Beta投資組合於台灣證劵交易所上市股票研究

Abstract

低風險異常現象 (low risk anomaly) 是指低風險資產卻有高報酬，但是該現象違反傳統財務理論。Frazzini 與Pedersen (2014) 提出betting against beta (BAB) 因子，由選取資產中的 beta 依遞增次序排序，藉由買入低風險的投資組合，賣出高風險的投資組合，形成BAB投資組合。本文欲探討臺灣證劵交易所上市股票是否具有低風險異常現象及BAB投資組合是否能夠獲取超額報酬。 文中結果顯示所選取台灣證劵交易所上市股票資料分組排序後具有低風險異常現象，BAB投資組合能獲得超額報酬。

That low risk asset will earn high return, contrary to the traditional financial theory, is called low risk anomaly. Frazzini and Pedersen (2014) proposed a betting against beta (BAB) factor. To construct a BAB portfolio, all securities in an asset class are first ranked in ascending order on the basis of their estimated beta followed by buying a low beta portfolio and selling a high beta portfolio with a zero portfolio beta. This thesis explores whether the stocks listed on the Taiwan Stock Exchange have low risk anomaly and whether the BAB portfolio can generate excess returns. The empirical results in the thesis show that low risk anomaly exists for the stocks listed on the Taiwan Stock Exchange (TSE) and that the BAB portfolio generates excess returns.