在傳統投資理論中經常假設資產報酬為常態分佈，然而金融市場上的報酬分配是不對稱的分配，而且絕大部分的大波動都是跌幅，以S&P500為例，自1947年開始，十大波動中便有九次是價格暴跌，正是報酬負偏態的現象。

如今因子投資(factors investing)在金融市場上儼然成為基金機構或投資者的一大操作策略，故本研究有別於以往的文獻僅探討公司層面或是資本市場上影響報酬率負偏態的潛在因素，本研究改用系統性風險因子評估股價崩跌風險，並以Hong and Stein的理論模型為基礎，認為投資人之間看法差異愈大，則負偏態現象愈明顯，將七種系統性風險因子帶入NCSKEW、DUVOL、CRASH三種估計負偏態的模型，並且把S&P500交易量定義為週轉率，用來預測負偏態，最後本研究得到以下發現，

(1)當該投資組合的交易量增加時，投資組合的報酬率分佈更傾向左偏。

(2)當下遭遇股價崩跌風險的投資組合，其過去36個月中不一定要有正回報。

(3)投資組合報酬率的波動度與下一期的負偏態成正比。

(4)採用動量因子以及短期反轉因子所組成的投資組合更可能遭遇股價崩跌風險。

In traditional investment theory, it is often assumed that asset returns are normal distribution. However, the distribution of returns in the real financial market is asymmetric, and most of the large fluctuations are falling. Take the S&P500 as an example; it has happened nine times price collapse within the top ten fluctuations since 1947.

Nowadays, factor investing has become a major operational strategy for fund institutions or investors in the financial market. Therefore, this research is different from the precious literatures, using the systematic risk factors to assess price crashes risk instead of using predictors at the firm-level or the capital market. Based on the Hong and Stein Model which states that stocks come through high turnover will later on go through the negative skewness of return, this research brings the returns of portfolio constructed by seven systematic risk factors into the three mainly crash models which are NCSKEW, DUVOL and CRASH to evaluate the negative skewness of the stock return. And we have four conclusions：

(1)Negative skewness is greater in stocks and market portfolio that has experienced an increase in turnover over the prior six months.

(2)Market portfolio that has experienced the price crashes does not have positive return in a row over the prior thirty-six month.

(3)There is positive correlation between volatility of market portfolio returns and the negative skewness of the next six months.

(4)Market portfolio which constructed by momentum factor or short term reversal factor might experience more price crashes.

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