黑天鵝事件與報酬—以台灣加權股價指數為例

Black Swans and Return —With Case Study on the Taiwan Capitalization Weighted Stock Index

張君如(Kun-Yu Cheung)

指導教授 ： 許耀文

國立臺灣大學/管理學院/國際企業學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.02685

摘要

過往歷史上曾經有不少學者對於資產定價模型(CAPM)的有效性做了許多發表，因此，在本研究中我們捨去先前其他對於系統性風險(Beta)與報酬率之間的關係的結論而重新檢驗Beta與報酬率的關係。本文主要探討從2003年1月到2013年3月的台灣加權股價指數中各類股的Beta與投資報酬率是否有正相關性，以及運用Estrada and Vargas(2012)的研究方法在衡量Beta是否可以作為一個投資組合的選擇工具時，根據均值回歸理論(mean-reversion theorem)以及Beta值來設定一個投資策略。

研究結果顯示，雖然Beta與台灣股票市場各類股報酬率的表現並沒有呈現一個非常嚴格的正相關，但我們還是可以隱約地看出Beta對於預期報酬率有正相關的影響。在運用Estrada and Vargas(2012)的投資策略來投資於台灣加權股價指數的由各類股所組成的投資組合中，從2003年1月直到2013年3月這段投資時間可以明顯看到運用投資策略的報酬率遠遠高出大盤。

根據本研究結果我們認為運用Beta值來選擇投資組合這個方法可以作為投資時的參考之一。

關鍵字

黑天鵝事件 ； 系統性風險 ； beta ； 台灣加權股價指數 ； 類股

並列摘要

Capital asset pricing model (CAPM) has been discussed by so many scholars, and beta has been a controversial measure of risk since a half century ago.

In this paper, we focus on two parts. (1) Is beta a good measure of risk? We examine this by measuring if there is a positive relationship between betas and monthly returns in industries during the period from January 2003 to March 2013. (2) Is beta a good tool for portfolio selection in TAIEX? We examine this by applying the strategy developed by Estrada and Vargas (2012) to invest in portfolios during the period from January 2003 to March 2013. Our focus is on economic significance.

The result shows that beta is not strictly positively related to monthly returns in industries during our sample period, but there is a positive tendency between betas and returns. Based on the positive tendency between betas and returns, we apply the strategy developed by Estrada and Vargas (2012) on TAIEX between January 2003 and March 2013, and we find that the strategy significantly outperforms a passive investment.

According to the results, we find that beta is a good measure of risk and that beta is a valuable tool for portfolio selection.

並列關鍵字

black swans ； systematic risk ； beta ； TAIEX ； industry

參考文獻

李春旺，劉維琪，高孔廉，1989，“股價行為與規模效應：台灣股票市場實證研究”，管理評論，99-121。

Banz, R. W., 1981, “The Relationship between Return and Market Value of Common Stocks,” Journal of Financial Economics, 9, 3-18.

Black, F., 1972, “Capital Market Equilibrium with Restricted Borrowing,” Journal of Business 45 (No.3), 444-445.

Chan, L. and J. Lakonishok, 1993, “Are the Reports of Beta’s Death Premature?” Journal of Portfolio Management 19 (No.4), 51-62.

Estrada, J., 2008, “Black Swans and Market Timing: How Not To Generate Alpha,” Journal of Investing 17 (No.3), 20-34.