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

周泰成

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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 , Masters　　Advisor：古永嘉　　

繁體中文

動能策略、選股準則、條件風險值、投資規模、高階動差； Momentum strategy ； stock selection criteria ； conditional value at risk ； size ； higher order moments

Abstract │ Reference (42) │ Times Cited (2) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

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.

Reference ( 42 ) 〈TOP〉

2. 李政鴻（2007），考量條件風險值下製造商退貨價格與零售商定價和訂購量政策之研究，國立成功大學工業與資訊管理學研究所未出版之碩士論文。
連結：
5. 許哲瑋（2006），考量風險下建構動量投資組合的研究，國立清華大學科技管理研究所未出版之碩士論文。
連結：
8. 曾瓊萩（2006），條件風險值限制下的最適投資組合，國立台灣大學財務金融學研究所未出版之碩士論文。
連結：
1. Ang, A., Hodrick, R. J., Xing, Y. & Zhang, X. (2006). The cross-section of volatility and expected returns. Journal of Finance, 61(1), 259-299.
連結：
4. Basak, S. & Shapiro, A. (2001). Value at risk based risk management: Optimal policies and asset prices. The Review of Financial Studies, 14(2), 371-405.
連結：

Times Cited (2) 〈TOP〉

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