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| 研究生： |
張明源 Chang, Ming Yuan |
|---|---|
| 論文名稱： |
納入價值策略因子之匯率報酬訂價模型比較 Comparison with exchange rate return pricing models including factor of value strategy |
| 指導教授： | 林建秀 |
| 口試委員: |
林建秀
廖四郎 程智男 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2017 |
| 畢業學年度： | 105 |
| 語文別： | 中文 |
| 論文頁數： | 52 |
| 中文關鍵詞： | 市場報酬 、利差交易 、價值策略 、匯率報酬 |
| 外文關鍵詞： | Market excess return, Carry trade, Value strategy, Exchange rate return |
| 相關次數： | 點閱：38 下載：7 |
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探討決定匯率報酬的因子模型，對於貨幣市場上交易、避險，以及套利活動都有其幫助。本文使用市場報酬、利差交易策略，以及價值策略形成匯率報酬模型的三因子，研究該模型是否更能夠解釋貨幣的超額報酬，意即三因子是否是較適切的模型。
本文針對無交易成本以及考慮交易成本兩種情形先進行因子相關性分析，再進行Fama-Macbeth兩步驟橫斷面迴歸分析。結果發現無論是第一步驟的OLS迴歸分析、或是第二步驟橫斷面迴歸，以及最後的統計檢定中，相較於Lustig, Roussanov, and Verdelhan (2011)的二因子模型，加入價值策略的三因子模型皆有好的改善，具有比較好的解釋力，表示三因子應該為比較適切的模型。
Discussing the determinants of exchange rate return model is helpful when talking about currency trading, hedging, and arbitrage activities in currency markets. This paper use the market excess return, carry trade, value strategy, to build a three-factor model of exchange rate return. The purpose is to investigate whether this model is more explainable exchange rate return model, that means the three-factor model is better and suitable.
In this paper, we use the factor correlation analysis and the Fama-Macbeth two-step regression to analyze the data based on both conditions excluding transact cost and including transact cost. In whichever OLS or second step cross-section regression, even in the statistical tests at the last, we find that three-factor model is better than two-factor model from Lustig, Roussanov, and Verdelhan (2011). It shows that three-factor model should be the better model compared with the two-factor model.
第一章 緒論 6
第一節 研究背景與動機 6
第二節 研究目的 7
第三節 論文架構與研究流程 7
第二章 文獻回顧 8
第一節 利差交易相關文獻 8
第二節 價值策略相關文獻 10
第三章 研究方法 12
第一節 資料使用以及建構投資組合 12
第二節 因子相關性分析 24
第三節 Fama-Macbeth兩步驟橫斷面迴歸 25
第四節 統計檢定 27
第四章 實證分析 30
第一節 因子相關性分析 30
第二節 Fama-Macbeth兩步驟橫斷面迴歸 35
第三節 統計檢定 47
第五章 結論與建議 49
參考文獻 51
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