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    题名: 權益期限結構之估計與其結構性變化之研究
    其它题名: The Estimation and Structure Break of Equity Duration
    作者: 郭維裕
    贡献者: 國立政治大學國際貿易學系
    行政院國家科學委員會
    关键词: 權益存續期間;殘差解釋變數;動態特徵;結構性變化;倒序CUSUM 檢定
    equity duration;residual generated regressors;dynamic patterns;structuralchanges;reversed order CUSUM test
    日期: 2009
    上传时间: 2012-06-22 09:49:38 (UTC+8)
    摘要: 權益存續期間（equity duration）為股票價格對利率變動的敏感度，可用以量化股票所面臨的利率風險。對於散戶（ individual investors）與機構投資人（institutional investors）而言，權益存續期間的研究可說是相當重要的議題之一。一旦瞭解權益存續期間之特性，不只有益於現代免疫策略（immunization）的執行，更可幫助投資策略的規劃，以追求績效的提升。回顧過去相關文獻我們得知，（1）美國股市確實明顯受到利率變動的影響。（2）投資組合依產業、規模與成長性的不同具有迥異的存續期間特性。（3）近幾年來學術上多以實證模型估計權益存續期間，但卻未考慮解釋變數間的相關程度。（4）過去文獻並未考慮到結構性變化（structural changes）的發生。本研究決定採用標準普爾（S&P）中具有全球產業分類標準（Global Industry Classification Standard，GICS）的股票為樣本，並將研究期間延長至2008 年底，以分析美股的權益存續期間。另外，為補齊權益存續期間文獻上關於研究方法上的缺失，除了以OLS 實證模型估計權益存續期間之外，將另輔以殘差解釋變數（residual generated regressors）方法，希望避免因解釋變數間相關性較高而影響參數估計正確性的問題。為能符合現代投資人定期監控的投資行為，本計畫亦將結合移動視窗（rolling window）方法來描繪權益存續期間的動態特性。本計畫續採用Pesaran and Timmermann (2002) 所提出的倒序CUSUM 檢定（reversed order CUSUM test），判斷估計期間內最近一次結構性變化發生的時點，以提高模型估計的適切度。
    Equity duration, defined as the sensitivity of common stock returns to interest rate changes, can be used to quantify interest rate risks faced by equity securities. This issue is considerably important for individual and institutional investors. Understanding equity duration can not only facilitate investors to conduct modern immunization strategy but also enhance the performance of investment strategy. Based on the literature review, we can summarize the previous empirical findings as follows. First, interest rate changes have significant impacts on US stock markets. Second, there exists significant difference in the empirical equity durations for alternative industry, size, and investment style portfolios. Third, recent studies using empirical models to estimate equity duration seldom consider the problems caused by the correlation of independent variables and the potential structural changes in equity duration. This paper decides to take on the above issues by analyzing all S&P stocks with GICS for the extended sample period to the end of year 2008. To complement the paucity of academic research on the estimation methods of equity duration, we examine the interest rate sensitivity by adding residual generated regressors into the OLS models. This study also utilizes the rolling window method to describe the dynamics of equity duration. Moreover, we adopt the reversed order CUSUM test proposed by Pesaran and Timmermann (2002) to determine the time point for the occurrence of the most recent structural break during the whole sample period. Finally, we attempt to construct investment portfolios that are able to hedge the interest rate risk.
    關聯: 應用研究
    學術補助
    研究期間:9808~ 9907
    研究經費:443仟元
    数据类型: report
    显示于类别:[國際經營與貿易學系 ] 國科會研究計畫

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