季節性與波動度偏離對報酬的影響

Abstract

本文以季節性與選擇權波動度偏離作為月策略，先以季節性分群篩選再以波動度偏離分群揀選，挑出合適的股票，並計算每群在樣本時間內的報酬與p值。 最終結果發現，挑選出的報酬相比單用季節性因素篩選股票，確實得到改善，此外，若以理論上最好與最壞的兩群組成long-short投資組合，報酬顯著異於零。而此選股策略也無法被Fama-Macbeth三因子模型所解釋。

In this essay, we use seasonality and option skewness as a monthly strategy. We sort stocks by seasonality first then by skewness with the dependent sorting and calculate returns and p values for each group. In the end, we find out that there is improvement in returns with the above strategy in comparison with single sorting by seasonality. Besides, if we construct a long-short portfolio with the theoretically best group and worst group, the return is significantly greater than zero, and the strategy cannot be explained by the Fama-Macbeth three-factors model.