正ALPHA套利投資策略: 以台灣五十成分股探討

The Performance of Positive Alpha Arbitrage Investment Strategy: Evidence from the Taiwan 50 Index Component Stocks

劉忠偉(Chung-Wei Liu)

指導教授 ： 何耕宇

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2008年)

摘要

本研究根據台灣證券交易所上市之台灣五十成分股,由2005年7月1日到2007年7月1日共兩年的日資料,利用資本資產定價模型所計算出的截距項alpha,進行投資策略之資料分析。採行的投資策略為當個股實證期相對日報酬率小於檢定期相對日報酬率平均數減去n倍相對日報酬率標準差之後,則同時買進個別股票與放空加權指數,待個股實證期相對日報酬率大於檢定期相對日報酬率平均數減去0.5倍相對日報酬率標準差後,就進行平倉與回補的動作。實證結果發現若每一季皆實施此投資策略,考慮交易成本之下,一年下來可以獲取9.23%(n=1.5時)、 11.28%(n=1.75時)與13.03%(n=2時)的報酬率。與其他投資策略相比,本投資策略具有簡易可行與容易了解的優點。

關鍵字

阿法 ； 資本資產定價模型

並列摘要

This study analysis investment strategy, using CAPM to calculate the intercepts of the TSEC Taiwan 50 Index component stocks over the period July first 2005 through July first 2007. Our investment strategy as follows: when relative daily returns of stock over empirical period are less than the difference between relative daily returns and corresponding standard deviations times n (which equal 1.5, 1.75, and 2) of the same stock over test period, we buy stock and short sell TAIEX simultaneously. After relative daily returns of stock over empirical period are more than the difference between relative daily returns and corresponding standard deviations times 0.5, we close our position. The result shows that if we implement this investment strategy every season, and consider transaction costs, we can get 9.23% (n=1.5), 11.28% (n=1.75), and 13.03% (n=2) returns one year. Comparing to other investment strategies, our investment strategy has two advantages: simply worked and simple understand.

並列關鍵字

alpha ； CAPM

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