility risk factor or the exchange rate risk factor is controlled, the investor may earn excess return by selecting the company with high book-to-market equity ratio and that with both large and small size. This study finds that no momentum effect exists in this U.S. manufacturing company section.
	Compared with the QR and OLS model, this work finds that, when the OLS model is used, the coefficient of each factor is plotted as a straight line. When the QR method is used, the connection of each factor is depicted as a curve because the coefficient of each factor is calculated by different quantity.

Reference ( 37 ) 〈TOP〉

Adler, M., & Dumas, B. (1984). Exposure to Currency Risk: Definition and Measurement. Financial Management (1972), 13(2), 41-50.
連結：
Banerjee, P. S., Doran, J. S., & Peterson, D. R. (2007). Implied volatility and future portfolio returns. Journal of Banking & Finance, 31(10), 3183-3199.
連結：
Black, F. (1972). Capital Market Equilibrium with Restricted Borrowing. The Journal of Business, 45(3), 444-455.
連結：
Bondt, W. F. M. D., & Thaler, R. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3), 793-805.
連結：
Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. Journal of Finance, 52(1), 57-82.
連結：

Times Cited (3) 〈TOP〉

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