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| Title: | 美國貨幣政策衝擊對股價橫斷面報酬之影響
U.S Monetary Policy and Cross-section Stock Returns |
| Authors: | 朱家玄
Chu, Chia-Husan |
| Contributors: | 岳夢蘭
朱家玄
Chu, Chia-Husan |
| Keywords: | 美國貨幣政策衝擊
股價橫斷面報酬 |
| Date: | 2018 |
| Issue Date: | 2018-07-10 15:33:48 (UTC+8) |
| Abstract: | 本研究探討美國貨幣政策衝擊，對美國股價橫斷面報酬率的影響。我們首先將樣本分成(1)FOMC有開會的日期；(2)FOMC開會日的利率決策產生預期到的衝擊；(3)FOMC開會日產生非預期到的升息以及非預期到的降息等樣本期間，探討不同樣本期間下，公司特性對股價報酬率的影響。接著我們將股票依排序前beta以及不同的公司特性分組，觀察在不同樣本期間下，各投資組合的平均日超額報酬是否相同。並觀察建立的long-short投資組合在不同期間下是否有超額報酬存在。最後，我們將個股依其對貨幣政策衝擊之曝險beta值進行分組，觀察各組平均超額報酬。此外，我們也會建立一個long-short投資組合，觀察此long-short投資組合之(i)平均超額報酬；(ii)經過CAPM、三因子及四因子模型調整後，是否存在異常報酬(α)。
本篇研究的實證結果發現：(i)公司市值大小與帳面市值比在有正向貨幣政策衝擊期間下，對股價報酬皆有正向且顯著之影響，而在負向貨幣政策衝擊期間下，兩者對股價報酬則為負向顯著之關係，反映小公司溢酬僅存在於負向貨幣政策衝擊期間； (ii)在美國聯準會開會日下，存在正向且顯著的平均超額報酬。而這樣正向且顯著的平均超額報酬更集中存在於美國聯準會開會日且降息超過預期之樣本期間；(iii)平均超額報酬在對貨幣政策曝險最大及最小之投資組合下較高，而此極端兩組合之公司市值較小、帳面市值比較高。雖然所建立的long-short投資組合有正向的平均超額報酬及異常報酬，但在統計上是不顯著的。
This paper studies how US monetary policy affects cross-section stock returns. We find that small firm premium exists in negative shock periods, and premium on high book-to-market stocks exists in positive shock periods. We also find that on FOMC meeting days, there is statistically significant excess return between highest and lowest beta portfolios, and this result is concentrated on FOMC meeting days with surprise cut in Fed fund rate. Moreover, we find that the average excess returns are higher in the portfolios with the largest and the smallest exposure to monetary policy, and market capitalization of these two portfolios are relatively small, and book-to-market ratio are relatively high. In addition, we can construct a long-short portfolio to generate positive excess returns and abnormal returns, although they are not statistically significant. |
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| Description: | 碩士
國立政治大學
財務管理學系
105357018 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105357018 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.Finance.013.2018.F07 |
| Appears in Collections: | [財務管理學系] 學位論文
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