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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/110801
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/110801


    Title: 投資人情緒及流動性與貝他套利交易策略之關聯性研究
    Investor sentiments, market liquidity, and betting against beta trading strategies
    Authors: 黃聖哲
    Contributors: 江彌修
    黃聖哲
    Keywords: 投資人情緒
    流動性
    貝他套利交易策略
    Date: 2017
    Issue Date: 2017-07-11 11:30:42 (UTC+8)
    Abstract: 近來許多學者指出股票市場不如效率市場假說所述,反而存在低風險異常報酬之現象,而Frazzini and Pedersen (2014)提出貝他套利交易策略,藉由該策略可增加獲取之超額報酬。故本研究將探討低風險異常報酬是否仍存於近年的美國股票市場,另外,亦將加入投資人情緒及流動性指標,研究其是否能改良貝他套利交易策略。實證結果顯示,低風險異常報酬仍然存在於美國股票市場,且執行貝他套利交易策略可增加所獲取之超額報酬。此外,於該策略加入成交量變動率及成交量,分別作為情緒及流動性指標後,發現兩種方式皆能改良貝他套利交易策略之獲利,其中又以加入流動性指標能獲取較多報酬,然而上述兩種策略於2007年至2008年金融危機時,皆無法有效提高貝他套利交易策略的獲利。
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    Description: 碩士
    國立政治大學
    金融學系
    104352018
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104352018
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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